Triple Moving Average Experience
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- Roundtable Knight
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Triple Moving Average Experience
Hi,
Does anyone have any successful experience using TMA that would be willing to chat?
Does anyone have any successful experience using TMA that would be willing to chat?
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- Roundtable Knight
- Posts: 112
- Joined: Wed Jul 31, 2013 3:33 pm
Hi C,
thanks for responding. is your strategy geared towards a more longer or shorter term trend? do you implement your TMA strategy over multiple markets (ex. equites & forex)? do you use TB to generate your orders for next day trades? curious to hear from you as I don't know others using this strategy and agree with you that it works knowing full well there are going to be long/steep drawdowns. I think we all know this is expected of the TMA strategy but I think the idea of cutting your loses right away and letting your winners run is a logical process and that sticking with your strategy though the drawdowns is vital. thanks.
thanks for responding. is your strategy geared towards a more longer or shorter term trend? do you implement your TMA strategy over multiple markets (ex. equites & forex)? do you use TB to generate your orders for next day trades? curious to hear from you as I don't know others using this strategy and agree with you that it works knowing full well there are going to be long/steep drawdowns. I think we all know this is expected of the TMA strategy but I think the idea of cutting your loses right away and letting your winners run is a logical process and that sticking with your strategy though the drawdowns is vital. thanks.
Possibly helpful: viewtopic.php?t=8606
Thank you Sluggo
I feel a re-ignition of the old days coming on - good posts on trading blox forum and lots of good input
Here's a question for you then [ all]
You test a system [ TMA] over 20 years of sample data = excellent
you test in on 3 in years out of sample data = excellent
You live trade it for 5 years and compund 20% in it per anum
year 6/ 7.5 draw down = 85 % [ max in backtested and real history 30%]
Good system ? Bad system ? What the hell happened ?
I feel a re-ignition of the old days coming on - good posts on trading blox forum and lots of good input
Here's a question for you then [ all]
You test a system [ TMA] over 20 years of sample data = excellent
you test in on 3 in years out of sample data = excellent
You live trade it for 5 years and compund 20% in it per anum
year 6/ 7.5 draw down = 85 % [ max in backtested and real history 30%]
Good system ? Bad system ? What the hell happened ?
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- Roundtable Knight
- Posts: 112
- Joined: Wed Jul 31, 2013 3:33 pm
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- Roundtable Knight
- Posts: 112
- Joined: Wed Jul 31, 2013 3:33 pm
Help reviewing trades
I used the TMA strategy, had equity of $250,000, risking 1% per trade. I ran a simulation from 2006-08-01 to current date (actually whenever the sample equities data ends). Nevertheless, when I review the trades for the period there is a transaction for a quantity of 1996 with an order fill of 21.27 = ~$42.5K; this is not 1% of my portfolio that should be at risk - it's closer to 17% - why the disparity?
Also i'm using the Turtle Edition - why are the cut and copy icons on my toolbar grayed out?
Also i'm using the Turtle Edition - why are the cut and copy icons on my toolbar grayed out?
Dollar Risk Per Trade for a long position is (Entry Fill - Stop Price) * Quantity.
Rearrange terms to get Stop Price = Entry Fill - Dollar Risk Per Trade / Quantity.
In your case: Entry Fill = $21.27, Dollar Risk Per Trade = 1% of $250K = $2500, and Quantity = 1996
Therefore: Stop Price = $20.02
The system assumes that you will close your position if the price drops below $20.02. In this case your dollar risk would be limited to $2500.
The Triple Moving Average system provides two parameters to calculate the Stop Price: ATR Average (days) and Stop (ATR). You can use whatever you like but I use ATR Average (days) = 20 and Stop (ATR) = 3. After the system calculates the Stop Price it then runs the formula to calculate the Quantity.
In this particular example that you gave I can almost guarantee you that the stock is exhibiting very little price movement hence the large quantity.
Rearrange terms to get Stop Price = Entry Fill - Dollar Risk Per Trade / Quantity.
In your case: Entry Fill = $21.27, Dollar Risk Per Trade = 1% of $250K = $2500, and Quantity = 1996
Therefore: Stop Price = $20.02
The system assumes that you will close your position if the price drops below $20.02. In this case your dollar risk would be limited to $2500.
The Triple Moving Average system provides two parameters to calculate the Stop Price: ATR Average (days) and Stop (ATR). You can use whatever you like but I use ATR Average (days) = 20 and Stop (ATR) = 3. After the system calculates the Stop Price it then runs the formula to calculate the Quantity.
In this particular example that you gave I can almost guarantee you that the stock is exhibiting very little price movement hence the large quantity.
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- Roundtable Knight
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- Joined: Wed Jul 31, 2013 3:33 pm
Fab,
Thank you very much for your analysis - it makes perfect sense and I agree with your thoughts. I was under the impression that the 1% is the amount you're willing to lose on a false identification of a trend (for lack of a better phase). Now I need to figure out how automate a defined amount of my portfolio I want to risk per trade - i'd like to risk only $2500/trade (1% of my cash in account).
Thank you very much for your analysis - it makes perfect sense and I agree with your thoughts. I was under the impression that the 1% is the amount you're willing to lose on a false identification of a trend (for lack of a better phase). Now I need to figure out how automate a defined amount of my portfolio I want to risk per trade - i'd like to risk only $2500/trade (1% of my cash in account).
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- Roundtable Knight
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- Joined: Wed Jul 31, 2013 3:33 pm
If using ATR stops for position sizing;
Position Risk = (Todays close) minus (Todays stop price) . . . expressed in Dollars, Euro’s, Yen, Rai etc
Stop price = (Todays close) minus (ATRmultiplier)*ATR
Therefore, Position risk = (ATRmultiplier)*ATR
Position size = Max risk($)/Position Risk($)
Example;
Todays close in Cotton = 55.55
Todays 20 period ATR = 1.55
ATRMultiplier = 1
Position Risk = 1*1.55 = 1.55 points (BPV for Cotton = $500)
Position Risk($) = $775.00
Max risk($) = 1% of $250000 = $2500
So, position size = $2500/$775 = 3.23 lots . . . rounding down = 3 lots
Does this help?
See here for more information on volatility position sizing
http://www.investopedia.com/articles/op ... -trade.asp
Position Risk = (Todays close) minus (Todays stop price) . . . expressed in Dollars, Euro’s, Yen, Rai etc
Stop price = (Todays close) minus (ATRmultiplier)*ATR
Therefore, Position risk = (ATRmultiplier)*ATR
Position size = Max risk($)/Position Risk($)
Example;
Todays close in Cotton = 55.55
Todays 20 period ATR = 1.55
ATRMultiplier = 1
Position Risk = 1*1.55 = 1.55 points (BPV for Cotton = $500)
Position Risk($) = $775.00
Max risk($) = 1% of $250000 = $2500
So, position size = $2500/$775 = 3.23 lots . . . rounding down = 3 lots
Does this help?
See here for more information on volatility position sizing
http://www.investopedia.com/articles/op ... -trade.asp
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- Roundtable Knight
- Posts: 112
- Joined: Wed Jul 31, 2013 3:33 pm
The '500' figure simply converts the point value of Cotton to a dollar value since the value of 1 point in Cotton is $500
For stocks there are no conversions necessary since stocks are already priced in dollars.
Example;
Todays close in ABC corp. = $55.55
Todays 20 period ATR = $1.55
ATRMultiplier = 1
Position Risk($) = 1*$1.55 = $1.55
Max risk($) = 1% of $250000 = $2500
So, position size = $2500/$1.55 = 1612.9 shares . . . say 1600 shares
See example No.2 in link below for more information on volatility position sizing for stocks
http://www.trading-plan.com/money_position_sizing.html
For stocks there are no conversions necessary since stocks are already priced in dollars.
Example;
Todays close in ABC corp. = $55.55
Todays 20 period ATR = $1.55
ATRMultiplier = 1
Position Risk($) = 1*$1.55 = $1.55
Max risk($) = 1% of $250000 = $2500
So, position size = $2500/$1.55 = 1612.9 shares . . . say 1600 shares
See example No.2 in link below for more information on volatility position sizing for stocks
http://www.trading-plan.com/money_position_sizing.html
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- Roundtable Knight
- Posts: 112
- Joined: Wed Jul 31, 2013 3:33 pm
because markets have different speed to the upside vs downside when considering three moving averages
A = sma 10 days, B = sma 20 days, C = sma 100 days (short, medium and long term for example)
buy when A>B always (> means cross over)
sell when A < B IF B below C (< means cross below) but...
if B has moved above C then ignore A/B signals and sell only when B < C
for shorting reverse conditions.
it is a different way to use them. IF the trend is good enough we can shift "gear" to a longer trend following model. If we make a mistake, it should be limited at the early stage of a failure of a trend. Otherwise, if successful, we have been able to catch a trend much earlier than merely using averages B and C.
Thoughts?
A = sma 10 days, B = sma 20 days, C = sma 100 days (short, medium and long term for example)
buy when A>B always (> means cross over)
sell when A < B IF B below C (< means cross below) but...
if B has moved above C then ignore A/B signals and sell only when B < C
for shorting reverse conditions.
it is a different way to use them. IF the trend is good enough we can shift "gear" to a longer trend following model. If we make a mistake, it should be limited at the early stage of a failure of a trend. Otherwise, if successful, we have been able to catch a trend much earlier than merely using averages B and C.
Thoughts?
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- Roundtable Knight
- Posts: 112
- Joined: Wed Jul 31, 2013 3:33 pm
Hey thanks for replying. I see where you are going with your thought but I was thinking something a little different. I'm already using a long term trend following strategy. Assuming today is day one of my brokerage account, if I click generate orders I'm presented with potential positions to enter. However, typically all these trends have been in existence for quite some time. What I would prefer is a trend that has just recently begun. For instance if SMA crossed MMA and MMA > LMA then enter long IF SMA crossed MMA today (for example or maybe like within past week). I'm not sure if this can be done with my TB version - I have the turtle edition. Not sure if this would require writing code or even if using upgraded version (i.e. TB Builder). Please let me know any thoughts or suggestions. Thank you.
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- Roundtable Knight
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- Joined: Wed Jul 31, 2013 3:33 pm
I'm using starting equity of $250,000, Order Risk Per Trade (%) = 1%. How does the $2,500 really become my "risk" per trade? The amount i'd lose based on the stop loss order generation for my first trade (below) is $3233.01 ([Entry Price - Stop Loss] * quantity). That $2,500 isn't really the risk to me - it's used to determine position sizing which doesn't have any barring on how much could be lost on each trade (risk in dollars). Any clarification would be greatly appreciated.
Additionally, the sum of the 2 trades = $226,609.90 ([3333 * 46.40] + [626 * 114.95]); why isn't the remaining $23,390.10 invested in another position?
Additionally, the sum of the 2 trades = $226,609.90 ([3333 * 46.40] + [626 * 114.95]); why isn't the remaining $23,390.10 invested in another position?
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The sizing logic uses the difference in the Order Price and the exit stop to size the trade. The order report you refer to shows the Fill Price, which was 22 cents worse than the order price in the case of the Agilent trade, thus the extra $700+ of risk. You can't know the fill before you size the trade, and the slippage incurred on entry (including opening gaps) adds to trade risk.
Since one trade wants over $150K in capital, and the other wants over $70K in capital, it might be the case that $23K is not enough cash to take another position. Check the Filtered Trades log to see the reason any particular trade is rejected.Additionally, the sum of the 2 trades = $226,609.90 ([3333 * 46.40] + [626 * 114.95]); why isn't the remaining $23,390.10 invested in another position?