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Position Trading on longer time frames
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Position Trading on longer time frames

  #1 (permalink)
Elite Member
Toronto, Canada
 
Futures Experience: Intermediate
Platform: NinjaTrader, IB
Favorite Futures: what's liquid, trending, and predictable
 
Posts: 34 since Aug 2011
Thanks: 15 given, 36 received

Position Trading on longer time frames

HI All, I'm new to futures.io (formerly BMT) hand have been exploring the excellent content and contributions. (my head is still spinning after drinking from the proverbial fire hose!)

It seems that most of the focus is on intraday trading, but are there any good threads here on position trading on longer time frames? I'm sure there are many people (including myself) who either can't dedicate the time it takes throughout the day to catch intraday moves, would maybe just like to augment the returns on their retirement portfolio on a weekly/monthly basis, or would like to automate a strategy without worrying about slippage. The book 'Reminiscences of a Stock Operator' gives a good argument for this approach too.

Can anyone recommend a a good place to here to start reading on the subject? I found a couple of interesting threads:

The Kleinman 2005 Method (systematic)
https://futures.io/elite-automated-ninjatrader-trading/3312-kleinman-2005-method-systematic.html

I backtested this on on $AUDJPY currency pair on a 240 minute time frame over 5 months and the results were quite impressive with only 18 trades over 5 months. Seems to work well on Silver and Gold futures too.

The Faber Method (systematic)
https://futures.io/elite-automated-ninjatrader-trading/2892-faber-method-systematic.html

This one is for a loooonger time frame of 1 month and based on a working paper by Mebane Faber in the Journal of wealth Management. I tried backtesting for the past on the SPY Etf and it seems to work as claimed.

Any tips or suggestions would be greatly appreciated!

cheers -Dave

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  #3 (permalink)
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Futures Experience: Intermediate
Platform: NinjaTrader
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To me the 'trick' of systems like any system that works mainly in one kind of condition (trending) then you must know when to turn it off and when to turn it on again.

If you put this with some kind of equity positioning or good chop detection then you can definitely be a winner. I think trading off 4HR and Daily's are so much easier on FX since you can take the bigger stops.

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  #4 (permalink)
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JEHs's Avatar
 
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I trade longer term for the same reasons you are talking about... just not any time during the day to sit and watch charts, though my goal is to get back to that sometime over the winter here when things slow down.
I watch ETFs on weekly and daily charts, sometimes I consider individual stocks but I don't think I have traded a stock in a long time. I know nothing about forex.
I am not an expert and I don't have a "system"... just some general rules and ideas on where to enter and exit.
I think a chart is a chart. What I see on the weekly and daily's, I can also see on the daily and hourly, or a ten minute and one minute, or any other two time-frames of about those proportions...

Study the charts... be patient... relax... you will start to see things...

You can get help from teachers, but you are going to have to learn a lot by yourself, sitting alone in a room.
Dr. Seuss
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  #5 (permalink)
Elite Member
Toronto, Canada
 
Futures Experience: Intermediate
Platform: NinjaTrader, IB
Favorite Futures: what's liquid, trending, and predictable
 
Posts: 34 since Aug 2011
Thanks: 15 given, 36 received

Update

I was inspired by the comments left above (thanks all!) and have continued to pursue a longer time frame strategy - i.e. daily, or even based on 3-4 day charts. It seems the predictability can't be beat, and if it's a sure thing then it makes sense to scale heavy into trades signals such as this.

Even running the SampleMACrossOver strategy that comes with Ninjatrader on WTI Cruce (CL) produces some astounding results. Am I missing something here? Like why not go all-in on these signals?

See the attached images for results. It's been calling exact tops and bottoms since July, including the top from last week. Add some stop loss orders, a filter, and maybe some money management and i bet it would be consistent:
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I know things can change and strategies can become out of whack, but if the same thing has worked for the past 7 months then the probability of it being accurate the next month is high (rationally at least . To be sure, I did a walk-forward test on CL on a daily chart, optimizing in the year 2011 and forward testing in January and February using the SampleMACrossOver strategy with the following settings:
Time Frame: 1/1/2011 to 3/2/2012
Data Series: Last, Day, 1
Fast: 5;50;1
Slow: 5;50;1
Min Bars: 20
Slippage: 1 (not like it matters on a daily?)
Exit on close: False
Default Quantity: 1
Optimization Period (days): 365
Test Period (days): 60

The walk-forward produced another 4 trades in January and February at 17%, which on a single contract worked out to $16,600, and with minimal drawdown and low MAE. I can share the results if anyone is interested.

Maybe this is just curve-fitting on a longer time scale, but with this kind of risk/reward does it matter? Longer time frames must be how the big commodity houses make their money lol

cheers -Dave

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Position Trading on longer time frames-samplemacrossover-cl-04-12-03022012-strategy-analyzer_2012-03-04_11-02-42.png  
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  #6 (permalink)
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d416 View Post

Maybe this is just curve-fitting on a longer time scale, but with this kind of risk/reward does it matter? Longer time frames must be how the big commodity houses make their money lol

cheers -Dave

All optimizing using past data is curve-fitting in my opinion and it is just a matter of how much.

I have done extensive review of FOREX over 10-20 years of data and conditions change very drastically to a point where one method may work for 3-4 years, you will give it all back a year later. It is a matter of jumping on the train while it is rolling long enough to catch some momentum for WHEN conditions do change.

We have had the discussion many times and some people chimed in that there are certain things within the market THAT NEVER CHANGE which I have mixed emotions on. They wouldn't elaborate, but I think they were talking about the basics.

The key to ask yourself, what would be your MAE on something like this to where you re-optimize or re-curve-fit.

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