My new plan is to use a combination of trend following and volume profile to flatten out my equity curve. The way I have been defining a trend is 20 day breakout. This definition of a trend gets quite a few false breakouts where there is a gap up/down or just big move after 19 days of low volatility.
I've been testing 3 moving averages moving in the same direction to get an entry and cross of moving averages to exit or 2 * 20 day ATR in opposition of trend. Tests are looking positive but need to do more.
Please share how you define trends in your trading, I'm interested in finding whatever edge I can find.
2 trades on now, long gold @ 1,368.9 and short pound @ 1.28850. Both trades are underwater but far away from my stops. I am nervous ahead of US NFP but am hesitant close my positions as I have been trading so scared since BREXIT I have missed out on a fortune in profits had I stuck to my strategy. I am now in a hurry to further automate my trading so that I can remove my fear and greed from trading.
I had assumed the positive jobs report data and subsequent rally in DXY and ES would drive the pound down but after a lot of big vol it ended unchanged. There is a huge bid under this market either in short covering, government support or this is market consensus of value and I should get out. The move may continue lower is just lost a lot of steam, not a reason to get out of a trend following play so I'll stay in. Need to spend more time on automation!!
Earlier today the pound was moving my way, lower, and my trade was in the green. Around noon UK time Andrea Leadsom decided the PM race was not for her and now I'm getting my head kicked in on the pound once again. The trend is still down and so I'm still in it.
In my work to re-examine how I define a trend I can see that a simple moving average cross has promise. I haven't purchased AmiBroker full version yet so haven't been able to do optimization testing. Initial testing I can see that energy, metals and softs work well but indices, currencies and rates perform horribly. I don't expect all sectors to perform well, that would mean I was curve fitting or only using correlated markets, so as long as over the long run I have a positive expectation then I will start implementing this new style for trading.
This is what happened with the new PM for the UK became clear. I can't imagine that this is good for the UK as it bring them closer to leaving the UK. When countries want to punish other countries they bar them trading and from immigration via UN sanction so a UK self imposed sanction doesn't seem like a positive step to me.
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