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Skate.
Dump it Here
- Thread starter Skate
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Skate.
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Skate.
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Skate.
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Skate.
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Is it really possible to trade a monthly momentum strategy?
I have a simple idea about trading & realised the only way to make a profit is by finding stocks that are moving. After starting the "Monthly Momentum Strategy" with "enthusiasm & vigor" I'm now concerned about how to extract the maximum amount of money from the market with minimal risk. Trading a long-term momentum strategy doesn't make sense to me at the moment after thinking about it a little more. When your money is on the line you will think about trading differently than talking about the methodology. Well, to tell you the truth I feel that it will be "near impossible" for this type of strategy to work as intended with such uncertainty in the markets at the moment.
Why?
For a few reasons really. Short-term momentum traders seek to identify strong trends to take advantage of the expected price change. "Short-term" momentum trading buys when the price is rising & sells them when they have peaked. The goal is to work with volatility by finding buying opportunities in short-term uptrends (Not long-term trends) & exits at the first sight of losing momentum. The whole premise of this type of strategy is based on the idea that if there is enough force behind a price move, it will continue to move in the same direction. Staying with this strategy "month on month" will certainly test anyone's mettle & certainly it will test mine.
Momentum trading is similar to breakout trading
The issue I see is when an unforeseen negative event occurs during the trading month it will force the price lower without the ability to counteract against such moves in the short term. My monthly momentum strategy doesn’t attempt to find the top or bottom of a trend but instead focuses on the main body of the price move "trying to exploit" market sentiment by follow the majority.
Summary
Backtesting indicates a monthly momentum strategy has worked in the "past" but the lingering question I'm asking myself is this - will a "monthly momentum strategy" be able to withstand the riggers of trading the current short-term volatility?
Skate.
I have a simple idea about trading & realised the only way to make a profit is by finding stocks that are moving. After starting the "Monthly Momentum Strategy" with "enthusiasm & vigor" I'm now concerned about how to extract the maximum amount of money from the market with minimal risk. Trading a long-term momentum strategy doesn't make sense to me at the moment after thinking about it a little more. When your money is on the line you will think about trading differently than talking about the methodology. Well, to tell you the truth I feel that it will be "near impossible" for this type of strategy to work as intended with such uncertainty in the markets at the moment.
Why?
For a few reasons really. Short-term momentum traders seek to identify strong trends to take advantage of the expected price change. "Short-term" momentum trading buys when the price is rising & sells them when they have peaked. The goal is to work with volatility by finding buying opportunities in short-term uptrends (Not long-term trends) & exits at the first sight of losing momentum. The whole premise of this type of strategy is based on the idea that if there is enough force behind a price move, it will continue to move in the same direction. Staying with this strategy "month on month" will certainly test anyone's mettle & certainly it will test mine.
Momentum trading is similar to breakout trading
The issue I see is when an unforeseen negative event occurs during the trading month it will force the price lower without the ability to counteract against such moves in the short term. My monthly momentum strategy doesn’t attempt to find the top or bottom of a trend but instead focuses on the main body of the price move "trying to exploit" market sentiment by follow the majority.
Summary
Backtesting indicates a monthly momentum strategy has worked in the "past" but the lingering question I'm asking myself is this - will a "monthly momentum strategy" be able to withstand the riggers of trading the current short-term volatility?
Skate.
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Confidence to pull the trigger with a new trading idea
Trading the "Monthly Momentum Strategy" was done on a whim but I know I should have applied logic before trading this monthly strategy, but in the heat of the moment, it’s often hard to resist the voice of your inner self. Having a new strategy is like having a new sports car, you are "busting at the seams" to give it a spin.
Greed is not helpful
I'm first to admit greed must have seeped into the equation to trade a monthly momentum strategy as I didn't want to be the one who misses out on making all that money especially when the share market is experiencing a lot of volatility. After thinking about the methodology & understanding the strategy a little more a "cool head" would have served me well.
There is a fine line between "having a go" & "being reckless"
It's a fine line we walk because as traders we get trapped in analysis paralysis & ultimately miss out on the opportunity to start building a portfolio. My friendly piece of trading advice is not to let your "emotions" drive your trading "decision". When trading you need to keep a "cool head" so you don’t make the mistake of trading on a whim.
Skate.
Trading the "Monthly Momentum Strategy" was done on a whim but I know I should have applied logic before trading this monthly strategy, but in the heat of the moment, it’s often hard to resist the voice of your inner self. Having a new strategy is like having a new sports car, you are "busting at the seams" to give it a spin.
Greed is not helpful
I'm first to admit greed must have seeped into the equation to trade a monthly momentum strategy as I didn't want to be the one who misses out on making all that money especially when the share market is experiencing a lot of volatility. After thinking about the methodology & understanding the strategy a little more a "cool head" would have served me well.
There is a fine line between "having a go" & "being reckless"
It's a fine line we walk because as traders we get trapped in analysis paralysis & ultimately miss out on the opportunity to start building a portfolio. My friendly piece of trading advice is not to let your "emotions" drive your trading "decision". When trading you need to keep a "cool head" so you don’t make the mistake of trading on a whim.
Skate.
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The more consistent you do what you do, the more consistent your results will be
I know the paragraph header sounds double dutch but it's applicable when "Backtesting" a tradeable strategy. Why?
First off
When your backtest result becomes more consistent you will build a level of confidence to put money on the line having the discipline to follow the system, particularly during a spell of drawdowns.
Secondly
Backtesting allows you to practice with the system, thus improving its proficiency.
Thirdly
Many “coders” concentrate on making the most amount of money out of the strategy & not on execution, so they miss the critical metrics that make the bottom line what it is.
Performance aspects
Certain performance aspects have a direct impact on the system's "profitability" but what I'm after in my strategies is "predictability" as this game is built around "probabilities". Recording & tracking the performance of your trading system as many members do in this forum is absolutely essential to truly maximise your profits helping you get to the next level with your trading.
Summary
Take advantage of these amazing resources on this forum & don’t skimp on your trading education. Even if you think you know, you probably don't.
Skate.
I know the paragraph header sounds double dutch but it's applicable when "Backtesting" a tradeable strategy. Why?
First off
When your backtest result becomes more consistent you will build a level of confidence to put money on the line having the discipline to follow the system, particularly during a spell of drawdowns.
Secondly
Backtesting allows you to practice with the system, thus improving its proficiency.
Thirdly
Many “coders” concentrate on making the most amount of money out of the strategy & not on execution, so they miss the critical metrics that make the bottom line what it is.
Performance aspects
Certain performance aspects have a direct impact on the system's "profitability" but what I'm after in my strategies is "predictability" as this game is built around "probabilities". Recording & tracking the performance of your trading system as many members do in this forum is absolutely essential to truly maximise your profits helping you get to the next level with your trading.
Summary
Take advantage of these amazing resources on this forum & don’t skimp on your trading education. Even if you think you know, you probably don't.
Skate.
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Afternoon Mr Skate:
Currencies are ideal for monthly based trending systems. Nice long lasting trends.
jog on
duc
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I agree with Mr Ducati, currencies would provide you with trends tradable on a monthly basis, but i suspect that without leverage, it is not really worth while.
If you stick to the ASX, currency ETFs will not provide you with the tools you need, and you might not be able to backtest with your data feed..
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That is true. However, use Options on the currency ETFs. Then you can go long or short additionally.
Plenty of leverage available. Fixed risk. September expiry. Set and forget.
jog on
duc
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Skate.
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Skate.
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Skate.
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Skate.
MovingAverage
Just a retail hack
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Nice succinct summary of some key system performance metrics for back-testing, what those metrics mean and what values to keep an eye out for.
https://www.quantifiedstrategies.com/trading-strategy-and-system-performance-metrics/
https://www.quantifiedstrategies.com/trading-strategy-and-system-performance-metrics/
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already considering first few, not enough Sharpe ratio when I think about it good hints on targets to aim for..will check my systems in these lines
As times go, and as discussed in the link, I also like more and more checking at the equity curve look, smooth looking, aiming for the sky but not exponential or jittery,
A nice summary article in my view
Thanks MA
@Skate or anyone have you ever looked into a dynamic trading system?
That it is the system will act differently depending on market conditions. There’s two examples that I can think of off the top of my head.
Example 1
If Market is rising: use standard trading system
If market is flat or declining: revert to an MR system
Example 2
If market is rising: use standard trading system
If market meets bear condition: trade bear ETFs based on X rules.
some food for thought..
That it is the system will act differently depending on market conditions. There’s two examples that I can think of off the top of my head.
Example 1
If Market is rising: use standard trading system
If market is flat or declining: revert to an MR system
Example 2
If market is rising: use standard trading system
If market meets bear condition: trade bear ETFs based on X rules.
some food for thought..
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To answer your question - no I haven't
I'm sure it can be done but you would have to work through it as it wouldn't be as simple as you indicate because "switching" raises new questions about the sell condition of remnant positions. FYI, I've made a stack of posts on switching between systems contained in one strategy. Do a search if interested. It might not be exactly what you need but allows you & others to understand Amibroker "switch statement".
Two examples of the Switch Function
1. Switching the Strategy
2. Switching the Exploration Mode
The Switch Strategy
This strategy holds 7 individual strategies. Using the switch function I can select the strategy for Backtesting or Exploration Analysis. By selecting the strategy it sets the unique "Buy & Sell" condition, filters, StaleStop, VolatilityStop, & TrailingStop for that strategy as each strategy is different when it comes to these settings.
Switch Statement
switch Statement
www.amibroker.com
Posts to read
Dump it Here
AmiBroker Param Function The “Param Function” is the handiest feature that I use in my strategy development phase. The “Param function” allows me to switch between my definable parameters. This feature adds a new user-definable parameter to your strategy which is accessible via a Parameters...
www.aussiestockforums.com
Dump it Here
Moreover A picture paints a thousand words. These are a few typical "Pocket Pivot Strategy" entries (no-frills entry at that). The charts below display "pivot points" entries. Skate.
www.aussiestockforums.com
Skate.
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