Nick Radge: CWT 178: [Blueprint] Create a Simple Trend Following System - PursuitOfEdge/podcasts GitHub Wiki

https://youtu.be/EUUd2kq1Mh4

  • the turtle system still works, just on longer time frames
  • 20 week breakout of the high ***
  • add confirmation, rate of change over last 20 weeks is over 30 ***
  • "every trend starts with a breakout" - the turtles/nick radge
  • 52 week high, 100 week high, rsi > 90, etc.
  • rsi > 90 pulls back first 3 days, but if you hold it out til 97 days, those are profitable if you buy when it hits 90
  • retirement account is bollinger band breakout with volatility filters
  • says people think too hard, 4-5 rules is too much
  • another key ingredient is regime/index filter that the broader market is trending up e.g. R1000, SP500 e.g. only if C > MA SPY 200
  • 18-20% trailing stop will allow you to follow the trend ***
  • 20 positions, 5% capital, 20% trailing stop ***
  • average loss is 11%, avg win is 31%, so 2.5-2.6 payoff, win rate is only 40% ***
  • if the regime filter is going down, ratchet up the stop to 10% ***
  • found a stale exit/time stop made things worse for trend following
  • been trading the bollinger band breakout for 20+ years
  • use round numbers: 200 days, 100 days, 50 days
  • breakout is 20 week, 100 days, half the index filter
  • in his testing shows volatility weighted positions don't really help or make a difference
  • ranking system rate of change over last 100 days
  • using rate of change ranking to get same backtest results ***
  • nick ASX only trades small industrials outside of ASX 100 and inside the ASX 500
  • uses an average volume filter over last 50 days and order size no more 2/3% of daily average volume over that period of time
  • trades the small cap cause of highest volatility and return
  • remember survivorship bias
  • TF strats have 44% win rate
  • RM strats have 55% win rate
  • maxDD 48% but is ok, avg is sub 20%
  • profit factor/payoff ratio should be over 2, his is 2.56, winloss ratio over 3 ***
  • try testing the params individually, try 50-100 weeks, etc.
  • would be hesitant about adding more parameters than this
  • trailing stop based on close and enter/exit on open ***