Combining trend and flat strategies into one TS = grail? - page 6

 
bank:

Why not a hundred systems? What's the big deal?

Hedging (from hedge - insurance, guarantee) - the establishment of a futures position in one market to offset the impact of price risks of an equal, but opposite futures position (futures position), in another market

Incorrect. There is so-called non-symmetrical hedging, which is the example you gave. For example, certain portfolios can be perfectly hedged with the S&P index. The risk is only approximately balanced, but not 100% compensated. Conditionally the two instruments can be called different markets (according to your classification). Also, whoever gave this definition doesn't have a very good idea of the essence of a true hedge. Actually hedging is done by hedgers - they are the suppliers of the real commodity, and they hedge spot futures contracts. So the definition of hedge as an operation solely in futures markets gives away the author's ignorance. What the argument is about, I cannot understand. We even refer to lots as hedges, so my somewhat loose wording doesn't change anything.
 
Reshetov:

But in order to profit not only on history, but also on forwards, it is necessary to follow the rules, namely any negatively correlated financial instruments can be matched to a no-breakage portfolio - to fit. However, not any instruments, but only those that have real and stable negative correlations, for example, securities of competitors, will yield profits in forwards. The more competitors' securities in the portfolio, the higher the result.


What makes you think that competing firms should have negatively correlated securities? What about if a whole industry suddenly goes bust? For example, where are the stocks of horse-drawn carriage companies now, are they gone as a class?
 
C-4:

That's the thing about trend/flat systems, you don't need to know the current state of the market. All a trend system has to do is make money on the trend and not lose money on the flat. A flat system is the opposite: it should make money on the flat and not lose money on the trend. Since both states on the markets change each other, the growth phases of one will be counted with the consolidation of the other, which gives a tangible advantage in the end.

I totally agree with you.
 
If flat strategy is trading on the plus side, it doesn't need trend add-on, otherwise it is again not needed, so why use flush algorithms? Conclusion, if trend and flat strategies are earning one by one (and this can already be considered a close approximation to the grail), then we can combine them, but not to spoil the oatmeal.
 
Techno:

We can combine them, but the most difficult question here is how to identify trend and flat sections, i.e. where and when a flat strategy should work and where a trend strategy should work.

And if you have a mechanism for identifying the flat and trend, and you have a profitable, for example, flat strategy, then you can simply ignore the trend areas, ie simply do not trade on them, and torotovy only in the flat.

So the answer to the question "Combining trend and flat strategies in one TS = grail?

 
kch:

We can combine them, but the most difficult question here is how to identify trend and flat sections, i.e. where and when a flat strategy should work and where a trend strategy should work.

And if you have a mechanism for identifying the flat and trend, and you have a profitable, for example, flat strategy, then you can simply ignore the trend areas, ie simply do not trade on them, and torotovy only in the flat.

So the answer to the question "Combining trend and flat strategies in one TS = grail?

Identifying trend and flat areas is an eternal question. And combining strategies won't do anything, so the answer to the topicstarter's question is no.
 
Techno:

I agree in this context.

It would be a good idea to define the terms trend and flat here.

If a flat (very roughly) is a horizontal (or nearly horizontal) movement on a certain TF with a small oscillation amplitude (H-L), then a flat is the same trend (trend initiation) stretched in time.

MetaDriver wrote about it very well: "The rejection of the flatulence concept appeals to me the most on this way. By replacing it with "a balanced alternation of short trends".

Then it all comes down to the notion of swings or alternating small and large ranges, like Larry. We look for a consalidation (flat, small range) or some "uncertainty situation", then we assume a big movement in one direction or the other (trend), make a deal, etc.

 
kch:

It is possible to combine them, but the most difficult question is how to identify trend and flat areas, i.e. where and when a flat strategy should work, and where a trend one should work.

And if you have a mechanism for identifying a flat and a trend, and you have a profitable, for example, a flat strategy, then you can simply ignore the trend areas, ie simply do not trade on them, and torotovat only in the flat.

So, to answer the question "Combining trend and flat strategies in one TS = grail? The answer is yes, it's a grail, if we can distinguish the beginning (end) of the trend/flop.

Well, if we cannot distinguish a trend from a flat, then what to do on Forex? If you are looking for a trend-fleet on M15, then good luck. I have no idea how to do it programmatically; trend strategy makes deals in one side and stops during the flat, while flat strategy switches on after formation of the channel and trades in both directions. (And we need to define flags and triangles?)
 
Tantrik:
If you do not distinguish a trend from a flat, what should you do in forex at all? If you are looking for a trend-fleet on M15, then good luck. I have no idea how to do it programmatically; trend strategy makes deals in one side and stops during the flat, while flat strategy switches on after formation of the channel and trades in both directions. (Yes, I also need to define flags and triangles, don't I?)

We can just assume that a flat (a channel, a flag, a triangle and other "uncertain situations") is a reference point for a new swing (trend), and then decide on the direction of the swing, the targets (tr, sl), the holding time (if not reached tr or sl), the MM and go ahead to trade.
 
kch:

You can simply assume that a flat (a channel, a flag, a triangle and other "uncertain situations") is a reference point for a new swing (trend), and then decide on the direction of the swing, the targets (tr, sl), the holding time (if not reached tr or sl), the MM and go ahead to trade.
With the trend is easier - set 200 - 300pp increments and it will wait out the flags, the trend should build a pyramid of orders. When the programme detects a flat, it will already be at risk of ending.