[Blueprint] Create a Simple Trend Following System · Nick Radge
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- Опубликовано: 8 авг 2019
- EP 178: The Blueprint: Create a simple trend following system w/ Nick Radge
Returning guest Nick Radge is a systematic trader of trend following, momentum and mean reversion strategies-which he runs across Australian and U.S. equity markets.
When I asked Nick if he’d be willing to do another podcast, I said to him, “This time around, I’d like to discuss something very specific with you; how to create a simple trend following system.”
So, that’s exactly what we did-a complete breakdown of Nick’s process. This includes details about strategy objectives and idea generation, portfolio testing and analyzing results, position sizing and risk management, and execution in a live market.
This episode should be helpful for anyone interested in riding big market trends (regardless of asset class). And even if trend following doesn’t overly appeal to you, then you’ll still pick up useful insight to trading systems.
![004: Nick Radge discusses the best trading systems and what makes successful traders. [AUDIO ONLY]](http://i.ytimg.com/vi/byqEyuVT1wc/mqdefault.jpg)
Episode show notes, available here: chatwithtraders.com/178
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2:47 : Trend Following Summerized
7:51: Why trend following in equities?
10:19 : Two Models
13:30 : Trend following suitability
16:35 : how do you come to a strategy?
19:20 : Steps
22:03 : rate of change?
23:34 : BO and RSI
28:27: Regime Filter
28:45 : Trailing SL
30:18 : Wide SL?
42:01 : Backtesting
45:02 : Position Sizing
51:00 : Filters for stock selection
54:30 : Testing Idea - Software and excel
59:03 : Performance Analysis
1:03:25: Variance of past vs fut returns
1:05:30 : More on performance metrics
1:12:22 : how to deploy a strategy?
1:16:54 : Selection Criteria
1:17:31 : TSL and exits - closing price
Thank you bhai - apki menat kaam ai
"we don't predict, there's absolutely no prediction about it" There's so much freedom in that statement
1. filter snp > ema(200) , when change and have open positions change the stop loss to 10%
2. Rate of change > 30%
20 weeks breaks out
3. Trail stop ~20%
4. 20 positions so at least 1% lost
5. BB breakout from a book, holy grail BB strategy (20+ years)
6. Ami broker to test a portfolio
7. Rank by rate of change
8. Avg volume filter , no more 3% of daily trade volume
9. 44% win rate, dd and max dd 2
10. Exit only once close below stop loss at the open of next day
Thanks
I do not get the part about Rate of change > 30% and 20 weeks break out. If it is a 20 weeks breakout the rate of change must be 0% over that period. What am I missing?
Your interviewing style is the best keep it going
Thanks for this Nick. Amazing podcast. Thanks to the host too, great questions.
Great stuff. Finally someone explained clearly in detail a trend system
01:19:19 Aaron's pause and response is brilliant regarding a broker charging traders for setting a SL.
The best one yet, currently my favorite by a mile.
Nice insight of trend following. There is a subjective nature of the markets one is trading. Nick is in the AUS markets, which is different that the U.S equities markets so take with a grain of salt some of the filter screens that he applies. Thumbs up!
This guys is so clear! one of the best ones ive hear from you, thanks man
He's pretty legit. I created one from scratch and he's talking about the same concepts I figured out although I use volatility and a bunch of other things on my position sizing. RoC, Regime, Filters for confluence, they're all key. I'm not so sure about his large trailing stop loss but hey whatever works. And he's right - the core idea of your breakout can't be too simple otherwise it'll never work. Mine is so complex i can't even remember it in my head lol.
That's crazy. Maybe you need to be on the podcast to explain it. I bet a lot of us would like to look deeper into your thinking behind such a complex tool.
@@Starca11er Lmao
Thank you for this!
One of your best podcasts yet, and my new favorite of yours.
Well done.
I have use *The Semyon Tchernenko Strategy* and its the only way I was able to get results. look it up .
Really great stuff. I just found your channel and I think it is quite valuable.
I wish I had watched this when it's released. About the same time I started to write my algorithm. It confirmed a lot of my guess/assumption and it's from a pro.
Thank you for an excellent podcast. His comments really put things into perspective for me. Even though I've been trend following for several years and have done pretty good, his comments help me clarify some of the mental questions I've had for quite some time. I like how you give the speaker a chance to give a full explanation. Because of this interview, I am now a subscriber to your channel. Look forward to other topics and trend following and I'll also go back and listen to the other topics from different speakers from the subject. Thanks again
i do same what he said .
Thanks for this. One of the best chats on this channel. Actually validated most of my findings as well.
9/5/19: The day value stocks broke out and momentum fell off the roof! Meanwhile the S&P grinding towards new highs while the old momentum leaders are down in the dirt. I would love to be able to just have a set it and forget it strategy like this, but a lot can happen in markets while you are waiting for those 20% trails to get hit. That said, this podcast has inspired me to develop a fine tuned strategy like what Nick has accomplished.
Thank you for that. I am holding V and it is lagging the market since 9/5/19. PG on the other hand is making new highs.
Very good. I use the ADX to find nice trends daily
This is awesome! Great video!
He is very technical and a mathematical genius. 20% of stock price, not money. 20 position and and capital allocation is 5%. Just wow. Pure diversification.
Lol no it's all simple stuff 😂
Fabulous interview.
Great Stuff Aaron, enjoyed all through. Your podcasts are a 'Go To" source of learning for lot of us here.
Keep up the good work mate.
Can you get Anton Kreil?
Cheers :-)
Pure gold! Thanks for the content.
I'll make a point about why systematic trading systems work. You're predicting a return distribution rather than the returns themselves. This works and is different to what people think.
If you are playing with loaded dice, you still have no idea what rolls you're going to get next. That is not the point, all you need to know is when the dice are loaded.
would this be true for a system that has strict stop losses - e.g. when the entry condition is met - trade order is placed - risk is determined (R) and reward is strictly say 2xR or 3xR
@@Pjblabla2 I think you're conflating an order management strategy with a trading system. What you describe is only half the picture, the other half is what the % win rate is. Once you put those things together then you have a pnl distribution. The question is, if you can find some event or trigger (think breaking the recent high) in which your order management strategy gives you a skewed pnl distribution. At that point you then have a working trading system.
This one is gold
Nick is awesome !!! so genuine, clear and to the point !!!
You can't buy experience well said 👏👏👏👏👏👏
I am going through the list of your videos. Any episode in which you did Mean Reversion with Nick Radge?
20 min -24 minutes. Nick Radge!!
i recommend you contact the expert trader via whatsapp or sms, i'll leave his contact below.
( + 1 8 5 8 4 1 3 7 5 6 6 ) .
The book should been called HOLY grail cause this is gold!
He has a book called UNHOLY GRAILS indeed haha
Good
Technical
1. Trend Following / System
2. Strategy
So if 20% is a good trailing stop for hi momentum stocks, what would be a good trailing stop for hi momentum ETFs?
I like the hitch hiker analogy 👌
Great episode, I like Nick's no bullshit and evidence based approach.
Nice one Aaron 👍
The ROC indicator ( inputs) should have 20 as length Or default 9 ?
🔥
And I thought London real was the real deal this is as real as it gets glad I found you 😊👌
Market sentiment is huge. I looked back on stats and was shocked.
I don't get the way he calculates the ROC. Since we are looking at a 20 week BO, the last close will be similar to the close 20 weeks ago, so ROC ~= 0. Does that mean that once we see a BO, he still waits for the stock to reach 130% before he buys?
exactly, I do not get this part.
He's been trading since I was 3 years old . I have time
There are differences in how successful independent trend traders would trade for themselves vs for a fund. A lot of trend following strategies are super volatile and can have big drawdowns. A lot of investors can’t handle it so funds have come out with reduced volatility funds which have also reduced returns. If you want to make big money then I feel like you have to be ok with the volatility.
Great interview!
What's the name of the platform Nick uses to run his backtests? Mebroker?
@@Jack__Reaper thank you!
@@jul8803 no worries
Amibroker :)
Great podcast
around 48:00: "use rate of change" as a filter between 2 stocks
Good chat
Did anyone manage to create a screener in tradingview that will match his criteria (20W breakout + ROC > 30) ?
Break out of What EXACTLY?
Can a trend start "in the middle" BETWEEN support & resistance?
He's talking about a MA. 20 week=100 day. If he has been influenced by Turtle Trading, then he is mostly not relying S & R.
@@sardalamit The 20 week new high and MA 200 weeks are the same thing?
@@HadenYasser31 Hi. I think there's a typo in your Q. Did you mean 20 week and 200 DAYS? If that's what you asked, then No. 20 weeks MA= 100 days MA.
@@sardalamitYes there is a typo sorry. I mean if the 20 week new high Nick Radge is refering to is the same as the the Moving Average 100 days indicator? which you just answer. I'm trying to set a scan to find new highs in 20 weeks timeframe. Also, the high MUST happen in the last (20th) week? thanks
@@HadenYasser31 based on what I gathered from the video, Yes. The sooner you catch the trend the better. Along with the other points..the Rate of Change I believe.
Did he ever say what the win rate was for this example 20 week breakout strategy?
Riding the Fed bubble, that's all he has done. No Fed juicing, no positive trend. In a 1987 style crash, these models would get killed. What we are experiencing now undoubtedly gave this fellow big drawdown before he got out. I used software which did similar analysis, in the 1990's. In the market break of back in 2000, I got that drawdown with weekly systems with mutual funds, Investor's FasTrack, with all the fantastic analysis modules which had all the tools he's talking about here. These were created by engineers who used the software. It was very fun while it worked well, 1990's bull market days forward, then crash, then the rebuys, slamming capital in on signals. Very stressful.
He’s basically just running the Turtle’s strategy from 1983. It’s been working since before then. They survived 1987. Even better Radge doesn’t use leverage, from what I understand.
Nick talks about ROC being above 30. Just wondering what time frame that would be on. Thinking maybe the monthly?? On any shorter time frame, not many stocks get above 30.
He's also talking about small cap industrials stocks. So, perhaps this might be possible here in this select case....I guess
When does he take profit?
13:54
Very simple - probably doesn't work a lot of time because market keeps changing every day.
Back to the drawing board -
Great content
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Is Nick Radge a programmer? The way he was talking about optimization is very similar a programmer will talk about it.
Enjoed the interview. Concerned that I'm the 666th LIKE.
someone had to do it
666 also represents money
So if you have 40% success rate, that means 60% of the trades hit the 20% stop loss... so what instead of going long you go short using the same signal and keep the trailing stop loss the other way ?
Sakshar. Not necessarily. He may have an exit indicator that gets him out earlier. That way the trade didn't win but didn't incur a maximum pain. It's all about fewer losses and making those losses as small as possible. All the best.
That could be your strategy
where is strategy?
i've been charged for routing an order from one software to another. got a new broker
Why is Angry Anderson in the thumbnail
If you dont care about winrate % this strategy is legit. But make sure you have access to a lot of capital because it is very possible to lose every month for 11 months and make your year on the 12th month.
Also, longer term trading requires a larger account.
It actually requires a money management strategy that allows you to lose many small times before you win big.
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How am I supposed to trust you now that you have blonde hair 🤔
simpleton
Jeremi Kossak you have a TA playlist that includes “best chart pattern for new traders” lol
It looks odd but, hey, he's having fun.
Sorry, I'm puzzled. You use a 20% stop and you only have a 40% win rate? In any case, if you have a wide stop this means you are prepared to waste precious time until it goes in your favour. Sorry, I need convincing.
he explains that he rarely actually takes a loss at 20%, he uses a trailing stop loss
He trails his stops and says he rarely takes a full 20% of position loss. His realized avg loss is 11% (or .65% total portfolio) and avg win is 30% (or 1.77). His avg win rate is 44%
Expected return of any trade = .44*1.77 + .56*(-.65) = .41% of total portfolio.
20 positions x .41% = 8.3 % / year
Assuming no leverage
@@derekwhite8196,
Thanks, I will need to think this through. Cheers.
@@brickstunram9391, Many thanks for taking the time to clarify. Cheers
You can make 8% plus a year say 50% but if your strategy yields those kinds of profits it most likely leaves you open to that amount of draw downs
I dont trust any trader who plays only with OPM