Reply

How to handle “consolidation” periods in Trend Following strategies

2 replies

Paulo

Customer, bbp_participant, 3 replies.

Visit profile

2 weeks ago #280816

Hello friends,

For my personal characterists I prefer to develop “Trend Following Strategies” but as you probably know is how to improve the success percentage and filter the market consolidation periods. I would like to ask all of you how do you handle these periods?

Usually I use ATR indicator trying to filter it but I would like to discuss this point with you because I believe it will be helpful for all of us.

Paulo Henrique Parize

0

tomas262

Administrator, sq-ultimate, 1 replies.

Visit profile

2 weeks ago #280825

Hi,

mean-reversion entry into the original / past trend direction could help. You can use this even to scalp the chop as another strategy … allows you to help your original trend position into profit.

Market trends up, then consolidates now you want to buy further from mean. Check our templates on mean-reversion that could help to time entries https://strategyquant.com/blog/building-mean-reversion-strategies-using-templates-and-limit-orders/

Determining the main trend is a different problem though

0

Paulo

Customer, bbp_participant, 3 replies.

Visit profile

1 week ago #280961

Hello Tomas, thank you.

Really nice ideas. I am going to “dive” in this suject.

I am going to give you and to our collegues here a scenario.

I discovered the best HiLo period to determine the maing trend, is 40(dayli period).

But now to improve the sharpe index of the capital curve I would like to avoid or as you suggested to realize some “mean reversions” trades in order to improve the capital curve. I know how to use the QuantAnalyzer but I do not know how to use StrategyQuant and Algowizard. Do you believe is possible to set the HiLo as my mai “average” and based on it develo the mean reversion strategy? I going to study the Algowizard documentation also….

If I was not clear feel free to ask, ok?!

Thanks.

Attachments:
You must be logged in to view attached files.

Paulo Henrique Parize

0

Viewing 3 posts - 1 through 3 (of 3 total)