Saturday, January 02, 2010

Trend Following Trading Model

For the past several weeks I have been openly sharing a new trading system on this blog.  It is in its essence a trend following model, purely mechanical and objective in its design and execution.


Hourly Model real time performance

+41.88%


Since inception, November 10, 2009




I have this past week created a Daily Model of the same trading technique.  Hypothetical back-testing of the Daily Model shows a 12 month return of about +150% without pyramiding,  to +650% with pyramiding ("pyramiding," simply means placing all cumulative net proceeds in succeeding trades):

Daily Model


Finally, a variation on the same theme, using a Weekly Model to filter out Daily trades that are not in the direction of the current Weekly signal:

Daily Model w/Weekly Filter


These results are too good not to share.  Although a thorough reading of my blog will disclose the parameters being used, the system requires an investment in software, data feeds and possibly hardware in a complex array of daily monitoring and record keeping.  An easy alternative is for me to supply the trading signals to all interested traders for a modest monthly subscription fee.

Allan's Definition of Modest

$50 per month for subscriptions initiated during January, 2010. (This amount will never increase as long as the subscription is continuously maintained on a monthly basis);

$100 per month for all subscriptions initiated on or after February 1, 2010;

Additional increases possible after March 1, 2010, commensurate with real time performance and/or an increase in the scope of and/or nature of the service.


Logistics

I will send out an email with Hourly and Daily trading signal thresholds, or "pivots".  If the threshold is hit between emails, trades are assumed to be initiated.  Pretty simple stuff.  I intend to cover SPY, SDS and TZA in the initial symbol coverage, representing an unleveraged index, a double beta index and a triple beta index.  As performance dictates, I may add (or delete) other symbols to the coverage list, always trying to focus on the most robust and profitable trading opportunities.  Performance records will be based on the underlying tradable, although all covered symbols do trade active options that could serve to increase leverage and amplify performance, either up or down (use "Average Trade Percentage" in the performance tables for ideas).

How to subscribe

I've placed a Subscription button on the profile column on the right side of this blog.  Click it and follow the instructions.  All subscriptions are made through PayPal and can be terminated at will, either yours or mine.  Why would I terminate a subscription?  If anyone were to distribute the signals without my permission, they will be terminated. their subscription will be terminated.



The lawyer in me

I am so very sorry for this.  I wrote the above description of this subscription service in about 30 minutes on New Year's Day, then turned to the issue of regulatory compliance relevant to this kind of project.  Three hours later, the following represents what has to be disclaimed to subscribers, prospective subscribers, readers of this blog and just to be safe, anyone else.  What has brought our entrepreneurial society to this state of risk disclosure/disclaimer/avoidance?  Fodder for a new Blog, coming soon in 2010. 

 A


 FINANCIAL ADVICE



The Information, Tables, Charts and other Analysis (hereinafter collectively referred to as "Information") and other resources available on or through this AllAllan.blogspot.com (hereinafter, "Website" and/or "Allan P. Harris") and received from or through this Website such as e-mails and/or newsletters are provided for education and informational purposes only, without any express or implied warranty of any kind, including warranties of accuracy, completeness, or fitness for any particular purpose. The information contained in or provided from or through this Website is not intended to be and does not constitute financial advice, investment advice, trading advice or any other advice. The information on this Website and provided from or through this Website in the form of e-mails and/or newsletters is general in nature and is not specific to you the User or anyone else. YOU SHOULD NOT MAKE ANY DECISION, FINANCIAL, INVESTMENTS, TRADING OR OTHERWISE, BASED ON ANY OF THE INFORMATION PRESENTED ON OR DELIVERED BY ANY OF THE PRODUCTS, SERVICES, INTERNET WEB SITES WITHOUT UNDERTAKING INDEPENDENT DUE DILIGENCE AND CONSULTATION WITH A PROFESSIONAL BROKER OR COMPETENT FINANCIAL ADVISER. You agree that any and all use of the information and Website which you make, is solely at your own risk and without any recourse whatsoever to Allan P. Harris or AllAllan.blogspot.com,  its associates, subsidiaries, partners or content providers. You understand that you are using any and all Information, Forms, Tables or Charts and other resources available on or through this Website and received from or through this Website such as e-mails and/or newsletters AT YOUR OWN RISK.


Allan P. Harris makes no representations or warranties, expressed or implied, as to the accuracy, completeness, or fitness for any purpose or use of the information presented on the Website or made available from any or all of the products, services, internet web sites owned and operated by Allan P. Harris. The information may not in all cases be current and it is subject to continuous change. Accordingly, you should not rely on any of the information as authoritative or substitute for the exercise of your own skill and judgment in making any investment or other decision. Website does not warrant that the supply of information will be uninterrupted, error free or not terminated altogether, and will not be liable for any direct, indirect, or consequential loss arising from any use of or reliance on the information and its availability.

The information does not constitute or form part of an offer, subscription, recommendation or solicitation to buy or sell any securities, commodities, financial objects, futures, options, stocks or other investment vehicles, in any amount or at all or to take up any services, nor should it be relied on in connection with any contract or commitment whatsoever. YOU ABSOLUTELY MUST MAKE YOUR OWN DECISION BEFORE ACTING ON ANY INFORMATION OBTAINED FROM THIS WEBSITE. PAST PERFORMANCE IS NOT NECESSARY AN INDICATION OF FUTURE PERFORMANCE.

Hypothetical or simulated performance results have certain inherent limitations. Unlike an actual performance record, simulated results do not represent actual trading. Further, since the trades have not actually been executed, the results may have under-compensated or overcompensated for the impact, if any, of certain market factors, such as lack of liquidity. Allan P. Harris does not warrant that trading methods or systems presented in its services or the information available on or from its Website and received from or through this Website such as e-mails and/or newsletters will result in either profits or losses.

Analyst research available through this Website does not constitute a recommendation or a solicitation by Allan P. Harris nor is it a recommendation or solicitation that any particular investor should purchase or sell any particular securities, commodities, financial objects, futures, options, stocks or other investment vehicles, in any amount or at all. Allan P. Harris and his employees and/or representatives are not and do not represent themselves as being investment advisers or investment managers, and do not make representations relating to the use of the information on this Website. Allan P. Harris does not warrant or make any representations regarding the use or the results of the use of the information and materials on this Website in terms of their correctness, accuracy, reliability, profitability, or otherwise. The information and commentaries are not meant to be endorsements or offerings of any securities, commodities, financial objects, futures, options, stocks or other investment vehicles. As well, they are not meant to be guides to investment. Allan P. Harris, his employees and representatives are in no way liable for the use of the information by others in investing or trading in investment vehicles.

RISK STATEMENT: The trading of stocks, futures, commodities, index futures or any other securities has potential rewards, and it also has potential risks involved. Trading may not be suitable for all users of this Website. Anyone wishing to invest should seek his or her own independent financial or professional advice.


AUTO-TRADING AND SIGNALS

Signals and email-alert services of Allan P. Harris are not intended to be and do not constitute financial advice, investment advice, trading advice or any other advice or trading service whatsoever.  YOU SHOULD NOT MAKE ANY DECISION, FINANCIAL, INVESTMENTS, TRADING OR OTHERWISE, BASED ON ANY OF THE INFORMATION PRESENTED ON OR DELIVERED BY ANY OF THE PRODUCTS or SERVICES OF ALLALLAN.BLOGSPOT.COM or ALLAN P. HARRIS. You agree to hold Allan P. Harris harmless for any losses whatsoever that you may incur.

Should you base any trading decision on our signals, email alerts or any other information derived from this service,  you acknowledge that you were informed of and you agree as follows:

All the information you receive from this Website is provided for education and informational purposes only, and you are solely responsible for interpreting the information provided herein;


You are solely responsible for making all your trading, your order timing and your execution decisions. You use information provided for such investment and trading decisions at your own risk;

Neither AllAllan.blog.com nor Allan P. Harris is or will be liable for any losses you may incur;


Neither AllAllan.blog.com nor Allan P. Harris is familiar with any individual subscriber's or trader's financial situation or investment portfolio or trading practices.




40 comments:

Anonymous said...

Allan I just signed up. If I was looking to follow the daily signals, should I initiate a sell on Monday or wait for the next signal?

Anonymous said...

A, I would like to follow these signals in my retirement account but don't think I can short TZA in my 401K account. Any alternatives to dealing with this when the system goes short?

Art

Allan said...

Re: Monday

I'll send out an email this weekend with current Model positions and reversal pivots. The Daily Models are very close to flipping from being Long most of December to Short.

Re: Shorting TZA

TNA is the bullish reciprocal; although not back-tested, one idea is to use TNA and TZA as respective LONG and SHORT positions on IWM (Russell 2000) index

Mike said...

"The Daily Models are very close to flipping from being Long most of December to Short."

just to clarify...

would SPY still be long...and SDS and TZA actually be short?

-Mike

Mike said...

Allan,

another question...

your hourly trend model....does it have no filtering?

in other words...does it take each and every trade....regardless of being long or short?

-Mike

Anonymous said...

Allan
i'm filling the subscription form but among the list of countries mentioned, my country name is not included.....what should i do?

Allan said...

Re: Mike,

Daily SPY is long, SDS and TZA short (barely).

As for filtering Hourly trades with Daily model direction, if I can throw a backtest together, I'll post the results, but I cam pretty sure it will beat the pants off of what are already stellar returns.

Anonymous said...

Checking in from New Orleans.

For those of you that cannot take a short position in your 401k, consider following the IWM signal.

When the indicator is long you should be in TNA. When the ATR indicator switches to short, you should be in TZA.

Some advice. Subscribe to the service. It took me about 6 months of trial and error using different software and data feeds to mirror Allan's results. My backtest results confirm Allan's results. Good luck for a Happy NEW Year.

Anonymous said...

Allan-

Question & a comment:

Q: Do I have to initiate the monthly payment before the end of each month or does it automatically recur every month?

C: In your legal disclaimer do a find for "Highlight Investments" - not sure if that is you or if it should read Allan P. Harris (i'm no lawyer)

TIA,

David in LA

Allan said...

Re: David in LA

PayPal should automatically continue the subscription on a monthly basis until you tell them to stop, by clicking on "unsubscribe" icon next to your subscription history;

As for the "highlight investments" typo, my bad, I had used language from three similarly situated services and one of the names didn't get changed. Fixed now (and thank you for actually reading the legal stuff).

JAPO said...

Hi Allan,

I was wondering if you could be a really nice guy and only get payed for each buy-sell signals if those signals actually provide a profitable trade for us :)

Would you take that challenge?

Regards.

Allan said...

JAPO,

Last December my site had over 45,000 hits, over 30,000 unique visitors.

On December 13, 2009 I wrote up GFRE:

http://allallan.blogspot.com/2008/12/gfre.html

+700% gains in just over a year. Yet less then ten "Donations" from my readers for all of 2009 and of those, I know half were unrelated to GFRE.

Just one example, but it does illustrate the "inefficiency" of an honor system.

If $50 is too much risk for anyone, they shouldn't be playing anyway.

A

JAPO said...

Allan,

Don't get me wrong. I only met your blog for the first time yesterday! :)

I was googling for TZA analysis and I found this blog. Let me start by congratulating you on your success.


When you say this:

"If $50 is too much risk for anyone, they shouldn't be playing anyway",

please remember that TZA is a 3x leveraged bear ETF and the risk isn't the $50...the real risk is the loss one might achieve when using your signals (dispite your successful signals :) )

Please tell me something; is this system reliable for end of day data based signals? This implies buying before the market opens in the very next day.

I would be willing to "buy your signals", but only after a 1 or 2 real tests before. What do you think on this?

Regards.

Allan said...

JAPO,

The Daily Model seems to be right up your alley, but I only have l hypothetical results for this model. The Hourly Model on the other hand is real time test right from right here on this blog. My recommendation for you is to study the system posts since November 10 and get a feel for how it works. Although I am taking the real time monitoring off of this blog and onto the paid subscription list, I'll periodically post summaries of how the Models are doing. Should you become comfortable with this type of Trend Following and Trading Models, you will be welcome to subscribe, real money, real time. If you decide by January 31st midnight (Arizona time), you can still get in at the reduced rate.

A

JAPO said...

Thanks Allan.

I will study your system. However I'm only interested in end of day signals. Would this be a problem to take advantage from your system?

Anyway, I will become a regular reader (and comment-poster) of this blog, as TZA, TNA, SPY and SDS are some of my favourite ETFs.

Regards and goodluck,
JAPO.

Anonymous said...

HAVE ONE'S CAKE AND EAT IT TOO!

I think Allan showed he's a nice guy by the way he answered JAPO's request:-)

THIS IS A TOUGH GAME!

If you can find someone successful enough to actually make a living from their trading (not marketing) and ride on their coattails: How much is that worth?

Regarding Allan's results to date: You can verify them by hand using stockcharts.com, or backtesting using Ninjatrader and Tradestation.

Ultimately, the future is unknown. So is future performance of a system. Rational position sizing is paramount.

Lastly, I urge anyone new to trading wanting to succeed with a system like Allan's to read a book like WAY OF THE TURTLE

Important Takeway from book?:
Anyone familiar with this legend knows that several traders were trained and given exact system, yet performances varied drastically.
You have to blindly take every signal without prejudice in order to match Allan's stats.

For a novice, trading with real money is tougher than it seems. Overcoming emotion is more of a challenge than discovering a system with edge.

Lucky

Anonymous said...

Allen, I'm in. Let's have some fun and make some money while we're waiting on NNVC.
Doug in ATL

Anonymous said...

Hi Allan,

Very exciting! Can you confirm when the daily signals should be executed? At the close of the signal day or at the open of the following day?

Thanks,
Eric

Anonymous said...

Allan,

As part of the subscription will you provide the parameters of the buy/sell trigger line?

Thanks...Don T

Allan said...

Re: Execution - Daily Model

Trades in the performance tables were taken as triggers were hit, as opposed to the end of the day in which the trigger was hit. There is a small degradation in performance by waiting until the close...either of these entry techniques will suffice, whichever is up to the individual.

Re: Parameters

The systems parameters have been discussed already, no subscription is necessary. However, only a handful of my readers have been able to replicate my trigger line.....see Comment above from a reader from New Orleans, time stamp 12:08 pm

Anonymous said...

Helpful Financial Advice Online

http://finance-infozone.blogspot.com/2009/03/helpful-financial-advice-online.html

Allan said...

Re: Subscriptions

First email will go out later today, Sunday. Response has been tremendous and I am humbled by the support for my work and flattered by the number of you who want to be on board.

A

Anonymous said...

Allan,
When I click on your subcribe link I get the page to select paypal but the pageis frozen. Can I send a paypal payment directly from paypal to your e-mail or is going thorugh the subscribe button necessary for records?

Thanks for doing this - it's very interesting to follow.

Allan said...

I just tried and had no problem. Might be a local computer or connection issue. Try again later and if you still can't get through, let me know and I'll make sure you are accommodated.

A

Anonymous said...

Tthank you. I'll try again and if it doesn't work will go to plan B...heave computer out second floor window, fill with buckshot, buy new computer.

Anonymous said...

Allan,
First of all, thank you for your blog and for all of the information you have shared. I have been reading your blog for over a year now. I would call myself a novice when it comes to the type of trading you do.

I do not have any of the software or programs that you and most of your readers have and use in your trading. I simply buy and sell through my Schwab account.

My question for you is: If I sign up for your subscription, will your email alerts basically tell me what to buy and at what price to buy it, what to sell and at what price to sell it and what to short and at what price to short it and cover, etc.?

I have followed your blog long enough to realize you know what you are doing and that you do want to help those of us who follow you. I am convinced that following your pattern will be more successful than what I do on my own. (even though your legal disclaimer cautions otherwise)

Before I sign up, I just want to be sure that I will be able to apply your information with my limited tools and experience. In other words, can a novice like me basically shadow your trades without going full blown into the software and special tools that most full time traders use?

Thank you very much for your time and for your blog.

Allan said...

Security law prevents me from giving out individual advice. That said, the emails will be unequivocal in describing at what levels the Models will be either LONG or SHORT. That leaves a modicum of personal responsibility to the individual following the Models.

A

Anonymous said...

Alan is this an always in the mkt system? What type drawdown can one expect?

thanks

Anonymous said...

Allan

One question on the daily model. If the trigger was hit before end of the day but by end of the day it was back to non-triggered, would you close the trade? What if the price kept on flipping around the trigger line? Thanks a lot

"Re: Execution - Daily Model

Trades in the performance tables were taken as triggers were hit, as opposed to the end of the day in which the trigger was hit. There is a small degradation in performance by waiting until the close...either of these entry techniques will suffice, whichever is up to the individual."

Allan said...

Re: whipsaws

My trading style is to take all signals. If one is a preliminary signal that only gets confirmed on the close, I take it and if not confirmed, I reverse back to b e in sync with the trend. Waiting for the close works too. There is no "right" answer.

James said...

Hi Allan,

I am a Singaporean who has been monitoring your blog for quite some and am quite impressed with your to date results.

As I leave in country where the timezone is totally inverted to that of USA, hence I would like to subscribe to your trading signals and have my broker execute the daily trading signals in my account. Can arrangements be made?

(In terms of confidentiality purposes, I believe my broker would be willing to sign an agreement with regard to not distributing the trading signals generated)

Please let me know at your convenience at jameskuah@gmail.com

Thanks so much!

Anonymous said...

Hi Allan,

I am interested in your subscribing to your trading signals, however my fulltime job is not a trader. I do some trading before I head to work and some during the day. I do not hold funds greater than $25k in my trading account as I am still trying to build it up, therefore I cannot get in and out of the same stock in the same day.

Would a trader such as myself still be able to benefit subscribing to your trading signals? Or is the subscription geared towards day-traders and those who trade for a living?

Thanks!
Jay

Anonymous said...

Hi Allan

Would your tecnique still work if I were to use CFD's for playing SPY/SDS/TZA etc? I ask this as I only have a couple of thousand to play with per ETF!

Thanks

greg said...

Ok, I donated, what next?

Allan said...

When I get confirmation of your subscription from Paypal I will add your email to my subscriber list as well as send you out the latest e-mail. If you don't get anything within a couple of hours, send me an email at:

allallan@me.com

A

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Anonymous said...

In the legal disclaimer there is mention of Autotrading. Are you offering an Autotrading service? If you are then which Broker is it?

Anonymous said...

AutoTrading is offered by a service that I subscribe to and very happy with. John from Trend Architect (www.trendarchitect.com) announced that today. Just my two cents..