Recent content by AFJ Garner

I could have used any example to demonstrate that it should be possible to use simple systematic trading to achieve a better risk adjusted return than buy and hold. Apple's particular history is not relevant. Tests with 2000 US stocks in a single portfolio tell the same story.

Apple: Have you Held Since the IPO? If you had bought shares in the IPO of Apple at the IPO price of $22 in 1980 ($2.44 adjusted for corporate actions) and held them through to the present day, you would have achieved a compound annual growth rate close to 17%. $100 invested in 1980 would...

I have continued to work on the question of changing volatility in the futures markets over time, for the purposes of attempting to build realistic synthetic data series. It is my intention to mimic each class or sector separately and to have many different series for each “asset class”...

You might want to look at Eric Crittenden's paper "Does Trend Following Work on Stocks". Don't back test the current constituents of the S&P - you will get highly curve fit results. An index = a system. You might like to see "Index Investing = Trend Following" by searching for that...

Probably not the right place to enter into that sort of discussion. See this thread which states very clearly my position on the need for continuing research and development: http://www.elitetrader.com/vb/showthread.php?s=&threadid=179342

What makes you think its complex? Trend followers will profit where trends are of sufficient quantity, duration and magnitude to make up for the many losses resulting from choppy markets and whipsaw. Otherwise they will lose money. CTA results over the past few years have demonstrated this...

Say hello to dear little Noddy! Give him a merry wave please as he toddles by in his little red and yellow car on his way to meet Biggy Ears in his little toadstool house. Follow his adventures as he battles with the terrifying Goblins, Sly and Gobbo. Comfort him when he is scolded by severe Mr...

Yes. Even in a strong Bull or Bear market, it seems a bit unlikely to me that the daily closing prices of a particular index or instrument would “close” continuously higher or continuously lower day after day. And thus it was not surprising to find that the 1 lag 120 day serial...

In his interesting article “The Main Cause of Failure of Some Popular Technical Trading Methods” Michael Harris says: “Indicator based trend following and classical chart patterns are two trading methods that were developed in mid 20th century using data from the equity markets mainly...

There is precious little agreement in academia as to almost any aspect of markets. There is no need to list or re-iterate the many views out there. Much has been made of black swan events and there apparently increasing frequency in modern markets. Much has been made of the apparent change in...

In his interesting research paper “Where are the Trends?” Martin Estlander seeks an answer as to why his trend program is in the worst drawdown in its history. Many traditional trend followers are in a similar situation. His answer is that the past two years have seen very few strong...