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My volatility target is 30%, and I am using 16 instruments, and all of Gat's variations of the breakout and ema rules. I am not using the carry rule currently, nor am I using any volatility instruments. Instruments are sp500, nasdaq, us5, us10, mxp, nzd, eurodollar, corn, wheat, soybeans, live...

Hi Elder, Did you use Gat's pysystemtrade code for your trading? I used it last year and just broke even for the year, so I'm surprised others have had significantly different performance from mine.

Good question, tradrjoe. I use a simplified version of GAT's system, which excludes carry, and trades 16 instruments, and I am essentially flat in 2019. GAT, do you know what elements of your system have outperformed? Is it one or two outlying instruments or rules that I may not have? I would...

I'm up 15.4% since January 1st, but I think my volatility target (30%) is higher than Gat's, and my sharpe is lower at .8, trading 16 instruments. I also don't use Gat's carry rule, since it always has a negative impact to my backtests. Anyone else experiencing bad carry performance? Gat, what...

Hi GAT and others, could you please give me your opinion of Winton's view that the trend following strategy has becoe overcrowded? https://www.winton.com/davids-views/July-2018/wintons-david-harding-on-turning-away-from-trend-following-risk-net I know this link has been posted here earlier...

What length of historical performance do you like to have to be confident that a strategy will continue to work for at least the short term future? After what period of underperformance would you discard a strategy?

You're right @truetype, my calculations were off. The last 9 years have basically been a wash between Gary's strategy and buy/hold. But if you pick the 9 years after 1975, it's also basically a wash. So, naturally there will be periods of underperformance, but taken as a whole, over 40 years...

I agree, that sounds like a good strategy. But, how can you have confidence that that strategy will work going forward? Because it has worked for such a long time into the past? Well, so have momentum strategies on nearly every kind of instrument, and they tend to generate a better sharpe than...

Yes, it's hypothetical, but how does one choose a strategy without a robust backtest? Buy and hold equities backtests at 10% per year. Is that not good enough to be considered a viable strategy?

By my calculations, the outperformance over the past 8 years has been about 5% per year on average.

That must be it, thanks, @traider!

Hi, truetype. I agree that Faber-like momentum strategies shine when the market crashes, but look at Gary's performance over the past 40 years. The average outperformance vs the benchmark is a huge 6% per year. It's hard to argue that that is just luck over such a long backtest period.

For anyone who is using GAT's awesome pysystemtrade: I don't understand why the sign of the carry forecast is different between Soybean and Livecow. Here is a list of prices for both, and the corresponding carry forecast. If the price of the further contract is higher than the price of the...

I use momentum on SPY, according to Gary Antonacci's system here. http://www.optimalmomentum.com/gem_trackrecord.html What do you guys think of this system?

Thanks @Elder (please don't apologize for offering your view!) and GAT. I am looking to maximize returns, as this is my retirement account, to be tapped in maybe 25 years. I do have some money in index funds, but not as much as I'd like because most of my account capital is required to have...

Interesting, so if I replicated your Chapter 15 strategy, and I had 10 year annualized returns of zero, and lets say the SP500 did 5 percent per year annualized, I should still stick with it?

Thanks, GAT, for a great read. I have been trading a version of your strategy for a year now, and I am obviously underwhelmed by my performance. Obviously a year is far too short a timeframe to make a claim like "trendfollowing is dead". However, over what timeframe could I have sufficient...

The theory of the degradation of trend following is further boosted, I think, by the equity curves of various iterations of the strategy over the last few years. They have a pronounced and long-lasting levelling-off, not seen in my backtests back to the 70s. I would say it is an unprecedented...

My diversification concern is the following: Stocks and bonds are negatively correlated. Great, so that means diversification. But, if stocks are trending up, then my system will be long stocks. So, that means bonds will probably be trending down, so I will be short bonds. Aren't I losing a lot...

That's what it seems to me that truetype is saying. GAT, do you have an opinion on this? Seems like we may want to remove Vix from a trend following strategy, in case we get another 1987.