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100 times zero is still zero ;-)

Not using stops is for traders with infinite capital. If your capital is less than infinity, you need to use stops.

Greed is a good thing when combined with intelligence and rational behaviour, and a bad thing when combined with stupidity.

It all depends on what you mean by a "planet without money". A world without money of any kind is impossible due to the need for a medium of exchange each time a simple barter trade cannot be done. If you abolish one form of money, another form will simply evolve due to the need for a store of...

Volatility is the name given to how much a market moves in a given time period. Standard deviation of returns and average trading range are two possible ways to calculate a value for it. The normal distribution has nothing directly to do with it. To take account of fat tails, try using a...

Anyone claiming to know how to time the markets is a fraud. Looks like he needs to sell a good handful @ $145 to make good some trading losses :) All of these books cater to people who think that with the "right" indicators they'll make money all the time. I wonder how much he says about risk...

Sorry, did you mean you dynamically decide which assets are trending or mean reverting as time unfolds? Or, that you have a fixed set of 'trending' assets? The former is of course perfectly valid. If you decide to treat different markets in different ways based on a process that *itself* treats...

Out of sample testing? Let's suppose you have thirty years' daily data for a particular asset. Using any combination of 2, 5 and 10 year subsets, you can "prove" that the market mean reverts. THEN from years 31 to 35, it starts trending.. bigtime. You can't predict this, but when/if it...

Well, the term "curve fitting" is actually short for invalid (i.e. statistically non robust) optimisation. Obviously some back fitting will have been done, otherwise you will have no system at all. Assigning properties to individual markets is statistically a type of prediction and a major...

Thinking that some markets trend and others are mean reverting is a classic mistake of curve fitting. It's really the most basic one you can make.

I'm definitely a trend follower. It's important to realise that weak, choppy trends are rarely profitable for trend following systems because of the open position management algorithms that get you out of the trend if it starts to reverse. They can lead to a lot of stops being hit in a row...

2008, yes. Trend following funds outperformed everyone. 2009, no. Diversified futures trend following programs were almost all caught out by the choppy nature of the uptrend. It wasn't a typical bull market - the shape wasn't quite right.

What do you mean by 'avoided'? They should have been shorting in 00-02 and 08 and making a lot of money. Could I ask you what the backtested mean and standard deviation of these systems are over the last 30 years?

Well my system definitely isn't curve fitted, otherwise it would never have remained so flat over the past year - it would have haemorrhaged cash at an alarming rate. It simply isn't possible for a trend following system to make money in 2007, 2008 *and* 2009. The uptrend from Mar 09 was...

Southall - that's interesting. Four times is pretty severe. But by no means impossible.

My question was aimed at systematic trend following traders. Most modern trend following systems make their real money from big directional market moves (e.g. 2008 crash, 2007 oil price spike) and use smaller trends to stay afloat whilst there are no big ones. The problem with the equities...

Well, that's one person who's clearly NOT a trendfollower! Tell me, did you make money during the crash of 2008? I know you'll say yes, so I can only conclude that since you know exactly when markets switch from trending to rangebound and back again, you are a smarter man than me. I have a...

Prediction is futile. That is our mantra. BUT after 18 months or so of treading water I'm sure we're all asking the same question!

To be fair, the basic concept behind RDPD - that the only difference between those who end up rich and those who end up poor is that the former acquire assets and the latter liabilities - is invaluable. Everything else is bunk, of course.

Er.. kicking out a foreign power that had invaded the islands, don't you remember? :)