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The front end is going parabolic lately, it seems that is fueling the stock market and gold perhaps

I do find it very interesting how that Anekdoten guy could claim to make tons of profits trading a historically mean reverting asset(S&P500 futures) with a TF system. But that is just part of it, to me some red flag were his claims -Only having 7 losing days in 2007 with a hybrid system that...

Just finished reading chap 3 of Practical Speculation. Its on technical analysis, he says his quant teams tested just about every indicator and they werent profitable. Also it included a number of 'patterns' that TA books like to promote and they typically failed. The NYFed tested the H&S...

As far as I know, he agrees that some systems were able to capture trends in retrospect like those studies, he just doesnt think that can keep on going as markets tend to change. It appears to me that he is making a distinction between permanent edges and temporary edges. His obscure statistical...

He also uses a number of other studies which I dont understand(regressions, runs and turning point tests, arima estimates, variance ratio tests, and non-linear extensions), I'm still waiting for Covel to address these instead of hiding behind his typical 'he blew up'

I'm waiting for the evidence that the TF funds net $ return can beat basic benchmarks or the stock market. I certaintly wont buy the compounded % returns that covel talks about because he's got courses and seminars to sell. If the TF funds indeed have a tendency to have drawdowns with bigger AUM...

The paper you mentioned might very well have show profitability simply due the small cap effect(the lack of arbing that exists in small cap stocks) that the 'does TF work in stocks' shows. Eric has already said he found a inverse correlation between substantial upmoves and market capitalization...

The times where reflexive trends get out of control are the exception, most of the time the market corrects itself, the times where they dont bubbles form and one can take advantage of that. Certaintly not through buying every hint of a trend(like TF funds) but by indentifying the market mistake...

http://www.marketwatch.com/story/ambac-warns-it-may-file-for-bankruptcy-2009-11-10?dist=bigcharts

He does mention a different set of data "Kenneth L. Fisher and Meir Statman, in a definitive study covering the years 1872 through 1999, also concluded that P/Es provide unreliable forecasts of future returns. 'There is no statistically significant relation between P/E ratios at the...

With regards to PE ratios and stock returns he says "The data considered were from 1974 to 2001", and he reaches the opposite conclusion as Robert Shiller, says high PE ratios are followed by good returns, low PE rations by bad returns. The problem is that during that sample you had a stock...

The reason I believe it makes little sense for some to proclaim 'earnings dont matter' based on correlation studies is because if taken to an extreme that theory would not hold. If all S&P500 companies where to report $0 earnings, the stock market would fall, hard. Yes this doesnt show up in...

On the lack of correlation between earnings and stock returns "Still other readers objected that stock prices are determined by expectations of earnings rather than the actual earnings themselves. As earnings come in, they might provide little information about future expectations and thus...

I'm currently reading the book Practical Speculation by VN and Laurel Kennel. Its good, just finished the 1st and 2nd chapters. The 2nd one is interesting because it claims PE ratios have little or no predictive power for stock returns(indices), I thought that was the case after looking at John...

UST report of banks bailed out by TARP http://www.financialstability.gov/impact/monthlyLendingandIntermediationSnapshot.htm Same thing, little lending, bank balance sheets contracting

Speaking of the Fed Loan Survey, its out http://www.federalreserve.gov/boarddocs/SnLoanSurvey/200911/charts.pdf http://www.federalreserve.gov/boarddocs/SnLoanSurvey/200911/table1.htm http://www.federalreserve.gov/boarddocs/SnLoanSurvey/200911/table2.htm Pretty much all categories of loans...

I disagree with that guy. First he seems to praise measures of money like M3 which are flawled. M3 counts stuff like time deposits which are simply bank bonds, if BAC issues a bond and you use cash to buy it, that doesnt increase the money supply or people's ability to create inflation, if the...

Its a matter of looking at these other big funds during the Henry drawdown(given their correlations) and seeing what kind of drawdowns they had with what AUM, then comparing with the profit from 2008 and seeing if they those net $ returns are any meaningful. Given that their compounded % is...

Actually there was a guy here on ET named anekdoten who claimed TF worked so well in US stock index futures he made a living daytrading them. He claimed he had 7 losing days in 2007 using TF to SCALP the ES. I thought his story was true but now I'm beginning to question it, a lot, given the...

Is this derived from the $ return?Judging by the experience of John Henry who got big money then lost big I'm not so certain. Specially given that he is frequenly used as an example. Furthermore its possible the TF funds had drawdowns with bigger AUM(like VN claims), so the total $ return to...