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Was it ever an edge?... It seems that their "edge" was mostly marketing aimed at small investors, leverage and huge fees....

Looks like Superfund are downsizing big time: http://www.institutionalinvestor.com/alternatives/Articles/2617432/Christian-Baha-Is-Not-So-Super-These-Days.html

That TradingBlox post is not from me but I think the main point is to show that the "prediction power" of an entry signal is less important than how you manage your position

True risk management is key, but it is "sort of" embedded in Trend Following strategy, ie cut your losses short and let your winners run

mizhael, this is due to the excess kurtosis in the price distribution - the basis for Tend Following - see more on this discussed here: http://www.automated-trading-system.com/why-trend-following-works-look-at-the-distribution/ Or to see performance of some random systems...

Blow-up: see Amaranth, LTCM, Niederhoffer, etc. basically holding positions that go the wrong way and keeping holding until the losses are too big that they "blow up" and force you to unwind the position and close the fund. Typically happens with Option-writing strategies: look (very) good...

Thanks - I'll try to add those - but as you say, its not always easy to find CTA performance reported every month (ie some CTAs only make it availabelt ot clients, etc.)

Ouch indeed... Well, after all, this is not a bad thing since they seem to be fairly dishonest with their fees, etc. Not sure if you caught that on my blog but I ranked Trend Following CTAs and funds including Superfund, it was ranked as the second worst of all the managers, providing...

Could it be that there is some confusion between backtesting, out-of-sample testing and paper trading? I personally believe that backtesting should encompass protoyping and optimisation on past data as well as some phase of unoptimised out-of-sample testing. At that point you should be able...

Have you tried CSI? I only used them for Futures but they are very good.

I would say Trend Following. This is not a surprise that most succesful Managed Futures/CTA funds use Trend Following as a strategy...

Jeff, I would try NinjaTrader for free backtesting or also AmiBroker, excellent and very cheap. I personally use Trading Blox but that would not fit in your requirements of being cheap (although it is excellent)...

makloda, Thanks - I'm also on the TB forum... I was trying to broaden my horizons, but you seem to be right!

Dear Mr Hershey, You seem well versed in the Elite Trader message board rules... Are you sure the latter is what you meant? :confused:

Thank you for asking the question Rodney. I was going to ask exactly the same thing to Mr Jack Hershey???... (Just to be clear, the answer is nothing...) ok I have a blog that I use as my "thoughts/research" repository and I linked to a page of it (which, by the way, I believe could be...

wow... catching up on this thread after being away from the computer and boy did it veer off course. I was expecting some endless "why trend following works/does not work" discussion - the thread never managed to reach that stage... ;-)

Ok - provocative thread title. For the record, I dont think this is the case. But some people might be believing this (again!) as the performance of main CTA funds has been turning south 2009 was mostly negative and the January performance of top Trend Following CTAs is still showing red...

Great link Rod! Thanks for sharing - hadn't come across this before

well - if it can be automated, why not drink a piña colada on the beach in Cancun (possibly with your girlfriend :cool: ) while a robot is doing the trading for you... :p

Rod, Thanks for the links - Covel's sites are usually the "go-to" place to get preliminary info indeed... I did a quick lookaround but could not easily find where they report their performance (I ususally check iasg or AutumnGold and they did not seem to have it) while Graham Capital...