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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...

Thank you - and bang up to date. I look forward to reading it and hope that I can understand it!

Interesting to look at that report written in 2001 and note how prescient or otherwise the author was.

Thanks, excellent. I'm doing the same sort of research myself. Also see the Estlander report which said much the same sort of thing re "magnitude".

I much enjoy Michael Harris’ Price Action LabBlog and have listed it in the websites section here at Traders Place. I have been working my way through Michael’s articles on trend following and in particular his article “Is There Any Future in Equity Index Trend-Following?” gave me pause...

I have recently started to chat to Professor Tom Gastaldi (Professor, Mathematical Statistics, First University of Rome "La Sapienza") whose profile can be seen on Linked In. He has worked for many years on the G-Bot project and below is a brief synopsis redacted from his website: “The...

Thank you Jack for your pleasant response. I do not need or seek "help"; I merely enjoy sparking rational and civilized discussion, to which you have contributed. The majority of people on internet forums, particularly anonymous ones like this, enjoy the surrogate violence of being unpleasant in...

Many thanks to all for your thoughts and contributions. As I have said repeatedly, I have no doubt whatsoever that there are trends and that such trends are caused by supply and demand in the economy and human behaviour. I do not believe in the EMH. I do not believe that the markets are a...

I have no doubt whatsoever that there are "trends" - periods of time when prices go from A to B without too much retracement or noise. I have also no doubt that trends are seen in every timeframe - that such patterns are fractal. It is true that you can not see a trend until it is over - as the...

The best information is available for free once you have bought/leased a back testing engine and obtained data. Most back testing engines come with plenty of sample systems to tweak. Supplement this with a few good trading books like Kaufman's and look at some of the excellent free blogs out...