Doesn`t really matter.Making something out of it takes alot of time and a lot of capital.If i gave you the best system in the world today you`d be somewhat wealthy only in 20-25 years,at least.
Best momentum/trend following strategy/strategies book/article/research paper in market?
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Doesn`t really matter.Making something out of it takes alot of time and a lot of capital.If i gave you the best system in the world today you`d be somewhat wealthy only in 20-25 years,at least.
ha ha I dont think using real identity in internet world is a good idea. By the way I do my own resaerch and work hard on my own, I ask for recommendation and sharing dont mean I dont do my work.
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Crap. I followed this guy for several years. Once he was asked in his forum about the bad performance of his trend-following fund that used his methods. He never gave a straight answer. I followed his fund in Bloomberg. Every year it was down. Suddenly the ticker vanished. Possibly the 25% loss made investors run away. See for yourself.
Crap. I followed this guy for several years. Once he was asked in his forum about the bad performance of his trend-following fund that used his methods. He never gave a straight answer. I followed his fund in Bloomberg. Every year it was down. Suddenly the ticker vanished. Possibly the 25% loss made investors run away. See for yourself.
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The return is not even +
Many momentum systems work (moving average, relative strength, etc. ), at least over the medium or longer term. You don't necessarily want the "best" one, but rather the one that offers a reasonable reward for the attendant risk. If you are trading multiple uncorrelated markets, you can select instruments across these. If you are trading one market, you also need a filter to keep you out of the ditch. There are a lot of ways to do this.
I'm a subscriber to CXO Advisory, but otherwise have no financial interest in it. CXO has backtested several momentum systems over the years. One interesting example is a "top 7" system that each months buys and holds (for 1 yr) the 7 best performers on the NYSE over the last 6 months. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2420743. The NYSE is a little more stable than the Nasdaq. If that's too scary for you, you can short the S&P 500 against the 7 stocks and still make decent money. Or, you can use some other filter (such as the 200-day MA of the S&P) to determine whether to trade the system or sit in cash. This is only one of many, many examples.
Momentum works over medium-term time frames (2 months to 1 year) because it capitalizes on human nature (everyone wants to pile in and out of things together, but some are slower than others). Momentum is something like owning a clothing store that sells goods to teenagers. You don't have any idea what they will wear next month or next year; you only what they are wearing now. Your best bet is to stock your store with what works at this moment. When it doesn't work any more, discount your merchandise, take the loss, and immediately buy different clothes that you know they are currently wearing. There are hills and valleys at the turnovers where you lose money, but overall with good money management, this type of stuff works. You have to live with not getting in at the bottom and not getting out at the top. No big deal; there is plenty of money to be made in the middle.
I'm a subscriber to CXO Advisory, but otherwise have no financial interest in it. CXO has backtested several momentum systems over the years. One interesting example is a "top 7" system that each months buys and holds (for 1 yr) the 7 best performers on the NYSE over the last 6 months. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2420743. The NYSE is a little more stable than the Nasdaq. If that's too scary for you, you can short the S&P 500 against the 7 stocks and still make decent money. Or, you can use some other filter (such as the 200-day MA of the S&P) to determine whether to trade the system or sit in cash. This is only one of many, many examples.
Momentum works over medium-term time frames (2 months to 1 year) because it capitalizes on human nature (everyone wants to pile in and out of things together, but some are slower than others). Momentum is something like owning a clothing store that sells goods to teenagers. You don't have any idea what they will wear next month or next year; you only what they are wearing now. Your best bet is to stock your store with what works at this moment. When it doesn't work any more, discount your merchandise, take the loss, and immediately buy different clothes that you know they are currently wearing. There are hills and valleys at the turnovers where you lose money, but overall with good money management, this type of stuff works. You have to live with not getting in at the bottom and not getting out at the top. No big deal; there is plenty of money to be made in the middle.
Why do you think day trade is much harder than middle to long term trade.
Maybe it isn't, I don't know. I'm just not a day trader, so I cannot speak to it. As I learned to trade, I was working, so I had to evolve longer-term systems that do not require my presence so much. I have more time now, but I have not found a way to successfully day trade. There may be some, but this is not an area I have studied very much.
In terms of equity markets, there is definitely a long-term edge. They have a long-term upward bias, and it is not too difficult to take advantage of this with futures or options:
If longer-term trades have a higher Sharpe or Sortino ratio (and as I said, I don't know whether they do), it may be because, at least in the equity markets, the underlying securities are companies that grow, innovate, manufacture, and merge. Equities are unique in this, unlike bonds and commodities. My best guess is that the same could be said for real estate, because there are more people all the time whose lives are getting better and demanding more, but there is not any more land being made.
In terms of equity markets, there is definitely a long-term edge. They have a long-term upward bias, and it is not too difficult to take advantage of this with futures or options:
If longer-term trades have a higher Sharpe or Sortino ratio (and as I said, I don't know whether they do), it may be because, at least in the equity markets, the underlying securities are companies that grow, innovate, manufacture, and merge. Equities are unique in this, unlike bonds and commodities. My best guess is that the same could be said for real estate, because there are more people all the time whose lives are getting better and demanding more, but there is not any more land being made.
You can write prorgram to automate day trade. The long term raise bias is only true in USA in last decades and I doubt if it represents the real economics of usa at all. Will USA stock market become japan kind later? May be. Prevent risk like this is a big advantage of day trade.
You have a valid point here. I am also concerned about the momentum premium going up in smokes. Many people will get hurt. I am also concerned that this could be the result of many people chasing a momentum premium as it is happening now. At the same time, how do you propose to compete with the robot algos of big brokerages in intraday? Maybe the solution is position trading, 2 - 10 days max.