Do markets change? Trend Following.

Quote from GreenPlay:

Muskoka Joe, I did not intend this reply to you . It is the bellicose tone of others, not you, I was referring to. Actually your comments and a few others are exceptions to this tone, in my opinion. Nor did I take offense - even with the antagonism I do not find helpful. So no worries,

I am obviously a noob in this forum and do not know the personalities or threads here. What I have said so far is intended as an introduction of myself. I participate as a way of learning, and also pass along what I can.

Ah, so much to learn! Are we having fun yet? Keep it real, and a good sense of humor helps! Seems pointless if were are enjoying and having fun at what we do!

Wishing you and all the traders a good week and great holiday season.

cheers,
GP

Where is the thread by TalonTrading? URL? Thanks for the perspective on VT. OIn my eperince (not just in trading) I have found that no single person or path can lay claim to holding all the truth, You're right on - we gotta work this out for ourselves - it's hard work and it takes time.
Thanks again for caring enough to share this with a stranger,
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Is this guy on crack? What's his deal with the Hari Krishna vibe and suddenly becoming Mike's shrink? Can anyone actually read his posts? This guy's writing to himself, making jokes? and replies to his own question. (Do we have a new jack hershey??? :( )

Getting passed his delusional tone... What's interesting is he's trying to achieve some enlightenment and selflessness through trading with his Zen way... but he claims that he wants to trade within his comfort zone and willing to discuss one's particular situation, personal objectives, and psychology.

Can this guy be a multiple alias troll? He seems to know how to use the vBcode well...
 
But I for one have difficulty in believing that a system can be designed to be eternally profitable.

AFJ Garner.

Have you looked at the work done by Nassim Taleb and Benoit Mandelbrot?
 
Quote from Muskoka Joe:


The "markets change" is an excuse for the poor performance of something that was not a true edge to start with. For example a "trend following" strategy that uses a "N" bar breakout or a moving average crossover is NOT an edge. It WILL therefore cease to work when the market stops trending in one direction. Two lines crossing has no relation whatever to character of markets.
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Hmm, these sort of techniques seem to work fine for me.
 
Here is the equity curve from a backtest of a relatively simple N Day breakout system with only a few parameters stretching back almost 40 years. I can not of course guarantee that it will continue to perform that well for the next 40 years.
 

Attachments

Quote from Muskoka Joe:

The "markets change" is an excuse for the poor performance of something that was not a true edge to start with. For example a "trend following" strategy that uses a "N" bar breakout or a moving average crossover is NOT an edge.
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I agree.

Trend following systems have no "true edge" so to speak in terms of their entry. That is why the hit rate on trend following systems is often less than 50%

Trend following systems only make money from their trade management (ie. cutting losses and letting winners run). But there is nothing wrong with that.
 
Quote from AFJ Garner:

Hmm, these sort of techniques seem to work fine for me.
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Regarding the equity curve posted it is fantastic. Using an N Day breakout it looks very, very substantially different then my N day breakout tests. In fact the 1,000,000% gain dwarfs anything I've ever worked on. Congratulations!
 
Quote from thetrendfollowe:

I agree.

Trend following systems have no "true edge" so to speak in terms of their entry. That is why the hit rate on trend following systems is often less than 50%

Trend following systems only make money from their trade management (ie. cutting losses and letting winners run). But there is nothing wrong with that.
More...

============

Also my experience is you can trend follow with substatially better entry techniques then moving average crossovers or N period breakouts; though the equity curve posted would refute that, so far that is my personal research experience. Also in my experience using what I consider better entry techniques allows better exit strategies and that avoids getting crunched in chop as you indicate.

However I never underestimate what is possible in the market. My research may really be that far behind what is possible.
 
New here, as I've said, with no pre-formed biases. FWIW, here's my take on this this- so far:

Beyond the typical dick-measurin' and other nonsense can hijack or derail serious comments from those with something to offer, here's my own short list: AFJ Garner ("It pays to take care who you listen to," aka Anthony Garner, who wrote A Practical Guide to ETF Trading Systems & started the thread. I also like that he doesn't promote promote promote - seems low-key on that, like Tim Knight over at www.slopeofhope.com). Also, JezLiberty, TSGannGalt (great stuff, foil for Garner, can get snarky, but let it pass- he's worth it, I think), ssb11, Jack Hershey ("My frame of reference is only 50 years of active trading. I am not a person who considered the buy and hold orientation. Instead I have just focused on one thing. I call it "taking the market's offer" and, for me, it is THE measuring stick of how well one can do."), .. there are a few others, kiwi trader, plyka, Muskoka Joe, et al but these don't post much in this thread.

Quote from TSGannGalt:

Is this guy on crack? What's his deal with the Hari Krishna vibe and suddenly becoming Mike's shrink? Can anyone actually read his posts? This guy's writing to himself, making jokes? and replies to his own question. (Do we have a new jack hershey??? :( )

Getting passed his delusional tone... What's interesting is he's trying to achieve some enlightenment and selflessness through trading with his Zen way... but he claims that he wants to trade within his comfort zone and willing to discuss one's particular situation, personal objectives, and psychology.

Can this guy be a multiple alias troll? He seems to know how to use the vBcode well...
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"It pays to take care who you listen to" as I mentined in my short list of those I heed (you are on it) was AFGarner's remark about one Sluggo over at

http://www.tradingblox.com/forum/viewtopic.php?t=6219&postdays=0&postorder=asc&start=20

Note that you in my own short list. (Maybe you know something about Jack Hershy that I don't, but he's on it too) As for me, what you see is what you get. I am a new trader, and even newer to this forum. In short, a Noodb, A nobody. A No-man (watchit, Cyclops!). I am not a multiple-alias troll. And I don't know who Ellsworth Toohey is, Mr Mike. Sheesh. Lighten up folks!

TSGG, if you really must know, I'm at LAX right now. Look for a bald guy selling flowers and giving away books with funny pictures in them. Never mind those tics and dart-eyes - it;s all good. Just trying to get enough scratch for one more dime balloon! Can't ya help a brother out? ;-)

No secret identity folks. Move on, nothing to see here ... Have they gone now? Okay then,

Up, up, and away!
 
Stealth vendor shilling? Code words, bizzare claims, aliases.....hare krishnas!!

Get ready for a "special offer" delivered to your PM box, folks. so U2 can learn how to do the million% gains.

There is one born every minute.
 
wow.. lengthy and interesting thread (had stopped following it after it started going "off-track") - not sure it helps clarify the situation on what is probably a timeless debate
but some thought-provoking opinions - that will hopefully help shape my own (thats what matters in the end!)

Quote from thetrendfollowe:

I agree.

Trend following systems have no "true edge" so to speak in terms of their entry. That is why the hit rate on trend following systems is often less than 50%

Trend following systems only make money from their trade management (ie. cutting losses and letting winners run). But there is nothing wrong with that.
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I was wondering... there must be some edge to the entry methodology as well; otherwise you might as well have random entries with trade management. There might be some market structure that cause trend continuation(?)

Actually I have run an edge calculation on a simple N-day breakout entry and it seems to offer a positive edge:
http://bit.ly/8RpMAY
meaning that even if the "hit rate" is <50% the potential gain is greater than potential loss overall
 
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