Thanks, but this is just another article repeating the same opinion with no supporting evidence. My trading is based on testing and data, and in some cases my results were very contrary to popular opinion, so I am very suspect of unsubstantiated opinion. An any case the answer is not relevant to my trading so not something I have tested for myself, and in a quick search on Google I don't find anything relevant.
You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an alternative browser.
You should upgrade or use an alternative browser.
How to analyze and evaluate momentum strategies?
- Thread starter mizhael
- Start date
Thanks, but this is just another article repeating the same opinion with no supporting evidence. My trading is based on testing and data, and in some cases my results were very contrary to popular opinion, so I am very suspect of unsubstantiated opinion. An any case the answer is not relevant to my trading so not something I have tested for myself, and in a quick search on Google I don't find anything relevant.
Hi, I just read an article about CTA trend following calibration suggestoins.
In the article a cross over moving average with 20 50 and 200 days was suggested.
http://www.content4reprint.com/fina...o-find-global-macro-trading-opportunities.htm
It seems logical to catch trends or momentum with this approach. However, I cannot possibly see how this approach can succeed in highly volatile markets where extreme trading days destroy the performance. The CTA based on the above numbers would just react too late.
What are youre experiences?
Thanks a again for any information
sugoi1981
In the article a cross over moving average with 20 50 and 200 days was suggested.
http://www.content4reprint.com/fina...o-find-global-macro-trading-opportunities.htm
It seems logical to catch trends or momentum with this approach. However, I cannot possibly see how this approach can succeed in highly volatile markets where extreme trading days destroy the performance. The CTA based on the above numbers would just react too late.
What are youre experiences?
Thanks a again for any information
sugoi1981
Quote from Rodney King:
What instruments do you trade? The big trendfollowing CTAs are up a good bit in 2010.
I dug out the Barclay Systematic CTA index from Bloomberg,
they are still under water YTD.
3/10 8088.85 | 3/09 8228.04 | 3/08 7739.91
2/10 7960.35 | 2/09 8402.12 | 2/08 7830.78
1/10 7965.93 | 1/09 8424.47 | 1/08 7358.10
| |
12/09 8179.57 | 12/08 H8466.00 | 12/07 7164.64
11/09 8372.44 | 11/08 8329.02 | 11/07 7091.55
10/09 8149.55 | 10/08 8161.14 | 10/07 7027.07
| |
9/09 8271.10 | 9/08 7805.00 | 9/07 6860.75
8/09 8198.07 | 8/08 7674.07 | 8/07 6565.19
7/09 8138.43 | 7/08 7674.90 | 7/07 6706.77
| |
6/09 8170.82 | 6/08 7950.13 | 6/07 6784.36
5/09 8286.21 | 5/08 7773.77 | 5/07 6665.90
4/09 8113.76 | 4/08 7672.79 | 4/07 6571.72
| |
The index data are monthly though.
Any more thoughts?
Quote from mizhael:
I dug out the Barclay Systematic CTA index from Bloomberg,
they are still under water YTD.
3/10 8088.85 | 3/09 8228.04 | 3/08 7739.91
2/10 7960.35 | 2/09 8402.12 | 2/08 7830.78
1/10 7965.93 | 1/09 8424.47 | 1/08 7358.10
These data are old. The largest trendfollowing CTA, a London-based firm, is up ~1% in May, ~7% YTD as of May mid-month. Similarly the other brand-name firms.
And also have a look at CS's managed futures index -- +4.03% ytd as of April. It's probably the most carefully constructed index in the industry.
http://www.hedgeindex.com/hedgeindex/en/default.aspx?cy=USD
http://www.hedgeindex.com/hedgeindex/en/default.aspx?cy=USD
Quote from Rodney King:
And also have a look at CS's managed futures index -- +4.03% ytd as of April. It's probably the most carefully constructed index in the industry.
http://www.hedgeindex.com/hedgeindex/en/default.aspx?cy=USD
Thanks a lot for the pointers. Look great. However the managed futures may include discretionary trades, not systematic momentum/trend-following trades, right?
Quote from dwpeters:
I've heard this quote countless times and frankly I don't believe it based on the trends I see on long term charts.
You are certainly right about the time frames. One question to think about may be, how long term are your charts? There has been a lot of trending going on the past couple of years. An example of a shitty year for trend traders would be 2005, the Year of Whipsawing.