Again, if someone trades a system that is profitable that they describe as a trend following system, does is matter to them what Simons thinks?'Some trading forum members declared that Jim Simons does not understand trend-following. That was really curious to me. It’s like saying that Niels Bohr did not understand quantum mechanics for which he received the Nobel Prize. If there was a Nobel Prize for trading, Jim Simons would have probably received one.'
HA HA) KUTFKWKUT
"Jim Simons is Correct About Trend-Following"
- Thread starter goodgoing
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Was Mr. Simons nominated for the HFT prize or not? His video comment is quite interesting to me. Some of HFT is stop-running anyways IMO. If one is large how can one trade always in the market without using stops - hmmmm.
Of course, the "real game" is now played in the derivatives market (a kind of insurance IMO) now instead of portfolio insurance. I think that there is a much better explanation to 1987, 1998, and the flash crash than portfolio insurance and I think Mr. Simons knows that but will never say it on CNBC IMO. (August 24 was not really a crash.) I particularly like the many articles that Mr Lewis has written, but I have always wondered if he truly understood what he said in those books or he was just writing good stories.
Of course, the "real game" is now played in the derivatives market (a kind of insurance IMO) now instead of portfolio insurance. I think that there is a much better explanation to 1987, 1998, and the flash crash than portfolio insurance and I think Mr. Simons knows that but will never say it on CNBC IMO. (August 24 was not really a crash.) I particularly like the many articles that Mr Lewis has written, but I have always wondered if he truly understood what he said in those books or he was just writing good stories.
I disagree with the article and it is very misleading.
Using trend following, you can actually risk higher, use higher leverage and obtain more returns.
For the buy-and-hold, you cannot actually use much leverage, a leverage of 2 or 3 will blow your account off when the market crashes.
Dumbest MH article ever. His simple-minded SAR analyses didn't prove jack, because only imbeciles expect SAR to be long-term profitable. LOL
This has nothing to do with the TF that works.
Dumbest definition of TF ever (from the Harris article):
"Trend-following is a trading method that produces an average gain much larger than the average loss."
Wow. That's just weird.
And here I thought the name said it all: trend following is any trading plan based on following (trading with) the existing trend.
Got nothing to do with gain-to-loss size, although Cutting Losses Short and Letting Winnings Run would logically lead to gains larger than losses.
But the logical question is, do only TF systems produce this result?
I love this quote from Simons (repeated in the Harris article):
“Trend-following would have been great in the ’60s, and it was sort of OK in the ’70s. By the ’80s, it wasn’t.”
Ahem. The '80s is precisely when the now-most-famous trend-following system -- the Turtle Trading System --- came into being.
Why anybody thinks this Simons guy is infallible is a mystery. Even Einstein made mistakes. It's called being human. Only sheeple worship other human beings.
“Trend-following would have been great in the ’60s, and it was sort of OK in the ’70s. By the ’80s, it wasn’t.”
Ahem. The '80s is precisely when the now-most-famous trend-following system -- the Turtle Trading System --- came into being.
Why anybody thinks this Simons guy is infallible is a mystery. Even Einstein made mistakes. It's called being human. Only sheeple worship other human beings.
Just by looking at your wins and losses record and sizes, one can get a rough idea of the "class" of system one is most probably trading. I may have posted a bit on the taxonomy of trading systems. I did a big study of them in the 90s when I was looking for the best system. (Hmm. I wonder if they have changed given HFT? Future research.)
That leads to some principles. (Rules are too rigid IMO and every good trader must adapt to survive.):
Many traders don't know what they are REALLY trading.
Never share or post trades to experienced traders.
Try to understand "who" you are taking your profits from.
All systems go through cycles so contrarian thinking can help your trading. (For example when you are told NOT to do something, perhaps someone is talking his book?)
Simons is correct. Trend following is a challenged space at present. Doesn't mean it will always be that way. I don't think there's some permanent structural change that has arbed away trends forever. It's mainly due to the deflationary environment and uncharted central bank policies. Back in the in 90's when I was in the trend following CTA biz our core money makers were the financials - the currencies, sovereign bonds and STIRs. Well, from about mid 2010 to mid 2014 currency trend following became highly erratic due to many cross currents across the world (starting with the taper tantrum). Sovereign bonds, similar story. However both of those asset classes have been showing signs of gradually phasing back to trendiness. STIRS were a core part of many CTA portfolios back in the day (eurodollar, euroyen, euribor, sh.sterling, etc..) given their great tendency for low noise trends. But the global zero rate policies effectively made all those instruments flat line. The state of the world will return to normal some point in the future and diversified trend following will be back in vogue.
The smart diversified CTAs who have survived and thrived through the past 5 years are not just trend following. I bet they have a large mean reversion component on worldwide stock indices. Also there has been a movement away from the traditional fixed sector allocations that were used in the past (eg. 25% stock trend, 25% bond trend, 25% commodity trend, 25% currency trend). Now people are using adaptive allocations - shift weights to those systems that are working, whether it a trend system on soybeans or a countertrend system on copper or a cross asset system on bund.
The smart diversified CTAs who have survived and thrived through the past 5 years are not just trend following. I bet they have a large mean reversion component on worldwide stock indices. Also there has been a movement away from the traditional fixed sector allocations that were used in the past (eg. 25% stock trend, 25% bond trend, 25% commodity trend, 25% currency trend). Now people are using adaptive allocations - shift weights to those systems that are working, whether it a trend system on soybeans or a countertrend system on copper or a cross asset system on bund.