Niederhoffer thinks "follow the trend" sucks

Lots of superiors have been totally wrong. Traders understand price action by trading it, academics write books instead.
 
romik said:
Lots of superiors have been totally wrong. Traders understand price action by trading it, academics write books instead.
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A team of academics ( who trade) AND traders sounds like an unbeatable combination-- right??

surf:D:p
 
debitspread said:
> Fama and French

Sure, and Asness et al 2013, and others... but the original citation was of J&T 2001, oddly without mention of J&T's own update in 2011.
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Brother @debitspread: I am so glad I am able to follow your line of reasoning. I can see how lack of such citation (to the updated work) can certainly make momentum strategies inferior, useless, and not valid. I don't understand why other nay-sayers here are unable to follow our line of thought, and agree with us and brother Surf.
 
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i960 said:
"In general it is not time per se but nonlinearity to volatility that counts, so a six month out of the money (measuring out of the moneyness in low delta) is preferable to a 1 year OTM with higher delta, for squeezes. Niederhoffer went bust with short term options... they went from .2 to $38 ! The advantage of shorter term is that vol explodes the most in them. Short but of course not too short." -Taleb

http://www.reddit.com/r/options/com...sim_nicholas_taleb_ask_me_anything_on/crwlrog
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http://www.reddit.com/r/options/com...sim_nicholas_taleb_ask_me_anything_on/crwnkex
 
marketsurfer said:
Certainly momentum works sometimes-- but the problem is, you never know when that sometimes is--hence there is no edge to the strategy in the indexes.
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Brother @marketsurfer: This is NOT FAIR. How could you do this behind my back? How could you edit your post (after I defended your unedited post) and say "Momentum works sometimes". How could you add so many other 'qualifiers' (a terminology from logic, in case you are sweating over the meaning of it) to your edited answer.

I have been ardently defending you, and you have let me down. From this point on I shall no longer stay guard to protect you from those vicious, logically sound arguments in this thread. You will have to fend for yourself.

Signing off from this thread!

PS: BTW, your new conclusion -- 'since we don't know when momentum would work, such strategies have no edge' -- is as sound as your previous one. Makes we want to once again start defending you from those vicious logical attacks. If I decide to once again stand "guard", I will subscribe to your implicit assumption -- we know exactly when mean-reversion strategies will work, and hence only those strategies have an edge.
 
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