Trend Following - data showing the results

Quote from Maverick1:

http://www.trendfollowing.com/whitepaper/trendfollowing.pdf

This is one of the few studies I've seen that has statistics, but it only covers 94-03'. Maybe you could email Graham Capital and ask them for the updated version if they have one?

It's great that you're aware of the pitfalls of statistical inference based on incorrect/incomplete data. Knock yourself out studying this and it would be great if you could then come back and let ET know what you found.

Good Luck
M1
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Maverick1, thanks for the link.

I found it previously, but unfortunately, we only have the graph and not the precise statistics of the ZCM/MAR Trend Follower Advisors Index. I would need the monthly returns...


I think I will have to contact ZCM directly to get the figures.

Thanks for your help!
 
I think this data should be very interesting. If you believe the claims in CTA's websites, you would be convinced that no one ever had a losing year. Look up the montly results in Futures, and you will be hard pressed to find positive returns.

That said, I think the statistics on trend following systems, as opposed to funds, are pretty well known. Most trend following systems will have a low percentage of winning trades, say 30%, and will make decent returns if measured over long periods, but they need to trade a diversified portfolio with plenty of reserve for drawdowns.
 
Quote from laurentc:

Dear all,

I am looking for some data / results of Trend Following Strategies as a whole.


I found there are several well-known indices, such as the ZCM/MAR Trend-Follower Advisors Index, the S&P TFI, or the CISDM Trend Follower sub-index.


However, I am not able to find these data on their websites.

Could someone help me a little to get some of these statistics?

Thanks a lot.
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Could you please explain the data set you wish to have?

How long a period to you want reported to you for the data set?

What statistical test qualities are you requiring?

Do you have a definition of what you think trend following actually is?
 
This may link with other thread on why folks with clearly profitable strategies or methods reveal them !?!

http://www.futuresmag.com/cms/futur...torial/Trading Techniques/FEB07TTPruitt_Cover


Read the actual magazine, most systems are trend following with 1/2 counter trend :D But why sell your system for USD$2000 or so, when you can very very likely get minted trading it yourself ?? These guys are nuts. However my experience of dealing with quants & developers is that, they are interested in others marvelling at their brilliance and intelligence
 
Quote from Cygnus Atratus:

This may link with other thread on why folks with clearly profitable strategies or methods reveal them !?!

http://www.futuresmag.com/cms/futur...torial/Trading Techniques/FEB07TTPruitt_Cover


Read the actual magazine, most systems are trend following with 1/2 counter trend :D But why sell your system for USD$2000 or so, when you can very very likely get minted trading it yourself ?? These guys are nuts. However my experience of dealing with quants & developers is that, they are interested in others marvelling at their brilliance and intelligence
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They aren't nuts, in fact, nuts are the ones buying the system.

No consistent profitable system that works in all types of market environments is out there for sale because if it worked it would not be for sale. It's that simple.
 
The views of marketsurfer:
Quote from marketsurfer:
the dean of trend following, john henry, has suffered major loses over the last 3 years. if he cant find a trend, with the most capital and resources in history, good luck to you!
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Quote from marketsurfer:
I find the last paragraph where JWH explains the situation as a dearth of long term trends as an excuse most telling.

look at any charts of the assets JWH trades--- sure "looks" like substantial trends in these markets. Obviously, trend following is nothing more than guessing direction, holding and hoping.

JWH can't find the trend with all his resources, money and access----- even though these "trends" are very clear in hindsight.

The myth continues......
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Quote from marketsurfer:
Once again, all of Mr. Henry's funds were down for 2006.

In addiiton, all but one have been down over the last 3 years.

Here's the world's premiere trend follower, with the maximum capital in the history of the markets, with the finest everything money can buy and he obviously still can't find the trend. Yet the trend followers are still hanging on platitudes like--- "look at a chart from across the room and you will see if there is a trend"or "trends are obvious. just look" How many more years of losses untill these guys throw in the towel?
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The record of John W. Henry:
http://www.jwh.com/fund_details.asp?prg=2
http://www.jwh.com/fund_details.asp?prg=10
 
the guy who started the thread- check out this site for charts of annual returns of trend traders and their AUM's:

www.iasg.com

you will find results for the good trend followers-

Winton, Rabar, Eckhardt, Abraham....

http://www.iasg.com/tabid/56/default.aspx?programid=156

Regarding the post below -

Have fun Marketslayer- maybe you can find a way out of this mess- without finding a trend of course.

Any idiot with a basic understanding of how a computer works can see that you search by AUM, Annualized returns, or a combination of the two. Duh....
 
Quote from psytrade:

the guy who started the thread- check out this site for charts of annual returns of trend traders and their AUM's:

www.iasg.com

you will find results for the good trend followers-

Winton, Rabar, Eckhardt, Abraham....
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2 of the top 10 this month have 0 assets under management.

the rest are tiny, personal account size operations in the top 10.

I know, those other guys you mention, have big money and big drawdowns generally.

surf
 
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