trend following delusion shattered

[hank rollins]

Quote from OldTrader:

Rollins:

You claimed to have done some testing regarding "trends". So how did you define the trend to find out if it "worked"? I'm absolutely certain you used NONE of the definitions on your website or the one above. How did the study recognize that a "trend" existed?

OldTrader

i am happy to see that someone is still seriously interested in this issue, thank you, oldtrader.

the studies were conducted on a multitude of price series, particullarly those that appear to provide visual confirmation of trend.

please, understand, i am not saying that trends do not exist in the past in all price series--obviously they do.... mine and my colleques findings is that one cannot use trend as an objective determinent as to when to enter a trade. when one does, the results of the trade is no different than random entries. i defer to brother nickles question which remains unanswered.

 

[illiquid]

Quote from NickelScalper:


"All publicly available information and techniques are effectively already in the market price. . . "

The principle of efficiency doesn't apply to the use of standard quotes in a proprietary system.

Why not? Quotes and charts are publically available information -- are we going to retro-fit the question again to accomodate the answer you already have in mind?

 

[hank rollins]

Quote from ProfLogic:

"why is the great trend follower experiencing such massive drawdowns right now ?" - Well common sense would tell me he is not that great of a Trend Trader if he is experiencing ANY major drawdowns. Read below for an explanation.

"if you flip a coin 10 times and it comes up heads 10 times, are you in a heads trend ?" - Allow to put this tired phrase to bed Hank. A coin toss has 2 possible outcomes; heads or tails, thus impossible to create a trend where there is no variable. Price has 4 possible outcomes; HH, LH, LL or HL, thus establishing a variable and creating the possibility of creating a trend. A trend is established where 3 sequential points are confirmed; HH, HL & HH or HL, HH & HL to establish a Bull Trend. Or a LL, LH & LL or LH, LL & LH to establish a Bear Trend. Once you have confirmed a trend the expectation is that price will continue in that trend until it fails to continue in that trend. (stinking Logic) Once an oscillation is confirmed to break out of that trend, price will do one of ONLY three things; either continue on in the past trend, consolidate or create a new trend. All easily readable from the oscillations.

I know this is a simply explanation but it doesn't need to be quantitative physics.

well, the great trend trader is john henry himself. the epitome of trend traders. what more can i say ?

a coin toss has only 2 possible outcomes, a trade entry only has two possible outcomes--win or lose. i believe there is some confusion between trading and analysis. in trading , either you enter or you do not enter.... heads / tails. in analysis, your explanation is correct.

i understand 100% what you are saying about what trend is. the trend is your friend untill it bends at the end. however, we differ in that i have never seen proof that the EXPECTATION of price continuing in the same direction . in fact, the research indicates there is no greater probability.

the fact that you can trade this expectation succesfully is directly correlated to your skill as a trader. i'll wager you would be succesful with random entries as well.

 

[NickelScalper]

Quote from yenzen:

Its no surprise we have these kinds of arguments at decade lows in volatility. "Nickel Scalpers" profess to have all the wisdom as trends are aborted in mid stream and the mean regression guys jump on their soapboxes and claim victory.

Senor Zen

Welcome to the Age of Automation.

 

[NickelScalper]

Quote from illiquid:

Why not? Quotes and charts are publically available information -- are we going to retro-fit the question again to accomodate the answer you already have in mind?

The quotes themselves are publicly available.

The uses of the quotes in a proprietary system are not.

 

[hank rollins]

Quote from NickelScalper:

Welcome to the Age of Automation.

 

[hank rollins]

Quote from ProfLogic:

Does 10361 on the YM mean anything to you? Please no wise crack remarks.

i have not traded the YM for some time, i trade the DIA. yes, 103 on DIA is or near the 200 day MA.

i checked out your website... nice ! although we dont agree on an issue, i apprieciate the challenge.

 

[OddTrader]

Quote from hank rollins:

try it yourself--apply standard statisical measures like the goodman test for independent time series or serial correlation coefficients to ANY market series, even ones that appear to have a trend and you will find no evidence of non randomness.

Please notice the key word "Standard". Better try something different. Your analyses and results/ conclusions would be quite "Normal" (read "Common").

Probably only the best mathematical statisticians would know and understand well how to choose the right tools and correct statistical concepts when they do this kind of tests.

No wonder why they, particularly from some good places, are so short of supply (and paid very well) in the markets.

 

[ProfLogic]

Quote from hank rollins:

well, the great trend trader is john henry himself. the epitome of trend traders. what more can i say ?

a coin toss has only 2 possible outcomes, a trade entry only has two possible outcomes--win or lose.

the fact that you can trade this expectation successfully is directly correlated to your skill as a trader. i'll wager you would be successful with random entries as well.

Jack Nicholas was a great golfer but he can no longer compete in a younger more technical environment. So goes John Henry. He is someone I have never looked up to and I AM A TREND TRADER.

There is a new industry ideology of "Deterministic Approach" to trend trading that wasn't around 5 years ago because of the technology available today. Those of us that are pioneering it are not worried about convincing others it works, we are comfortable in taking advantage of it while others are still questioning & fighting it's relevance. If your buddy's aren't constantly remodeling there scope of the Market from a more objective focus they will soon be left in a cloud of dust.

Saying that a trade entry is the same as a flip of the coin, countering what I stated earlier is your manipulating actual facts to form to your own view. The work of a true statistician. For that you get an "A". Any BUY has 2 possible outcomes in relation to the last Resistance top, not one. Any SELL has 2 possible outcomes in relation to the last Support bottom, not one. If the rest of your group thinks the same way, you, as a group are cursed to succumb to Objectivity. Whether that is in 3 years, 5 years, 10 years or next year it will happen. Statistics can not survive in an Object dominated environment.

I am a skillful trader because I am objective in determining the direction of price. If I KNOW where price is going, why on earth would I counter-trend that? I leave that to the fundamental and statistical traders still stuck in the 90's or pre-90's.

 

[NickelScalper]

It seems that if the Imaginary Trend were a reality, the following challenge question would have been answered by now:

What is a reliable method that can be applied to past price action to determine a usefully large positive or negative number d such that (p1-p0)>=d, where p0 is the current market price and p1 will be the market price in the near future?

I'm looking for an answer to be posted here in plain text form. The proof of the answer is also to be posted here, as real time trading calls that specify on what basis the proposed method is being invoked and a target price.

Attention: There's no need to give up anything secret. Surely, someone must know of a second or third rate method that's beneath their dignity to employ.