trend following delusion shattered
- Thread starter hank rollins
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This is so stupid. Any trader that makes money has to trade with the "trend," by definition. There shouldn't even be a discussion about this. This thread has been bothering me and it keeps making it to the top of the list, so I am going to prove it.
I ran a system in which the trader gets long if the 50 day MA is above the 200 day MA, short if the 50 day MA is below the 200 day MA, with stops. Risk 1% of equity per trade across 50 futures markets from 1995 to 2000. Beginning equity is $2,000,000
Results
Sharpe Ratio = 1.7 Max Drawdown= 28.21 Profit = $18,091,762
% of times stops hit 48%
So made a profit but stop was hit 48% of the time. Naysayers are saying that this a 50/50 chance with stops. If that were true then a system doing the opposite should have simlilar results, right?
Short if 50 day MA is above 200 day MA, long if 50 day is below the 200 day MA. Same stops as before, risking 1% of equity acroos the same 50 futures markets, 1995 to 2000, beginning equity is $2,000,000.
Sharpe Ratio = -2.06 Max Drawdown = 97.23% Profits = ($1,933,262)
% of times stops hits 78%
It seems that trading with the trend does have a significant effect. If anyone wants to challenge these results please do.
:eek:
I ran a system in which the trader gets long if the 50 day MA is above the 200 day MA, short if the 50 day MA is below the 200 day MA, with stops. Risk 1% of equity per trade across 50 futures markets from 1995 to 2000. Beginning equity is $2,000,000
Results
Sharpe Ratio = 1.7 Max Drawdown= 28.21 Profit = $18,091,762
% of times stops hit 48%
So made a profit but stop was hit 48% of the time. Naysayers are saying that this a 50/50 chance with stops. If that were true then a system doing the opposite should have simlilar results, right?
Short if 50 day MA is above 200 day MA, long if 50 day is below the 200 day MA. Same stops as before, risking 1% of equity acroos the same 50 futures markets, 1995 to 2000, beginning equity is $2,000,000.
Sharpe Ratio = -2.06 Max Drawdown = 97.23% Profits = ($1,933,262)
% of times stops hits 78%
It seems that trading with the trend does have a significant effect. If anyone wants to challenge these results please do.
:eek:
I will repeat myself. Page 62, last response and page 64, response to Hank. Read it, calculate it & program it if you can. It's trademarked anyway. If you can't figure it out, not my problem. You wanted proof, you didn't say anything about educating you to understand it. I have a programmer that not only flowcharted it but programmed it. Do you understand that statement?
Quote from OddTrader:
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.
are you actually proposing that i have some B rated school's flunky crunching numbers here ? that is an insult.
how do you know this ? another empty proclamation. i am trying to keep this conversation away from personal attacks and the gutter--- i see i was set up by your question--- that will get you nowhere, fast.
if its trademarked, its publically available for review. i'll run a check at the TM office.
thanks !
Interesting results.
Are you ready to answer the challenge put forward in my previous post?
of course you are trading with the trend if you have profits.
please provide your exact definition of trend.
Quote from hank rollins:
how do you know this ? another empty proclamation. i am trying to keep this conversation away from personal attacks and the gutter--- i see i was set up by your question--- that will get you nowhere, fast.
It was not a set-up. You said it: And I quote.
"i have not traded the YM for some time, i trade the DIA. yes, 103 on DIA is or near the 200 day MA."
What the heck are you using a MA for?
I'm not personally attacking you. I'm trying to get you to see the error of what you are saying. Everything you say is based in statistics which is not an objective environment it is a subjective environment. You are comparing apples to oranges saying Trends do not exist and using statistical data.
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