trend following delusion shattered

[ellokn]

Quote from nononsense:

Still slightly better:
"Trade with what you know to make money for you".

That alone sums up THE successful trading method.

Of course, trading what you know makes money for you can only be based on lots of experience. If you are not willing to invest in that, a trader is doomed.

So, get the experience (years of trading and watching the markets) and trade that, and only that. Everything else is bunk.

 

[porgie]

actually i trade what i see........otherwise i am blind....but fi i see what u thought i saw, then we can both see with the same perceptive sight that allows each one to think he sees what we all should see and if we don't see what he think s we see the n we are all not seeing what we should in order to think what we saw whe n actually we didn't see it.......that makes as much sense as any post on this seeing subject.......what you see is not what I see.......I see what the market is doing realtime adn most likely to do next.......very highly probable taht it wil do what my syhtem tells me it will do........do u see that? i actually rather use my ears to trade......i stick a pencil in my ear and push the mouse button with the eraser end to enter trades.......now that is outside of the box......and a big new approach working dailyh for me........if you don't see something it has no value...not in the trading business......you see???????

 

[porgie]

the trend trader who gets caught on reversals is not a trend trader ....he is attempting to be a trend trader.........the problem is with most is they use the 5 2 3 1 min charts........they micro trade, they zoom in......don't get the big picture....din't even know they are n trend until toolate.....if u do get caught on pullbacks go figger..........maybe the pullback is your goldmine......not the wasted time shorting the run.....I am astounded by some of this stuff..........if the turn catches you apparently you have not learned enough to putting money on the line...........study enough and absorb information abooutt the turns and u cna' t be "caught " in the turn or reversal.........I am not trying to be ugly, just please don't believe people who say trend tradin g doesn't work........it is like this.......try going the wrong way on a one way street...............try hopping a freight by running in opposit e direction train is going....SPLAT.....try skiing uphill........try running a marathon by going opposite direction of all other runners.........try running a sprint by facing opposit e direciton of your opponents.......and gun sounds........they t wnet went thataway........you ran off into lala land like an idiot......that is what counter trend traders are doing .........not smart.........

 

[man]

Quote from ProfLogic:

... It's totally understandable that you aren't familiar with this new environment. It took 50 years for the world to comfortably embrace horseless carriages and the Amish still think its a fad. ...

feels good to be understood. just to make sure we are on the same page here: are we talking about 100% objective trading systems without discretionary overlay?
horseless carriages ... hmm ... you know where i can get more information about these ... sounds interesting as well ...

humbly yours

 

[Cheese]

Quote from porgie:
..i stick a pencil in my ear and push .. with the eraser end to

.. type posts at ET.
Got it.
Now at last we all know why your posts are indecipherable.

 

[porgie]

indecipherable..........????????? if u is nice porgie might give u what heas worked 45 times with no failures since laste wednedaya..............11 trades per day 100$%.....no failures........that is golden stuff ym......easy to read but reading doesn't help system runs the show i just drink tea and watch........punch a button once in awhile............big points each time........phantom porgie not trader.......just punching your button.........i never traded in my life, just bored so i post there ad abd and here......just having a lot of fun bantering with others.......alll liares lik ep orgie............

 

[ecritt]

Quote from psytrade:

ecritt is the author of the trend following on stocks paper, he may have forgotten to mention that.

I tested it myself and found using basic rules like he did, that the drawdown was higher than suggested. I contacted him and then
determined that certain proprietary details were missing , and in my mind key to pursuing such a strategy- the position sizing on entry is dynamic and not static. That changes the results significantly. I have not found improvement changing the position sizing via scaling in, but apparently he has. They are smart and Tom Basso is an investor, of Market Wizards fame.

The work is legitimate and easy to code if you have a suitable portfolio level backtester. Doing the scale in modifications is beyond my current capabilities however, but I did develop my own trend following system that worked well without scale in.

Eric Paradis

You are right to conclude that position sizing is the most important variable in real life. But that was not the point of the paper. The paper's job was to determine if simple trend following entries and exits would have resulted in a positive mathematical expectancy, an "edge", for trading stocks.

Having heard for so long that trend following does not work on stocks, we decided to put this concept to the test. We found that not only did simple trend following entries & exits work in sample, they have continued to work well out of sample too.

As for drawdown, it is what ever you want it to be. It is a direct function of portfolio heat. Portfolio heat is controlled by scaling into and out of existing trades and properly sizing new trades.

 

[vdgraaf]

In my quest to find a simple and relatively safe system, I came across this site that has some nice results for the past years:
<a href="http://www.mytradingsystem.net/"> Trend Following System </a>

..yep I know that they used some margins to come up with the huge results, but even then, it might be something to take a closer look.

 

[porgie]

u never need to know what th e market is telling u......only what the system is telling you.......market doesn't tell u anything, only what you see at the moment........the system can tell u within a 95% probability what is coming right now...........95 is the lowest i will accept........to keep the confidence up but more importantly the account..........the system is not the market, just the market telegraph operator............telling me ahead of time which way the choo choo is heading right now....no chart needed but i like to use it for the 3 or 4 points stops ym intraday......my little security blanket.........

 

[makloda]

Its funny that trend following is "so dead" when some of the bigger public TF hedge funds (AHL, Superfund) did really well so far January - May of 2006.