trend following delusion shattered

[ProfLogic]

Quote from marketsurfer:

actually, i thought that comment by the professor was quite funny, also. Almost as funny as C*vel name checking me in the <b>best selling</b> trading book of recent times.

Getting back to the topic--- SImons is seeking to raise a whopping <b> 100 BILLION </B> for his new fund. he has gathered 10-15 billion thus far for his heavily weighted in equities strategy.

surf

Check the ego at the door please.

Thousands of meaningless trading books exist that are based on unstable variable parameters and sheep buy them on a regular basis because of individuals like yourself. Millions invest in hedge funds that are downright terrible at one moment and acceptable the next. Yours and Vic's included. They ebb and tide just like the market. So what is your point?

You typically skew the information in every conversation you enter regarding TA to conform to your warped view of it. You accept no new information or ideas regarding TA and keep referring to tired extreme definitions as your foundation of why TA is worthless because you refuse to take the time to explore any alternatives. That speaks volumes to the fund you supposedly run and its ability to progress in this ever evolving marketplace.

What I do is different then what you do. Big deal . . . so what . . . Tomorrow or the day after or next year someone will come up with something else that is new and different or even a variation of something old. The difference between you and the majority of the rest of this culture is that we will look at that new discovery with skeptical interest, explore it, research it, poke it, prod it, poke it some more and then test the shit out of it before we make a statement that it either is crap or potentially worthwhile. You, on the other hand, will look at the same situation and ridicule it before you know what it is, compare it to something absolutely the opposite of it because it sounds the same and then expect people to laud you for your opinions. I'm empathetic with your lack of imagination and creativity, it's something that must be nurtured when we were younger.

 

[ecritt]

Quote from marketsurfer:

ok. thank you for the explanation.

can you describe exactly what you mean by "tr3nd foll@wing" and how it differs from a buy/sell and hold mentality--particullarly-- how do you remove survivorship bias when judging what method is working in the present conditions---as it seems to me, the tr3nd foll@wing promoters are as guilty in cherry picken and biased sampling as you believe my post was.

thanks,

surf

The exact definition of trend following will be argued for many years to come. I want no part of that discussion.

There is survivorship bias in stocks, in mutual funds, hedge funds and CTA's. This is mostly due to poor databasing and record-keeping & accessibility by data vendors and regualtors.

I've done much work on the topic of survivorship bias and its impact on hedge fund & alternative styles. Survivorship bias seems to be very high for the left skewed styles like Rel Val Arb, Distressed and Conv Arb. It is also very high for Equity Mkt Neutral. Macro and Managed Futures tend to have the lowest surv bias.

So on one hand I applaud you for recognizing that survivorship bias is a problem worthy of attention. On the other hand I don't understand your motives for singling out "trend following" to make this point.

All promoters are guilty of cherry picking and biased sampling. It's the shiny object that captures the crowd's attention.

 

[leveragefx]

Trend following definitely DOES work until the market has gone too far. I personally use 4 charts in trading. A daily chart with monthly pivots and keltners and bollinger bands. A 30 min chart showing keltners adjusted for recent volatility (I do a sort of visual backtesting to come up with best settings) and show the Weekly pivots and Avg Daily range. I use a 5 min chart showing the balance point (where MOST traders have their positions, 50 period EMA (I use this for trend, above this trend up, below down). I plot the avg hourly high/low to find likely reversals but usually use these to take profits at, daily pivots including midpoints and previous day's high/low plotted. I also measure buying/selling summed up over last 10 bars and net buying/selling by all banks.

The chart I use to enter orders is a 35 tick chart showing only these banks: fxcm,gain,coes,hots,gft. I use 43 bar keltners set at 3ATR. If 5 min trend up I buy the lower keltner on the 35 Tick chart. If trend down I short upper band.

I continue to trade this way until market hits likely daily reversal such as avg daily range, monthly or weekly pivot or probability bands (bands based on each currencies options implied volatility). Most days I have about an 80 to 90% win rate trading with the trend UNTIL it moves too much and then trading counter trend. On Friday I was buying the CHF low as it was an avg daily range and caught 20 pips and shorted high in Euro 3 times for about 5 pips each. The rest of the day just scalped in the direction of trend. Works like a charm and most of the people I've taught this method to also make money.

 

[marketsurfer]

Quote from ecritt:

The exact definition of trend following will be argued for many years to come. I want no part of that discussion.

There is survivorship bias in stocks, in mutual funds, hedge funds and CTA's. This is mostly due to poor databasing and record-keeping & accessibility by data vendors and regualtors.

I've done much work on the topic of survivorship bias and its impact on hedge fund & alternative styles. Survivorship bias seems to be very high for the left skewed styles like Rel Val Arb, Distressed and Conv Arb. It is also very high for Equity Mkt Neutral. Macro and Managed Futures tend to have the lowest surv bias.

So on one hand I applaud you for recognizing that survivorship bias is a problem worthy of attention. On the other hand I don't understand your motives for singling out "trend following" to make this point.

All promoters are guilty of cherry picking and biased sampling. It's the shiny object that captures the crowd's attention.

Thank you for the erudite reply. Is your work published? I have interest in taking a look.

Trend following has my attention since its the public's primary tactic by default. Knowing the players in this game is the critical factor.

Regards,

Surf

 

[steve46]

Quote from marketsurfer:

actually, i thought that comment by the professor was quite funny, also. Almost as funny as C*vel name checking me in the <b>best selling</b> market book of recent times.

however, you should really check your head and not talk about what you know NOTHING about---it's really poor form on your part.

Getting back to the topic--- SImons is seeking to raise a whopping <b> 100 BILLION </B> for his new fund. he has gathered 10-15 billion thus far for his heavily weighted in equities strategy.

Can you add anything of value to this discussion?

surf

Only that as usual, you know nothing about the strategies that Simons uses..and as usual you offer nothing of value to anyone here...Isn't it about time for another alias? Do you have an Excel spreadsheet where they are all listed? With the decline in quality of cable TV, you are the best comedy show on the internet...Good work...

 

[marketsurfer]

Quote from steve46:

Only that as usual, you know nothing about the strategies that Simons uses..and as usual you offer nothing of value to anyone here...Isn't it about time for another alias? Do you have an Excel spreadsheet where they are all listed? With the decline in quality of cable TV, you are the best comedy show on the internet...Good work...

really?


LOL !


surf

 

[steve46]

Quote from marketsurfer:

Thank you for the erudite reply. Is your work published? I have interest in taking a look.

Surf

Yes, in fact, this is all you do...Suck the value out of everyone else's work product...Nothing to offer of yourself, because aside from inventing aliases, ain't nothing there... Now I think I have wasted enough time on this

 

[BrightPropGuy]

Here are results from an interesting research project which some ET members may have not yet seen which addresses long-term trend-following.(Mentioned elsewhere on ET, but I thought findings below are interesting).

Cole Wilcox and Eric Crittenden of Blackstar Funds prepared a paper detailing a long-term trend-following strategy for stocks that bought all-time dividend- and split-adjusted highs and basically gave them room to run with a volatility-based trailing stop. Bottom line:

- it was more profitable than “buy and hold” on the S&P 500 in twelve of fourteen years;
- it was profitable on an absolute basis in eleven of fourteen years;
- the maximum drawdown percentage was less than half that of the S&P 500;
- fourteen-year compounded returns were 19.3% versus 12%;
- ending equity was over twice what “buy and hold” got.

Their paper is a PDF file/link below:


http://www.blackstarfunds.com/files...k_on_stocks.pdf

 

[Buy1Sell2]

Folks, the only thing traders have to hang their hat on is trend. This is a ridiculous thread.

 

[psytrade]

Well there is mean reversion too.

Not meaning to play devilas advocate however.