trend following delusion shattered

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There are no "page numbers". I answered the question in the previous posts. Index arbitrage is an example of a strategy that fits the description.

In addition, you should know that there are a number of other strategies that fit the bill. The equation that Nickelscalper offered is solved by CAPM. This method can be found in a number of academic texts. If he actually understood the equation (and that is in question) he might have known that one of the strategies that fits the bill is simply called "buying stock".:D Once again, all the information is in the public domain. One simply needs to go out and get it. Its called research.


Note:

I've come to the conclusion that the stunning ignorance displayed here is reason why folks lose their money so quickly. On the one hand it is really a shame, while on the other, I can't help but laugh. Now excuse me, I am going to go and make some money trading the trend.
 
don't feel so bad that you cant follow the trend--the great john henry--hero to trend followers the world over reported a -2.89 % return, a sharpe ration of -.11 ( abysmal !) and a drawdown of 40.2%. if mr. henry CAN"T FIND THE TREND.... how do you expect to ?



the above is from the original post on this thread.

i do agree with lefty about buying stocks. This takes us back to my original contention that obviously true trend trading is the same as BUY AND HOLD. there is no other way to explain the guru's of trend trading massive drawdowns.
 
And now a restatement of the challenge question as consolidated from several posts:

What is a reliable, publicly available 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 your answer to be posted here, not contained in a pdf at another site, "watch me trade," "I am successful," etc., etc. Second, the proof of your answer is also to be posted here, in the form of real time trading calls that specify on what basis your method is being invoked and a target price.

Constructive criticism is welcome, including from Hank and others more or less on the same side of the issue.
 
Quote from NickelScalper:

And now a restatement of the challenge question as consolidated from several posts:

What is a reliable, publicly available 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 a market price in the near future?

I'm looking for your answer to be posted here, not contained in a pdf at another site, "watch me trade," "I am successful," etc., etc. Second, the proof of your answer is also to be posted here in the form of real time trading calls that specify on what basis your method is being invoked and a target price.

Constructive criticism is welcome, including from Hank and others more or less on the same side of the issue.
More...
 
lefty -

interesting stuff on index arb trading there. I dont dispute at all that this is a high probability, relative low risk method.

is it really 'trading the trend' though? it looks more to me to be a way profiting from the differentials changing between the legs, irrespective of any definite sustained direction in price/index aka trend. It seems more of a scalp concept than trend following?

kinda getting to semantics now which i hoped to avoid.

maybe thats why its harder to trade an index trend now - cos of all the index arb stuff keeping it all rangebound? thus the initial point of the thread?

:confused:
 
Constructive criticism is welcome, including from Hank and others more or less on the same side of the issue. [/B][/QUOTE]

MarketRollins

Could you post the assumptions behind your trend following system tests here and hence offers constructive criticism that we can all benefit from?

Like Oldtrader posted earlier, what's the point of saying that your tests are more authoritative than whatever success trend followers claim to have on this board with the method

Why should I believe you that your tests amount to anything? especially if they follow an idiotic Fama like structure, with imbecile like serial correlation tests that by definition cannot capture information contained in variables other than the closing price

Further, the drawdown that Henry faces is something is investors are prepared to deal with. That does not take away from his 30% annual return over his career. Can you stand up to that? Judging by your tone of this board, I'd bet you can't even do 10% average a year, regardless of drawdown.

LOL
 
Quote from NickelScalper:

And now a restatement of the challenge question as consolidated from several posts:

What is a reliable, publicly available 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 your answer to be posted here, not contained in a pdf at another site, "watch me trade," "I am successful," etc., etc. Second, the proof of your answer is also to be posted here in the form of real time trading calls that specify on what basis your method is being invoked and a target price.

Constructive criticism is welcome, including from Hank and others more or less on the same side of the issue.
More...

Not many people will be inclined to answer you because most people do not work the turf you are locked into. Inherently, it is a very high risk orientation where the risk is totally unneccessary.

Why would anyone approach doing what you describe as a way to consider to make money?

If you go to any number of FAQ sites, you will find many many alternatives that show where you are sitting is illogical compared to other approaches that are extremely successful.

Were I you Iwould spend some time figuring out how you have gotten into the traps you are in. how long you stay in a particular place is important to consider as well.
 
Quote from illiquid:

How do you prove something is not just "temporarily" successful yet ultimately "false"? :confused:
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Ain't that funny??

Something I have noticed-- many highly intelligent non-traders, especially those who have suffered losses, require and demand a great certainty from trading that just isn't there. The same is true for poker players. While they understand the mathematical concept of positive expectation value (win probability * win amount, minus loss probability * loss amount, is a positive number), they still can't accept losing when their own money is on the line.

The other concept they don't get is that it's not about predicting price. It's about entering your trade when the probabilities favor movement in that direction, and managing that trade according to what happens next. A good trader can make money with trend following as the underlying concept, or he can make money with trend fading as the underlying concept, or he can make money with neither underlying concept.

Yet another concept they fear is the changing markets. A good trader monitors the changing markets and adapts to what is going on. For others this is a source of fear-- that if they finally do develop something that works, how long will it last?

The other point is that "trend following" is not a trading methodology, it is a concept that can be used in a trading methodology. A trading plan tells you exactly when to buy and when to sell.
 
Quote from Grob109:

Not many people will be inclined to answer you because most people do not work the turf you are locked into. Inherently, it is a very high risk orientation where the risk is totally unneccessary.

Why would anyone approach doing what you describe as a way to consider to make money?

If you go to any number of FAQ sites, you will find many many alternatives that show where you are sitting is illogical compared to other approaches that are extremely successful.

Were I you Iwould spend some time figuring out how you have gotten into the traps you are in. how long you stay in a particular place is important to consider as well.
More...

Thanks Grob.

Perhaps after keeping to post the same question at least once each day for 250 days, someone on ET Might Start to Consider reading the question carefully. :confused:
 
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