trend following delusion shattered

NickelScalper · Mar 21, 2005

Quote from ProfLogic:

I'm sorry. Did I type too fast for you?
You asked, I answered. I can't help it you don't have the background to understand what I layed out. Is that my fault. No! Is it your fault? No! I can't answer biological questions and have no desire to do so either. If you have the desire . . . do the research to plug the holes you seem to have questions for. If the answers aren't inportant, don't say something doesn't exist unless you are prepared to prove it to YOURSELF!

I can only interpret your semi-coherent reply in terms that must come as a disappointment to a large portion of the readership of this thread.

Moving on, to those who would like to aid this exercise in the betterment of trading for the entire ET community, the challenge question remains.

hank rollins · Mar 21, 2005

Quote from 5yrtrader:

Yes, 200 day MA. What else would you like me to explain?

Respectfully,

5yr

5yr--- another question--as you know the big trend fund is down 40%--if its so easy to find trend--why would the best be having such a hard time ?

OddTrader · Mar 21, 2005

Quote from OddTrader:

Q
Analysis of variance, t-test, confidence intervals, and other statistical techniques taught in the books, however interesting, are inappropriate because they provide no basis for prediction and becuase they bury the information contained in the order of production. Most if not all computer packages for analysis of data, as they are called, provide flagrant examples of inefficiency.

--- W. Edwards Deming (Out of the Crisis)
UQ

Q
"Guidance from a theoretical statistian is necessary, however.

...

It is good advice to anyone that is interested in improving his ability to find problems and to help in their solution to take any course that he can get into theoretical or applied statistics (including, of course, decision theory and theory of failure), provided the teacher is competent in theory."

--- W. Edwards Deming (Out of the Crisis)
UQ

NickelScalper · Mar 21, 2005

Quote from 5yrtrader:

Well then, if long p1 = price when 50 day MA crosses below the 200 Day MA. If short p1 = price when 50 day moves above 200 day. d = what ever p1 - p0 is, or whatever d wants to equal.

If you are using the counter trend system I outlined on p 64 d is almost always negative

What you have proposed is beside the point of the challenge question at hand which requires a prediction of d.

5yrtrader · Mar 21, 2005

Quote from hank rollins:

cool, finally a serious response. thanks !

please run the test on the SP 500, corn, beans, and gold with a start date of feb 1998, end date feb 2005. keep the MA's the same.

curve fitting is a common issue with the back testing scenerio.

looking forward to the results.

Trading with the trend
Profit = $490,163 sharpe = .59 Max Drawdown =17.78%
% of stops hit = 45%

Trading againist the trend
Profit = ($638,374), thats negative for accounting majors
sharpe = -.71 Max Drawdown = 35.67%
% of stops hit = 73%
as a Feb 28 this system was down from its peak of $2,000,000 by ~32%. It didn't have one day of profit

I can test other markets over different time frames if anyone would like.

hank rollins · Mar 21, 2005

Quote from illiquid:

I dunno, this thread is just messing with me noggin.

"no better than random" the ultimate insult? Good for thread hits, in any case

not at all, in fact, quite the opposite--- it shows what a good trader the person is--he can take something that has NO statistical edge yet still make consistent money..it simply shows his skill as a trader --not the validity of the underlying philosophy.

hank rollins · Mar 21, 2005

thank you, 5 yr.

ProfLogic · Mar 21, 2005

Quote from NickelScalper:

I can only interpret your semi-coherent reply in terms that must come as a disappointment to a large portion of the readership of this thread.

Moving on, to those who would like to aid this exercise in the betterment of trading for the entire ET community, the challenge question remains.

Speaking for others again I see. If you haven't noticed you trend naysayers are outnumbered.

The patience for the Nickel has expired.

NickelScalper · Mar 21, 2005

Quote from illiquid:

I dunno, this thread is just messing with me noggin.

Don't take this personally Nickel, but for someone who trades for 1 or 2 ticks on the Q's and then asks for theoretical validation from traders who made their money riding trends -- well, don't you see the irony in that? If I state that anyone who trades for 1 or 2 ticks is a sucker who's just feeding his broker and deluded into thinking there's some edge in trading "noise" (and I wouldn't, at least I wouldn't put it that way ) -- are you going to feel the need to justify yourself to me? How would you go about doing that, knowing that I could claim any trader's methods to be "temporarily successful" yet ultimately no better than random? Isn't claiming a trader's methods which have put food on the table and the kids through college "no better than random" the ultimate insult? Good for thread hits, in any case

Sorry, maybe you guys got me to use my brain when I really don't feel like it right now, ignore my rants. I appreciate the need to thoroughly investigate one's edge and verify that it actually operates as the trader imagines it to -- the toughest questions usually engender the greatest hostility I suppose.

The above is a post made in total ignorance.

ProfLogic · Mar 21, 2005

Speaking for others again I see Nickel. If you haven't noticed you trend naysayers are outnumbered.

Semi coherent? I suppose it is for someone who can't formulate an equation from object points such as fixed support & resistance.

The patience for the Nickel has expired.