trend following delusion shattered

[ProfLogic]

Quote from NihabaAshi:

Hank,

Good point about the large trend funds.

Recently, I found out one particular fund that was down had different departments of skilled traders sort'uv speak...swing traders and those making long term investments.

Their investments were getting hit hard (losses) while their traders were doing well.

Is this the norm as in having different departments sort'uv speak or is that unusual for large trend funds???

For some reason I always thought funds was only the latter (long term investments) as they move around their assets from one holding to another. NihabaAshi

This is the norm Nihaba. You will rarely find any large fund of any kind that puts all their eggs (Easter Reference ) in one basket. I didn't want to say anything when the topic was first brought up by the person whose only friends are the top money mangers in the world but when he said what he said it was a blatant skewing of the information. Typical for someone in his field.

 

[hank rollins]

Quote from NihabaAshi:

Hank,

Good point about the large trend funds.

Recently, I found out one particular fund that was down had different departments of skilled traders sort'uv speak...swing traders and those making long term investments.

Their investments were getting hit hard (losses) while their traders were doing well.

Is this the norm as in having different departments sort'uv speak or is that unusual for large trend funds???

For some reason I always thought funds was only the latter (long term investments) as they move around their assets from one holding to another.

I recently remember seeing something on one of my mom's fund summary via it saying results excluding futures contracts.





NihabaAshi

great points, nihaba. most of the large trend funds are seriously over weighted in the most liquid markets, and i believe, will continue to take losses as a result of not being nimble any longer based on shear size, and of course, luck running out....

have a great weekend !

 

[hank rollins]

Quote from ProfLogic:

This is the norm Nihaba. You will rarely find any large fund of any kind that puts all their eggs (Easter Reference ) in one basket. I didn't want to say anything when the topic was first brought up by the person whose only friends are the top money mangers in the world but when he said what he said it was a blatant skewing of the information. Typical for someone in his field.

you should stick to "hedging". its your raison d'etat.

happy easter !

 

[ProfLogic]

Quote from hank rollins:

you should stick to "hedging". its your raison d'etat.

happy easter !

It's raison d'etre. And my family fills that bill.

I guess that's Hank way of not denying what I wrote.

 

[NickelScalper]

Now that I've had some spare time to look at it, here's an update. Constructive criticism is welcome.

(Caution: The challenge question is posted again below. Anyone who is offended by this material should avert their eyes and scroll past it or direct their browser elsewhere.)

What is a reliable method that can be applied to past price action to determine, before entering a trade, the likelihood of a profitably large number d such that |p1-p0|>=d, where p0 is the current market price and p1 will be a marketable price in the near future?

I'm looking for an answer to be posted here in plain text. The proof of the answer is also to be posted here, as real time trading calls that each specify on what basis the proposed method is being invoked.

 

[bdixon619]

Why not just create a measure of volatility and wait for a suitably large spike to make your trade in the direction of the trend?

 

[NickelScalper]

Do you mean use a volatility spike as a leading indicator of a price move in a certain direction?

 

[bdixon619]

Well, yeah, sort of. You could, maybe easier, just measure volatility against historical volatility and look for instances when volatility is rising then make your trade in the direction of the trend. There were a number of articles about this in TASC by Connors, I think. You could also use an EMA of volatility instead of historical volatility. I'm pretty sure the formulas for volatility and historical volatility are widely posted on the web.

 

[NickelScalper]

There could be something there.

It's not immediately clear why an existing tendency in price would be more likely to persist after an interim of high volatility, but that's just me.

 

[ProfLogic]

Quote from bdixon619:

Well, yeah, sort of. You could, maybe easier, just measure volatility against historical volatility and look for instances when volatility is rising then make your trade in the direction of the trend. There were a number of articles about this in TASC by Connors, I think. You could also use an EMA of volatility instead of historical volatility. I'm pretty sure the formulas for volatility and historical volatility are widely posted on the web.

I saw you mention in another thread that you had written a book/books. May I ask what it/they were regarding?