trend following - quo vadis?

For once I agree with hank.

The current Stocks, Futures and Options Magazine has some great articles on Trend following. There is also a great comedic (though not meant to be) article by David Silverman that goes alone with your "coin flip" scenerio. When you see the coin flip along side common sense, you will see the comedy in it.
 
Quote from ProfLogic:

For once I agree with hank.

The current Stocks, Futures and Options Magazine has some great articles on Trend following. There is also a great comedic (though not meant to be) article by David Silverman that goes alone with your "coin flip" scenerio. When you see the coin flip along side common sense, you will see the comedy in it.
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thanks, prof.. i knew we could find some common ground somewhere...although i dont agree with you on silverman's article. that magazine just keeps getting better !

hank :D
 
Quote from hank rollins:

thanks, prof.. i knew we could find some common ground somewhere...although i dont agree with you on silverman's article. that magazine just keeps getting better !

hank :D
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Well, we can't agree on everything. Keep checking your inbox before the weekend is over and I will send you some information verifying and proving (yes, I said proving) the "coin toss" scenerio is as far "left field" as the home run pole in Wrigley Field.
 
Quote from ProfLogic:

Well, we can't agree on everything. Keep checking your inbox before the weekend is over and I will send you some information verifying and proving (yes, I said proving) the "coin toss" scenerio is as far "left field" as the home run pole in Wrigley Field.
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excellent. i look forward to the info.

certainly it's some type of misapplied logic or spurious correlation.


:D :p
 
Quote from hank rollins:

ofcourse this is an extremely simplified version using commonly understood lanquage, but you get the idea.

:D
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yes, i get it ... :)
 
Quote from DVB:

I trend trade equities and use fundamentals to filter out trades after I get a price break. It works. However I have the same problems as any trend follower: low win/loss ratio, and drawdowns. Despite of this, I was able to generate Sharpe ratio twice of S&P 500 for 2004/2005, and 2004/2005 was NOT very freindly to long-term equity traders, other than the last qarter of '04. Returns are decent, and it takes me on average 1 hr/day to run the thing.
You are correct, it is all about fat tails. Therefore, you may want to start with researching those mega-winners, and see if you can find a common answer. I found mine in fundamentals.

Regards,

DVB
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how many positions do you run at anyone time?
i remember sometime in the nineties we, like everyone else, thought that futures are so limited, why not go to stocks and trade trendfollowing on thousands of time series instead of fifty. never worked out at least for us. suddenly they all correlate. grats taht you amde it run.
twice the sharpe ratio of the sp was probably still a choppy ride ...
 
Quote from man:

you got me. so i disclose it:

i am the nephew of bruce kovner and the elder cousin of jim simmons' grandson in one person. and now, after suffering long enough from all this material wealth, my psychotherapist (thanks, angela!) together with my spiritual consultant (thanks mara!) have jointly decided together with me that i do something for the masses.

yes. yes. incents.

but no, no nonsense.

peace :)
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Quote from man:

how many positions do you run at anyone time?
i remember sometime in the nineties we, like everyone else, thought that futures are so limited, why not go to stocks and trade trendfollowing on thousands of time series instead of fifty. never worked out at least for us. suddenly they all correlate. grats taht you amde it run.
twice the sharpe ratio of the sp was probably still a choppy ride ...
More...

Hey man,

Keep up going to your therapy. You need it!

:D
 
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