Trend Following Research (PDFs)

Quote from marketsurfer:

Hey Mike, have you read the paper and noticed the absurdly low
transaction cost estimates? This is a marketing piece not an academic paper used in an effort to make trend following look better. Look at 'appendix b'... roughly 1 es point, or a fraction of a bond tick--... do you really think a $10 billion trendfollowing firm can turn around a position with that little market impact?

The real numbers are at least 10x higher, so you can see how there is NO EVIDENCE of trend following success per the paper.

surf
More...

This is a conspiracy! :-)
 
Quote from marketsurfer:

According to that paper, trend is no logger your friend

paper says "...the strategy has, after all, suffered negative
calendar-year performance in three of the past four years, and delivered
its first back-to-back losing years since 1990..."

WTF?
More...

Some think trend following works, some don't and some think it is dead. Everyone can use their judgement of assorted PDFs and draw conclusions.
 
This thread reminds me of a sick dog who throws up and then laps it up. Trend, blah, blah, blah, trend, trend, uoooh (vomit), then start all over again....
 
Quote from Trend Following:

The lucky monkey:
http://www.trendfollowing.com/whitepaper/lucky_monkey.pdf
• John W. Henry, who bought the Red Sox through trend following.
• Bruce Kovner, who is worth more than $4 billion.
• Bill Dunn, who made $80 million in 2008.
• Michael Marcus, who turned an initial $30,000 into $80
million.
• David Harding, who is worth more than $690 million.
• Ed Seykota, who turned $5,000 into $15 million in 12 years.
• Kenneth Tropin, who made $120 million in 2008.
More...

http://amzn.to/14UF0g9
 
You must log in or register to reply here.
Back
Top