Trend Following Research

[Trend Following]

Trend following white papers:

Does trend following work on stocks? (PDF)
Graham Capital trend following overview. (PDF)
Origins of trend following. (PDF)
Patterns in trend following managers. (PDF)
David Harding on Sharpe ratio. (PDF)

Some may have seen these, but many have not. They offer good food for thought at a time when so many are chasing the daily news headline and or the fundamental of the day.

More to come.

 

[Expect Positive]

I found this chart the other day, and I was curious what you thought about it. It is obviously a generalization and I guess it is specific to just the Turtle system, but still I think it asks a larger question: can a trading system be dead?

I'm not really picking on trend following in particular, because I do believe that if it's not perfect, it's still probably the best overall system out there (and I'm also a big fan of both of your books). But, this equity curve...

http://www.automated-trading-system.com/wp-content/uploads/2010/03/turtles_since_1970_350.png

 

[ProfLogic]

Quote from Trend Following:

Some may have seen these, but many have not. They offer good food for thought at a time when so many are chasing the daily news headline and or the fundamental of the day.

More to come.

Thanks for the reading material.
I like to collect material written when trend following was in it's infancy. It's like reading about Henry Ford's first adventure into creating an assembly line.
My how things have changed and progressed since these articles were written.

 

[trend2009]

is trend following system much harder to automate than mean-reversion system? especially for the trend system that is based on bar by bar analysis?
I heard few firms on wall street trade on the candlesticks.

Btw, does James simon trade on trend following?

Quote from Trend Following:

Trend following white papers:

Does trend following work on stocks? (PDF)
Graham Capital trend following overview. (PDF)
Origins of trend following. (PDF)
Patterns in trend following managers. (PDF)
David Harding on Sharpe ratio. (PDF)

Some may have seen these, but many have not. They offer good food for thought at a time when so many are chasing the daily news headline and or the fundamental of the day.

More to come.

 

[ProfLogic]

I'll post some of my personal strategy reports to give you an idea of what is possible.
My results are not indicative of typical results because I use a specific, consistent, exact and objective definition of "trend".

Here is a swing Australian Dollar report.

 

[ProfLogic]

Here is an eMini Midcap S&P 400 report.

 

[ProfLogic]

Here is an eSoy Oil report.

 

[ProfLogic]

Here is an eRough Rice report.
The profit here was $19,300.00 per contract not $193. This is an error of the programs part to put the correct value on rice.

 

[ProfLogic]

Here is an eSoybean report.

 

[Trend Following]

Quote from ProfLogic:

Thanks for the reading material.
I like to collect material written when trend following was in it's infancy. It's like reading about Henry Ford's first adventure into creating an assembly line.
My how things have changed and progressed since these articles were written.

What do you think has changed?