Trend Following Research

[Texasdj]

Los alamos? Data lock? Texas? Anyone see a pattern in the data?

 

[Ghost of Cutten]

My preferred question would be "does trend following work on stocks where the fundamentals, breaking news-flow, and sentiment are all pointing in the same direction as well?"

Surely shorting a confirmed downtrend with bad fundamentals, negative newsflow, and complacent or bullish sentiment is a better odds play than just shorting every breakout to the downside.

 

[ProfLogic]

Quote from Texasdj:

Los alamos? Data lock? Texas? Anyone see a pattern in the data?

What kind of psychosis is it when someone constantly sneaks into a website they have been banned from more that "20" times?
What would you can someone that is a BBF of Bernie Madoff?

 

[Texasdj]

Quote from Ghost of Cutten:

My preferred question would be "does trend following work on stocks where the fundamentals, breaking news-flow, and sentiment are all pointing in the same direction as well?"

Surely shorting a confirmed downtrend with bad fundamentals, negative newsflow, and complacent or bullish sentiment is a better odds play than just shorting every breakout to the downside.

Good pints but I don't think your premise is not correct. Stany tests I have seen indicate that stocks that odds of a reversal order more likely than a continuation after a stick has been beat down. I think even the chef will agree as his charts show him buying near lows.

 

[Texasdj]

Quote from Texasdj:

Good points, but I don't think your premise is correct. Any tests I have seen --indicate that that the odds of a reversal are greater than a continuation after a stock has been beat down. I think even the chef will agree, as his charts show him buying near lows.

Fixed grammar above. Thanks.

 

[RCG Trader]

Quote from ProfLogic:

Outernationalgg has been banned . . . go figure.
Texasdj is surf's new hiding spot.
IMHO Surf has always been and will always be a mindless mouthpiece for hedge funds.

Wow Prof, you have your own Sybil now!

It is just sad that this guy was once a star

 

[himmel]

Thanks for the white papers, always good to review new information.

 

[Trend Following]

Some more interesting content:

1. An audio presentation from a Chair founded by trend follower David Harding:

http://www.abc.net.au/rn/scienceshow/stories/2010/3044567.htm

2. A recent article (PDF) on Salem Abraham:

http://www.michaelcovel.com/2010/10/26/salem-abraham-the-best-little-hedge-fund-in-texas/

 

[Expect Positive]

Michael,

A thought:

You should focus more on the performance of various trend following trading strategies through the years and less on the performance of a select group of managers. I think it would clarify your point and strengthen your argument.

Regards.

 

[Expect Positive]

Quote from Ghost of Cutten:

My preferred question would be "does trend following work on stocks where the fundamentals, breaking news-flow, and sentiment are all pointing in the same direction as well?"

Surely shorting a confirmed downtrend with bad fundamentals, negative newsflow, and complacent or bullish sentiment is a better odds play than just shorting every breakout to the downside.

"Surprise follows trend."