Trend Following Research

Quote from Expect Positive:

...Universa both were.
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Are they (and Taleb) not just going for the similar trend following payoff? Even if they use different instruments, techniques etc.?
 
Technically the engine underneath Trend Following is essentially being long volatility. Thats what drives the returns. You can be following anything and call it a trend, the distribution of returns in trend following tends to be fat tailed because real Market returns are fat tailed.

Regarding volatility, the only thing with trading volatility is it mean reverts in the short term, with occasional runs up that traders capture until it hits a ceiling.

Trend followers nowadays have mean reverting strategies as well to manage risk and liquidity that support the underlying trend following bias.
 
Quote from Trend Following:

Are they (and Taleb) not just going for the similar trend following payoff? Even if they use different instruments, techniques etc.?
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I'd say no re: Rentec. Simons has been quoted (I'm sure it's online) saying something along the lines that TF isn't great/doesn't work well anymore. (I disagree with him on this!)

As for Taleb, I consider his strategy slightly inferior to TF. He trades (my interpretation) the same way with or against the trend. Also, I know Oct 87 was huge for him - I don't remember TF returns in that month.
 
Quote from Visaria:

Mr Covel, may I ask you why you don't trade whether it be trend following or otherwise?
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Trade my own account. Hedge fund management? Not my direction.
 
Quote from Expect Positive:

I'd say no re: Rentec. Simons has been quoted (I'm sure it's online) saying something along the lines that TF isn't great/doesn't work well anymore. (I disagree with him on this!)

As for Taleb, I consider his strategy slightly inferior to TF. He trades (my interpretation) the same way with or against the trend. Also, I know Oct 87 was huge for him - I don't remember TF returns in that month.
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Oct 87 good for trend following.

Oct 10 good for trend following.
 
Quote from psytrade:

Trend followers nowadays have mean reverting strategies as well to manage risk and liquidity that support the underlying trend following bias.
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Some do this to cater to nervous, ignorant, impatient, illogical -- name your word -- clients. That said, trend followers make their money, the big bulks, from trend following.
 
It's all about context and time frame. Money can only be made by being on the right side of where the market is presently trending. If you are on the other side at that time, then you are losing money. How could this topic possibly merit further discussion?
 
Quote from Gabfly1:

It's all about context and time frame. Money can only be made by being on the right side of where the market is presently trending. If you are on the other side at that time, then you are losing money.

How could this topic possibly merit further discussion?
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Good trend comments;
but the general trend truth, which i mostly generally agree with,
is very dependent on entry price[See a 3 year housing chart , clear 3 year downtrend.[ this months/NOV Wall Street Journal.]

But the real estate time frame longer than 3 years is still UP.
Plenty of room for discussion, with all due respect:cool:
 
Quote from murray t turtle:

But the real estate time frame longer than 3 years is still UP.
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Depends on where you live and how leveraged you are.

NV, AZ, FL, CA -- not so positive on real estate -- nor will they be any time soon.
 
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