Trend Following Research

Quote from Butterball:

You're wrong.

You asserted markets were random and market returns mirror random coin flips. That implies a perfectly efficient and random market that doesn't allow any extraction of alpha. How can edges exist when market returns are perfectly random as you claimed? That is a blatant contradiction.

Either you have to retract your theory that market behavior can be modeled with coin flips or you have to admit that market benchmarks can't be beaten. You can't have both.
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I disagree. market returns can be random, yet some can find an structural edge to exploit, or simply get lucky. Can one extract alpha from a casino? if the average is most lose.....Clearly, some people do. Individuals extracting alpha does not mean they were not simply lucky in being at the right place at the right time within an efficient system.

If you have 50 bettors and they all keep betting on a coin flip, one will eventually emerge as the winner, therefore said to have "alpha" in that time series of bets. This winner clearly beat the "average" returns of the others. It's all relative which takes us back to my initial point.

Good Luck!
 
Quote from annaland:

Has anyone posted or cited something from an upper tiered peer reviewed journal (if so please re-post) or do y'all just use yingyang's blog posts to defend your positions?

Hershey kiss- if you reply to this please post <150 words
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These 3 pumping Gann, cycles, turning points and the like...have nothing except wandering prose designed to fool the fools.

Forget the sales part of this PDF, the data provides lessons. This is the type of detail that doesn't exist with the Gann quacks.
 
Quote from Trend Following:

These 3 pumping Gann, cycles, turning points and the like...have nothing except wandering prose designed to fool the fools.

Forget the sales part of this PDF, the data provides lessons. This is the type of detail that doesn't exist with the Gann quacks.
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More detail from the first post in this thread:

http://www.trendfollowing.com/whitepaper/trendfollowing.pdf
 
Quote from Trend Following:

These 3 pumping Gann, cycles, turning points and the like...have nothing except wandering prose designed to fool the fools.

Forget the sales part of this PDF, the data provides lessons. This is the type of detail that doesn't exist with the Gann quacks.
More...

I was asking for work like Lo, Mamaysky and Wang 2000, or Blume, Easley & O'Hara 94, who show TA provides some value but using data post 2001.
 
Quote from annaland:

I was asking for work like Lo, Mamaysky and Wang 2000, or Blume, Easley & O'Hara 94, who show TA provides some value but using data post 2001.
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Illustrative value or predictive value?
 
Quote from Trend Following:

This is the type of detail that doesn't exist with the Gann quacks.
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<a href="http://www.elitetrader.com/vb/showthread.php?s=&threadid=187730">Lescor's thread</a>

Here's an example of a successful trader who has documented how he produces alpha by providing liquidity to distressed traders during unbalanced moves. The emotional side of herd behavior provides an edge like this, which is not based on money management alone.

Goodboy isn't the brightest bulb in the box, but he is a sycophant. As such, he parrots the vendors with whom he wants to rub elbows, who themselves parrot the academics in economics departments (who are closet metaphysicians that reify models rather than operate in reality).

Everyone's trying to sell something in their philosophy of market behavior. The only people worth listening to are those who "do", and prove that they do. I'll take a trader, or a system developer, over a vendor and his toadies any day.
 
Quote from annaland:

I was asking for work like Lo, Mamaysky and Wang 2000, or Blume, Easley & O'Hara 94, who show TA provides some value but using data post 2001.
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The trend traders with continuous track records going back over 20 years (Dunn back to 74) are more useful over ivory tower types if one wants to really learn:

http://www.dunncapital.com
http://www.wintoncapital.com
http://www.altispartners.com
http://www.transtrend.com
http://www.aspectcapital.com
http://www.hawksbillcapital.com
http://www.grahamcapital.com
http://www.emccta.com
http://www.abrahamtrading.com
http://www.millburncorp.com
http://www.drurycapital.com
http://www.clarkecap.com
http://www.tacticalnet.com
http://www.saxoninvestment.com
http://www.eckhardttrading.com
http://www.sunrisecapital.com
http://www.jwh.com

etc.

One academic who has profiled trend followers:
http://www.duke.edu/~dah7/index.htm
 
Quote from Trend Following:

The trend traders with continuous track records going back over 20 years (Dunn back to 74) are more useful over ivory tower types if one wants to really learn:

http://dunncapital.com
http://wintoncapital.com
http://altispartners.com
http://transtrend.com
http://aspectcapital.com
http://hawksbillcapital.com
http://www.grahamcapital.com
http://emccta.com
http://abrahamtrading.com
http://millburncorp.com/

etc.

One academic who has profiled trend followers:
http://www.duke.edu/~dah7/index.htm
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MC, with some due respect, what about all the TF funds that fail?! How does your list control for survivorship bias.
 
Quote from Samsara:

<a href="http://www.elitetrader.com/vb/showthread.php?s=&threadid=187730">Lescor's thread</a>

Here's an example of a successful trader who has documented how he produces alpha by providing liquidity to distressed traders during unbalanced moves. The emotional side of herd behavior provides an edge like this, which is not based on money management alone.

Goodboy isn't the brightest bulb in the box, but he is a sycophant. As such, he parrots the vendors with whom he wants to rub elbows, who themselves parrot the academics in economics departments (who are closet metaphysicians that reify models rather than operate in reality).

Everyone's trying to sell something in their philosophy of market behavior. The only people worth listening to are those who "do", and prove that they do. I'll take a trader, or a system developer, over a vendor and his toadies any day.
More...

If "lescor" actually exists and speaks truth, he is demonstrating an example of an edge. Edges do exist regardless of a system( the market ) being "efficient"-- although these edges are often short term and fleeting.

Do you really believe that hedge funds hire academics because they have no relevance to the real world?

I prefer to rely on objective evidence than anecdotal evidence of a success story. This is another issue with traders, and a very financially dangerous one--- taking one example and extrapolating it across the whole.
 
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