Trend Following Research

Butterball · Apr 16, 2011

Quote from marketsurfer:

I don't have current statistics as I am not an investor in the large CTA operations.
Certainly some are here and can report the details

You said there was "proof". Where is it? Why call on others to help you defend your own claims?

Quote from marketsurfer:

suffer huge drawdowns like the big funds do consistently.

Again I am asking you to post proof of "consistently huge drawdowns" suffered by the big funds as you claimed.

Certainly that is not too much to ask considering you claimed you studied all of the available publications and material on the matter.

marketsurfer · Apr 16, 2011

Quote from Butterball:

You said there was "proof". Where is it? Why call on others to help you defend your own claims?

Again I am asking you to post proof of "consistently huge drawdowns" suffered by the big funds as you claimed.

Certainly that is not too much to ask considering you claimed you studied all of the available publications and material on the matter.

I am not an investor in the larger CTA operations therefore do not have access to recent performance of each program. I am sure there are a few here and they can post their experiences ....

My studies and research was not into anecdotal survival biased performance of individual programs but rather focused on objectively verifying the edge available in the trading tactic known as trend following. The reason for the research was to determine if investor monies should be allocated to trend following strategies within a FOF product. Thanks, Surf

Rodney King · Apr 16, 2011

Quote from Butterball:

drawdowns" suffered by the big funds

Mr Covel's book 'Trend Following' http://amzn.to/dE79VX quotes Dunn's own marketing materials on pg 96 -

<i>During 26+ years of trading, the composite record, on a month-to-month basis, has experienced eight serious losses exceeding 25%. The eighth such loss equaled 40%, beginning in September 1999 and extending through September 2000... The most serious loss in Dunn's entire history occurred over a four-month period which ended in February 1976 and equaled 52%. Clients should be prepared to endure similar or worse periods in the future.</i>

Butterball · Apr 16, 2011

Quote from marketsurfer:

I am not an investor in the larger CTA operations therefore do not have access to recent performance of each program.

Then maybe you should consider refraining from making allegations that you are unable to substantiate with fact.

fjpenney · Apr 16, 2011

Dunn's drawdowns are very likely the worst of all the large TF firms. Each to his own, but I would not design a trading system with such large drawdowns. That being said, investors in Bill Dunn's funds know what they are in for when they invest with him.

Neenisti · Apr 16, 2011

Quote from marketsurfer:

I base my statement on the commonly accepted definition as outlined in one of the best selling trading books of all time, entitled, "trend following" by Covel ( in which I am name checked right next to the heroes of trend following) so please---

If you wish to make up definitions, that's up to you.

Surf

I own "Trend Following" and have read it more than a few times. It was written based on old references at the time it was published 7 years ago. It is a good book but written by someone that doesn't personally use the techniques in the book.

Trend followers buy pull backs in up markets and sell pull backs in down markets. This is common knowledge for those applying the techniques or for those of us that actually know people who operate funds that use those techniques. Maybe you should widen your horizon on your reference material to those actually using the techniques instead of individuals that simply write about it.

I suppose you believe that: Vikings wore horns on their helmets or that the Pilgrims dressed in black, wore buckles and wore black steeple hats. I suppose you think George Washington had wooden teeth and that Abraham Lincoln freed the American slaves. I also suppose you believe that goldfish have no short term memory and a duck's quack has no echo. I imagine you also believe Paul Revere made the entire ride from Boston to Concord as well.

Regurgitation of commonly accepted information is what an average high school journalist does. Great journalists do the research to insure their statements are based on concrete facts.

Samsara · Apr 16, 2011

Quote from Butterball:

Then maybe you should consider refraining from making allegations that you are unable to substantiate with fact.

Why hamstring the marketing operation he and Rodney King have going? Discussion generates thread views, regardless of the quality of information exchanged.

EPrado · Apr 16, 2011

Quote from marketsurfer:

Yes, folks need to understand the fact of trend following being a marketing term for buy and hope-- the huge drawdowns prove this fact. Some will make money, others will not. There is no edge in trend following-- it takes vast resources, is extremely risky and simply not appropriate for retail or small funds at any time.

Surf

Dear Surf,

What are Dunn's returns the last 10 years?

What are Vic Neiderhoffer's (a hint...-100%)

Please stop bashing trend followers as they have crushed all the others in performance.

Your Friend,

Eprado

EPrado · Apr 16, 2011

Quote from Butterball:

The above statements just reveal that you are 100% clueless.

If TF's have huge drawdowns what in holy hell does he call his idol's( Vic Neiderhoffer) performance?

Nuclear drawdowns?

EPrado · Apr 16, 2011

Quote from marketsurfer:

Ok , just keep buying higher highs and selling lower lows. The public are trend followers by default and we all know what happens to the public.

The big names are spread across dozens if not hundreds of instruments -- if you can do this , more power to you. I know I dint have the capacity.

Yeah....those who have been buying gold highs the last year are really hurting....lol.

Surf....PLEASE STOP !!!!