Trend Following Research

[marketsurfer]

Quote from Butterball:

You admit to having no experience with trend following funds. You were intentionally misleading when you said you "studied all available publications" pertaining to trend funds as that was exposed as a blatant lie. The concept of margin to equity ratios as a measure of CTA trading risk is completely new to you.

In the future, at the very least you should refrain from passing off your opinion on trend following as verified fact.

Absolutely wrong. No direct experience in placing capital with them. This in no way should be construed to mean I have not read all the readily available information in an academic and research role for the publishing side of my business. In addition to deciding not to invest, despite the hype, in trend funds.

Of course I know of margin to equity ratio and it's effect. It's one reason for steep drawdowns as is not cutting losses and getting whipsawed.

 

[NY0BScalper]

Quote from marketsurfer:


Of course I know of margin to equity ratio and it's effect. It's one reason for steep drawdowns as is not cutting losses and getting whipsawed.

Aren't you a journalist? Shouldn't you know it's and its?

 

[marketsurfer]

Quote from NY0BScalper:

Aren't you a journalist? Shouldn't you know it's and its?

Must be my ghost writer without an editor.

 

[jfranco]

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.

send me a link to that video broke

 

[Trend Following]

Quote from Neenisti:

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.

While my goal is not to run a fund, I trade my own account. My book first 'Trend following' was first published April 04. It was updated Nov 05 and Feb 09 -- reflecting updated performance histories of those covered. How is the content dated?

Trend followers, the type defined in my work (CTAs, managed futures, whatever you want to call it), buy pullbacks? Please explain that notion.

 

[Trend Following]

Quote from jfranco:

send me a link to that video broke

http://www.brokemovie.com

 

[Trend Following]

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

Surf, everyone has an opinion, but if you are going to take this stance...

I have laid out quite a bit more work saying something just the opposite. Might be time for you to take your view to the long form!

Note: I am not saying some guy should take his last $5000k to the futures markets to try TF.

 

[Trend Following]

Quote from marketsurfer:

Never did and wouldn't place a client with a CTA trend fund--- no edge there as far as I can determine.

What do you mean exactly as you say this?

 

[Trend Following]

Quote from bwolinsky:

Hi, Fish, the flame war is founded basically because Mr. Covel, the OP, does not believe in rigorous mathematics or statistical analysis as a basis for trading decisions.

Explain.

 

[bwolinsky]

Quote from Trend Following:

Explain.

There is no mathematical discussion or quantitative numerical analysis.

Defining trend is important to the extent that it can be expressed mathematically. Output from real research would be better than talking about other traders.

I've already posted my financial research here, in many other threads.

I'd like to see equations for your definitions, code summaries, or other definitions to test. This is primarily where the cord is cut from sophisticated to average. I prefer math, some prefer to be verbose about philosophy. Sometimes that's good, but most of the time talking about a very concrete definition can only be expressed by mathematics and statistical output of other analyses.

This thread needs more quantitative definitions to be useful, and broke is not how I would define the American Dream, nor is anybody that has rock solid quant math going to take unnecessary risks. Crossing the line into arbitrage is where the hedge funds pay PhD's, but mostly, after factoring cost of doing business from slippage to other incidental problems, these types of quants are good at curve fitting.

I liked ProfLogic's spreadsheets. That is more useful, and for many, elusive.