Trend Following Research

Have you read either of my books? The books show TF systems, philosophy and psychology. Very straight forward. I don't get the impression that you understand, use or follow trend following strategies as commonly known. Correct me if I am wrong. In terms of how you would not define the American dream as 'broke', have you seen my film? Or just the title?

Update: It should be noted that your other views added below are not trend following or remotely close. Trend following doesn't involve sitting around trying to figure why prices are moving one way or the other.

Quote from Beau Wolinsky (October 15, 2010):

Less than 2 weeks ago, I became a CTA, and have been managing money well for the most part this year, having mastered Price Discovery through Financial Science and Engineering known as Price Physics. I feel I've missed some of the rally but I captured a good amount of the upside. You should know what a financial scientist is predicting about the price physics of the market, and what it could mean for you in your portfolio. As the link says, considering letting off considerably in light of the surprisingly fast run, TIP in particular has had. Nearly an 8% return in less than 4 months. 2% a month just out of TIP? Sounds Good to me, but my hedge long term or for anybody that thought I was buying and holding longer should know when to take a good profit. That's all. It may rally but the logic dictates where price is going to head, and while seemingly predictable and arguably with the benefit of hindsight, something I've found very robust, and in conjunction with my other strategies, quite lucrative.
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Quote from bwolinsky:

I began managing capital prior to the start of my major in Financial Economics at Centre College with family ancestral estate capital organized as a Family General Partnership Agreement, forming the Nexial Investment Club, and began a pursuit to understand why prices behave the way they do, why prices are valued where they are, and how that all relates to how we know Financial Economics works. This has blossomed into an RIA, CTA, Level II CFA Candidate discovering Price Physics that you can prove after much FSA (Financial Statement Analysis), Financial Science can empirically be used to produce logical, objective temporal assesments of value regardless of the use of fundamentals or technicals, because, as you'll find, they both tell you the same thing, and when you combine the two for timing after careful Financial Analysis, the cash flows from that analysis can be used with Financial Science to prove what the value of the security "should be" traded at, and once you've done that, your analysis can allow you to profit if your projection becomes investor reality as sentiment then pushes the price to that level. I've found both Price Physics and Financial Science lead to the same decisions about when to buy and when to sell, and I hope you'll watch as I record publicly the trades I make for myself, and my family, and, once you start following BWorldOmnimedia's Trades as a new Covestor Member Follower, you'll be able to follow my trades and replicate them at Interactive Brokers when you invest with K.C. Capital Management, Inc. Make the best investment decision you've ever made.
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Quote from bwolinsky:

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.
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Beau, go read the disclosure documents at the following links cover to cover. They may help you to have a better feel for trend following -- if that is a goal. If not all on the sites, try iasg.com too.

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
http://www.bluecrestcapital.com/
http://www.ahl.com/
http://jpdent.com/
http://www.chdwk.com
http://www.vacacm.com/

Quote from Beau Wolinsky (October 15, 2010):

Less than 2 weeks ago, I became a CTA, and have been managing money well for the most part this year, having mastered Price Discovery through Financial Science and Engineering known as Price Physics. I feel I've missed some of the rally but I captured a good amount of the upside. You should know what a financial scientist is predicting about the price physics of the market, and what it could mean for you in your portfolio. As the link says, considering letting off considerably in light of the surprisingly fast run, TIP in particular has had. Nearly an 8% return in less than 4 months. 2% a month just out of TIP? Sounds Good to me, but my hedge long term or for anybody that thought I was buying and holding longer should know when to take a good profit. That's all. It may rally but the logic dictates where price is going to head, and while seemingly predictable and arguably with the benefit of hindsight, something I've found very robust, and in conjunction with my other strategies, quite lucrative.
More...
 
Quote from Trend Following:

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.
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In one of your earlier posts a a little while back you specifically responded to someone that you didn't trade. I was only taking you at your word. We all know you don't run a fund. Your response was not in reference to a fund. Give me a bit and I will post a link to your statement if you need me to?

My post specifically stated that the book was published 7 years ago. 2004 plus 7 is 2011. We also know that your book has been updated twice since then. I've read the last update but not the one from November 2005. I'm probably mistaken but where in either of those books was a definition of trend listed?

I would assume everyone understands the concept of buying pullbacks in extended up moves or selling pullbacks in extended down moves, you do not?
 
I am certainly not defending trend following but the fact is, Covel is the world renowned authority on the subject. He has interviewed 100's of major trend followers and other traders. His work dwarfs my 50 or so published interviews in 2004--2006 of financial heavyweights.

When Covel defines trend following, it's the accepted definition based on his research. Certainly not the self serving definition of some nonsense sprewing no name alias on elite trader.
 
Quote from Trend Following:

Trend following doesn't involve sitting around trying to figure why prices are moving one way or the other.
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Interesting.
I know that Wikipedia isn't the end-all-be-all but it is a great place to start. They have a pretty straight forward and generic definition.

"Trend following is an investment strategy that tries to take advantage of long-term moves that seem to play out in various markets. The strategy aims to work on the market trend mechanism and take benefit from both sides of the market, enjoying the profits from the ups and downs of the stock or futures markets. Traders who use this approach can use current market price calculation, moving averages and channel breakouts to determine the general direction of the market and to generate trade signals. Traders who employ a trend following strategy do not aim to forecast or predict specific price levels; they simply jump on the trend and ride it."

So Mr. Covel, why wouldn't it behoove a trader or investor to research trends to better understand and blueprint the components of a trend so they could possibly better define entry areas thus improving overall profits and minimize losses?
 
Funny that the wikipedia article is mentioned. I am not only name checked in the trend following book listed as a source but also thanked for my contribution profusely in the other book cited as a source trend trading by brown on page XVII.
Funny!! :D :D
 
Dan Rather has interviewed literally thousands of business people over his 40+ years in the industry but he has never been or ever will be considered an expert on business. He is just a respected journalist that made an error at the ending point in his career. Perfect example of a journalist's humanity and potential fallibility.
 
Quote from marketsurfer:

When Covel defines trend following, it's the accepted definition based on his research. Certainly not the self serving definition of some nonsense sprewing no name alias on elite trader.
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Are you talking about me?
 
Quote from Neenisti:

Are you talking about me?
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The post was directed at anyone who makes up definitions. Elite seems to be full of these folks.

Regarding Dan Rather--- I disagree with your analogy-- Dan rather interviewed people from all types of business, politics and every walk of life. Had he focused on a small niche such as trend following-- he would be an expert in that field. You are comparing a broad based journalist to a niche researcher. There is a huge difference.

Surf
 
Quote from Neenisti:

Interesting.
I know that Wikipedia isn't the end-all-be-all but it is a great place to start. They have a pretty straight forward and generic definition.

"Trend following is an investment strategy that tries to take advantage of long-term moves that seem to play out in various markets. The strategy aims to work on the market trend mechanism and take benefit from both sides of the market, enjoying the profits from the ups and downs of the stock or futures markets. Traders who use this approach can use current market price calculation, moving averages and channel breakouts to determine the general direction of the market and to generate trade signals. Traders who employ a trend following strategy do not aim to forecast or predict specific price levels; they simply jump on the trend and ride it."

So Mr. Covel, why wouldn't it behoove a trader or investor to research trends to better understand and blueprint the components of a trend so they could possibly better define entry areas thus improving overall profits and minimize losses?
More...
Although I agree with Mr. Covel that knowing why price moves in a certain direction isn't necessary for a good trend trading strategy, you raise a good point in that a more explicit definition of trend would be enlightening in how best to exploit it. But I doubt we'll be getting any consensus on the definition. For example, the "long-term" reference in the wiki definition seems unnecessary because trend following can be done intraday, unless wiki is using "long-term" in a relative way, i.e., long within the given timeframe, no matter how fast that timeframe may be. For example, 200 minutes would be "long-term" for those trading in the 1-minute timeframe but wouldn't even register for EOD traders. Of course wiki gives no clue as to whether "long-term" is being used relatively or absolutely so the definition is subject to criticism.

We all "know" what trend is in a general sense; the key for at least some of us is finding a way to quantify it so it can be measured and exploited systematically.
 
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