Trend Following Research

Quote from marketsurfer:

Finally some fresh trend follower info. This guy has a unique angle, do you know his AUM?
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He is a trend follower. His uniqueness comes from how he came to be a trend follower -- which was through trying to find a trading method that remained opposite hedgers. It can sometimes be more instructive to analyze smaller trend followers like Druz, Tom Shanks and Howard Seidler as opposed to the larger ones [i.e. beating up on JWH] that see massive inflows and outflows. That in/out money usually has nothing to do with trend following strategy and all to do with institutional players chasing the latest pretty girl or panicking in a drawdown.
 
Quote from Trend Following:

He is a trend follower. His uniqueness comes from how he came to be a trend follower -- which was through trying to find a trading method that remained opposite hedgers. It can sometimes be more instructive to analyze smaller trend followers like Druz, Tom Shanks and Howard Seidler as opposed to the larger ones [i.e. beating up on JWH] that see massive inflows and outflows. That in/out money usually has nothing to do with trend following strategy and all to do with institutional players chasing the latest pretty girl or panicking in a drawdown.
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Yeah, with 77 or so million the guy is plankton compared to the whales. Wonder why, with such great performance, he has stayed such a small operation. I take it he is a one man show? Surf
 
Quote from marketsurfer:

Yeah, with 77 or so million the guy is plankton compared to the whales. Wonder why, with such great performance, he has stayed such a small operation. I take it he is a one man show? Surf
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Howard is a one man show!
 
Quote from marketsurfer:

Yeah, with 77 or so million the guy is plankton compared to the whales. Wonder why, with such great performance, he has stayed such a small operation. I take it he is a one man show? Surf
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I use the examples and stories to show trend following in action. Don't really see much of a comparison between a trend follower trading 50M for clients or 1B for clients. The differences are related to the money management world. My issue is trend following itself -- the actual trading strategy.

In terms of the money management world everyone has to decide what they want. One man shows can make many, many millions. Trading billions as a TF can get you the Red Sox or 300 employees.

No right or wrong answer.
 
Quote from EPrado:

Merrill Lynch pulled 600 million in one shot from JWH at the bottom of their performance. I believe it was in 2007. At the time I think it was something like 33% of their AUM. In the end Merrill looked like fools as JWH performance has gone straight up. They sold the bottom. I think JWH was up over 100% in 2008.

The crazy thing was even after a monster year in 2008, investors continued to pull money from JWH. I think in general FOF guys and investors lost all appetite for risk after 2008.

People who continue to stay with TF's will always be happy as their strategies have been very successful over time. Sure one can cherry pick drawdowns (which you Surf are an expert in), but in the long run these guys are the best.
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Yeah, that happens more often than most think. I had an investor in a volatile fund that was down 30% in a month, he panicked and demanded redemption which was obtained, the next month the fund was up 75%.

Talking about JWH, according to Absolute Returns magazine he has switched from trend following to market neutral strategies in his largest fund.
 
I continue to struggle to wrap my head around position sizing issues and how they relate to entries and exits. I'm wondering if anyone traded the recent Euro daily trend, and if so, how you went about making money. Did you pyramid? Did you risk 1% of your capital? And how many instruments do you trade?

Here's what I'm getting at: I've read a ton about trend following and it seems like you need to trade a lot of instruments to make money. Am I off-base on that assumption? It seems like the individual trades don't make that much. Again, is that accurate / inaccurate?

Roughly speaking, from the Euro bottom at 1.29 to the recent top of 1.50, we have a move of about 2100 pips, which by any reasonable measure would be considered a "strong move". But depending on your system, a long term trend probably didn't make itself apparent until about 1.38, and perhaps you're closing out today at 1.43, given the sharp reversal.

So now we've made 500 pips. If my initial volatility 2ATR stop was around 250 pips, and I'm risking 1% of my capital, I only made 2% on the trade.

The recent Euro move making only 2%? Am I way off base here, or is this a reasonable expectation for this kind of move?
 
Quote from Fishmonster123:

I continue to struggle to wrap my head around position sizing issues and how they relate to entries and exits. I'm wondering if anyone traded the recent Euro daily trend, and if so, how you went about making money. Did you pyramid? Did you risk 1% of your capital? And how many instruments do you trade?

Here's what I'm getting at: I've read a ton about trend following and it seems like you need to trade a lot of instruments to make money. Am I off-base on that assumption? It seems like the individual trades don't make that much. Again, is that accurate / inaccurate?

Roughly speaking, from the Euro bottom at 1.29 to the recent top of 1.50, we have a move of about 2100 pips, which by any reasonable measure would be considered a "strong move". But depending on your system, a long term trend probably didn't make itself apparent until about 1.38, and perhaps you're closing out today at 1.43, given the sharp reversal.

So now we've made 500 pips. If my initial volatility 2ATR stop was around 250 pips, and I'm risking 1% of my capital, I only made 2% on the trade.

The recent Euro move making only 2%? Am I way off base here, or is this a reasonable expectation for this kind of move?
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I am an ETF trend trader and I bought FXE at 136.93 on 02/23/11 and sold it today at 142.36 for a 4% gain (unleveraged).

Most trend traders do trade a variety of asset classes and the number of instruments varies by trader. I personally have an upper limit of 25 ETF's. When I look at the equity curves for some of my ETF models, there are some which have a two year flat equity curve and then shoot up for the next year. It would be wonderful to know when a given asset class is about to take off but don't kid yourself, nobody knows. Trend trading is a strategy of probabilities.
 
Thanks fjpenney. The fact that you made 4% sort of confirms my post, I guess. I'm assuming that given the assumptions in my post, you're either risking more or using a tighter initial stop. Does that sound right?

By the way, I was looking for your system on Collective 2. What is the name of it?
 
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