Trendfollowers: When oh when are we going to start making some $$$?

Quote from Ash1972:

Trendfollowing is 100% automated and makes trading decisions based on end of day data only.
More...

That might be your definition of trend following but it sure isn't the modern definition. Trends exist within all unique chart increments; yearly, monthly, daily, hourly minute or individual volume increment.
Drastically limiting your scope of the environment explains your lack of profitability.
 
Quote from Ash1972:

Well, that's one person who's clearly NOT a trendfollower! Tell me, did you make money during the crash of 2008? I know you'll say yes, so I can only conclude that since you know exactly when markets switch from trending to rangebound and back again, you are a smarter man than me.

I have a day job, thank you. Trendfollowing is 100% automated and makes trading decisions based on end of day data only.
More...

You made money shorting in 2008, but failed to get in the long side and profit at all in 2009? What trend-following system are you using?

I imagine a classic trend-follower would get whipsawed this year, but I'm surprised you didn't get at least a modest gain in 2009.
 
well it depends on which stocks, for instance, you traded. You can easily test, for example, that historically RIMM is a lot less trending than AAPL. I dont see any choppy markets in AAPL at all. Some currencies are worth taking larger positions in once they start breaking down again, such as AUD, EUR.

Quote from Ash1972:

My question was aimed at systematic trend following traders. Most modern trend following systems make their real money from big directional market moves (e.g. 2008 crash, 2007 oil price spike) and use smaller trends to stay afloat whilst there are no big ones.

The problem with the equities bull run from Mar09 onwards was that it was very choppy; hence, most trend following systems kept getting in and out too often, thus ultimately getting whipsawed.
More...
 
its about riding trends as long as they last and then move on to other instruments. For example EUR trended greatly but I dont have it on my trend system right now, simply because it mostly consolidates first. Even a successful trading system is not an ATM machine. You need to also look at the larger macro context because currently moves can be heavily impacted by political interventions, for example. Another example is BP, this stock was a no brainer when it started to break down, but would I still trade it now? Of course not because the price action turned into a pure coin flip. I generally do not like to trade gold because it has become very choppy. Remember 2008. Everyone expected to have gold go through the roof but in the end it crashed because of hedge fund redemptions. Its all about the selection of the assets you plug into your system. The same asset is never trending all the time. I trade a "rotational" trend following system which I developed myself, meaning, it includes and excludes assets based on its most recent trend characteristics but I also override the asset selection quite frequently. Nothing can be completely automated, at least thats what I experienced...

Quote from MKTrader:

You made money shorting in 2008, but failed to get in the long side and profit at all in 2009? What trend-following system are you using?

I imagine a classic trend-follower would get whipsawed this year, but I'm surprised you didn't get at least a modest gain in 2009.
More...
 
Quote from Ash1972:

Prediction is futile. That is our mantra. BUT after 18 months or so of treading water I'm sure we're all asking the same question!
More...

look at your back test.

what was the longest period where your system treaded water?

now quadruple that.. thats probably an indictation of how long you might be going sideways in real world trading at some point in your trend following career.
 
Quote from Ash1972:

My question was aimed at systematic trend following traders. Most modern trend following systems make their real money from big directional market moves (e.g. 2008 crash, 2007 oil price spike) and use smaller trends to stay afloat whilst there are no big ones.

The problem with the equities bull run from Mar09 onwards was that it was very choppy; hence, most trend following systems kept getting in and out too often, thus ultimately getting whipsawed.
More...

If your system got whipsawed that much in '09, it probably got whipsawed a lot in the 2003-2007 rally and even parts of the 1990s. If not, you may want to ensure it's not curve-fit...
 
Something to think about:

For a chart to trend one must first objectively define "trend".
I define the trend strictly from the price oscillations based on the extreme chart specific support and resistance points.

If those extreme chart specific support and resistance points are making oscillation consecutive and continuous HH's and HL's then you can define the Trend as Bullish and specific chart strength as being UP!

If those extreme chart specific support and resistance points are making oscillation consecutive and continuous LL's and LH's then you can define the Trend as Bearish and specific chart strength as being DOWN!

If those extreme chart specific support and resistance points are making inconsistent oscillations of LH's, HL's, HH's & LL's then you can define the Trend as Consolidation and specific chart strength as being Neutral!

If one can objectively define the trend of a specific chart then one should be able to trade either side or any extreme oscillation of that trend.

For a Bull Trend, the buys from confirmed support should be the most profitable. Sells from confirmed resistance should be good if managed because you assume that the target, confirmed support, will NOT be broken through.

For a Bear Trend, the sells from confirmed resistance should be the most profitable. Buys from confirmed support should be good if managed because you assume that the target, confirmed resistance, will NOT be broken through.

For Consolidation, the sells from confirmed resistance should be as inconsistent as the buys from confirmed support. This is why trading in consolidation is the most risky.
 
Well my system definitely isn't curve fitted, otherwise it would never have remained so flat over the past year - it would have haemorrhaged cash at an alarming rate.

It simply isn't possible for a trend following system to make money in 2007, 2008 *and* 2009. The uptrend from Mar 09 was based on very low volume and constantly reversed. Just because you can retrospectively join a straight line between two ends of a weak, choppy upwards drift, it doesn't mean there is a system that can ride it profitably. At least, no system that wouldn't have bankrupted you in any of the *other* last 30 years.

Could we please confine this discussion to trend following, which is a 100% systematic approach based purely on technical indicators and money/risk management algorithms? It has nothing to do with using your judgement about whether specific moves will become trends.
 
Quote from Ash1972:

Well my system definitely isn't curve fitted, otherwise it would never have remained so flat over the past year - it would have haemorrhaged cash at an alarming rate.

It simply isn't possible for a trend following system to make money in 2007, 2008 *and* 2009. The uptrend from Mar 09 was based on very low volume and constantly reversed. Just because you can retrospectively join a straight line between two ends of a weak, choppy upwards drift, it doesn't mean there is a system that can ride it profitably. At least, no system that wouldn't have bankrupted you in any of the *other* last 30 years.

Could we please confine this discussion to trend following, which is a 100% systematic approach based purely on technical indicators and money/risk management algorithms? It has nothing to do with using your judgement about whether specific moves will become trends.
More...

I've tested many long-term systems, trend-following and otherwise. Plenty of them caught at least a chunk of the 2009 trend. Some also avoided most of the 2000-2002 and 2007-2008 bear markets. And some of them were created in the 1990s, so I know they weren't curve-fit to recent markets....
 
You must log in or register to reply here.
Back
Top