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

Quote from MKTrader:

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....
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What do you mean by 'avoided'? They should have been shorting in 00-02 and 08 and making a lot of money.

Could I ask you what the backtested mean and standard deviation of these systems are over the last 30 years?
 
Quote from Ash1972:

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.
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What I laid out is a 100% systematic approach based purely on technical indicators (price and a single momentum indicator) and money management algorithms.

It is even fully programmed as well.
 
sorry but this is bollocks. Trend following systems have outperformed every other strategy in 2008 alone by a huge lead. Do a simple google search, there were published reports of the largest trend followers and their performance numbers.

Almost every trend following strategy on equity markets would have gotten you onto a long position in May 2009 and this trend was virtually unbroken until Jan/Feb 2010. What are you talking about?

I did not get stopped out of almost any of the equity positions that my system took.

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.
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I've a question for day trading trend followers whose trading instrument is ES or a stock that matched the all-day uptrend of ES today:

Did any of you go long between 9:30am and 10:30am and either A) remain in the trade until the close, B) add to the position on each pullback, or C) take off part of the position at each new high and add back again on each pullback?

I've always found it difficult to stay in a full day trend like this, and instead I often look for reversal signals (and end up catching small moves), or trading with the trend in and out, but missing several of the legs. I look back end of day and realize think how much more profitable it would've been to ride the trend all day using one of the methods above.

I've yet to come across a trader who actually pulls it off and has live calls or a trading blotter to back it up.

Is it psychologically impossible or are there trend-followers here who have mastered it?
 
Quote from asiaprop:

sorry but this is bollocks. Trend following systems have outperformed every other strategy in 2008 alone by a huge lead. Do a simple google search, there were published reports of the largest trend followers and their performance numbers.

Almost every trend following strategy on equity markets would have gotten you onto a long position in May 2009 and this trend was virtually unbroken until Jan/Feb 2010. What are you talking about?

I did not get stopped out of almost any of the equity positions that my system took.
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2008, yes. Trend following funds outperformed everyone.

2009, no. Diversified futures trend following programs were almost all caught out by the choppy nature of the uptrend. It wasn't a typical bull market - the shape wasn't quite right.
 
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!
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i'm a trend follower... and made sererious money in 2009 unlike most trend followers at least the "official" ones on hedge funds...

2010 sos far has been pretty good to... mostrly due to sugar and the strength of the dollar...

i guess it depends from trend follower to trend follower if you make money or not... big guys like hedge funds diversify through a lot more markets than i do so it may be a reason they are not up as much... differences from trend followers usually come down to differente portfolio allocations

since most CTA's are overly exposed to commodities, and a lot diversified in those, commodities indeed were very choppy in 2009... so i guess that would be a reason for the underperformance of CTA's in 2009 ...
 
Quote from jack hershey:

In response to Donna:

A Yes.

B. Trading at capacity is a matter of doing partials fills so B is not applicable.

C. See B.

Is it psychological impossible? No, not at all.

Are there TF's here who have mastered it? Yes, there are many many of us.

On the ES today you were on a set of trading fractals. From the slowest to the fastest, in pragmatic trading terms, you were in hold from bar 1 to bar 74 (a point at which I discontinued logging etc to deal with other concerns).

All monitoring and trading kept you in the market for the day. It was more or less unreasonable to go to faster tractals to take the market's offers. What I mean by this is that is was not worth the effort since the capacity of the market was roughly invarient and you took on the opening trade AT THE FULL CAPACITY OF ES.

Not many people here or elsewhere approach trading at the capacity of the ES.

I did notice today and later in the day particularly there was some discussion of the market that held sway over what was happening in trading accounts. This is what you were experiencing.

In terms of trading with effectiveness and efficiency, Donna, your demonstrated goal, Your post is right on in terms of its subject AND the Q's you ask.

As a comparison of yesterday to today, you would have not had the feelings you had today during yesterday since you took about 7 segments then as opposed to one segment today.

The market always gives you its "tells" in advance. Always resist concluding anything is over if there are NO TREND END EFFECTS coming into view.

Read the many posts in this thread and understand you are NOT like these inductively based types of limited traders. Trading trends is done exclusively by using deduction, all based upon logic.
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Quote from jack hershey:

The market always gives you its "tells" in advance. Always resist concluding anything is over if there are NO TREND END EFFECTS coming into view.
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This is key. I, as well as the traders with whom I'm in daily communication, tend to sometimes exit profitable trades too soon when NO EXIT SIGNAL has yet set up. It's human nature, in an environment where time can take away gains, to grab the gains at the first sign of reversal.

If you catch a trend early, I think it's easier to stay in the trade; but if you enter later on, trade micromanagement becomes a serious obstacle and can easily override true signals as my late day boredom-induced sim trade today demonstrated: http://www.elitetrader.com/vb/showthread.php?s=&threadid=64965&perpage=10&pagenumber=8656

Jack, I'm very pleased to see that you're still alive. A thread this weekend (since removed) proclaimed your death at age 81. If it wasn't for the unusual age they posted, I would've been rather concerned :)
 
Quote from NoDoji:

I've a question for day trading trend followers whose trading instrument is ES or a stock that matched the all-day uptrend of ES today:

Did any of you go long between 9:30am and 10:30am and either A) remain in the trade until the close, B) add to the position on each pullback, or C) take off part of the position at each new high and add back again on each pullback?

I've always found it difficult to stay in a full day trend like this, and instead I often look for reversal signals (and end up catching small moves), or trading with the trend in and out, but missing several of the legs. I look back end of day and realize think how much more profitable it would've been to ride the trend all day using one of the methods above.

I've yet to come across a trader who actually pulls it off and has live calls or a trading blotter to back it up.

Is it psychologically impossible or are there trend-followers here who have mastered it?
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These are computer generated ES trades from today taken based on the criteria I listed earlier.
The ES didn't stay in the trade all day but the next chart I will post did, the S&P Midcap 400.
 

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Here is the S&P Midcap 400 chart from today. It also shows the trades from Friday.
Again, these trades are computer generated and objectively executed based on the criteria I posted earlier.
 

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