What are the basic ingredients of a trend following system

R. Raskolnikov said:
What makes you so sure there aren't systems out there designed to both capture a trend continuation and that also can adjust to capture a mean reversion if certain criteria are triggered?
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Maybe there are. If so, why reinvent the wheel?
 
kut2k2 said:
There is one commercial system that claims to do this.

http://www.mindfire-systems.com/Catscan.html

I do not recommend it because I cannot vouch for its efficacy, but fwiw such a system does exist. Based on my own research, no single indicator can differentiate trend from chop very well, but I certainly concede that I don't know everything.
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yuo are correct on every count.

1. your resaerch is incomplete.

2. no single indicator can do all things

3. both trend and chop are meaningless and lagging.

4. your concession is correct and will always be correct
 
pisco said:
Thx a lot for your answer! Pretty deep stuff!!!

If I am considering market operation as the underlying mechanics to lay out a trend follower,

first switch to trend monitoring and analysis.

doesn`t this also raise the question which assets are traded.

No you are smart to get the genral solution and use it for specific kinds of asset applications

For example, I think it would be pretty hard to trade forex,

Forex is difficult since the independent variable is NOT reported


cause the narrower a market is the "easier" it should be cause not so many variables have to be considered...(in my humble opinion ;P )

You are correct. Fro the general solution two variables have to be considered: the independent variable volume which, of course leads the dependent variable, price. all of this is well understood by people who use mathematics

Can you recommend some study material?

Yes

Any research papers?
YES

Would really appreciate your answer!

Put my critics on ignore. Several posters here to you know what they are talking about

PS.: My goal is to generate a program which can generate/find over a given time series a trend follower

It has been proven that trend folowing is a lagging solution. Please drop it as a solution. switch to a leading indicator of price. Namely volume.

and outputs a potential trading model(btw under the assumption this is possible)

This is possible for all conditions of the system of market operation
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I wrote the above and got a caution. It said my post was tooo short.

Everyone laugh out loud. what a funny coding glitch on ET.

apprantly the ET prograqm starts counting out side the reference post limits


so now everyone knows how to blow up ET.

did you'all notice that if you search a name the search tells you a topic does not exist. very cool and screwed up completely.
 
Jack off ignore.
jack hershey said:
yuo are correct on every count.

1. your resaerch is incomplete.

Possibly true

2. no single indicator can do all things

Absolutely true

3. both trend and chop are meaningless and lagging.

Absolutely false

4. your concession is correct and will always be correct

Absolutely true
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Jack back on ignore. :D
 
Daring said:
Never take him out of ignore, he's like a plague that infects your brain, highly contagious disease with a high fatality rate.
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:D

I just had to make a quick point that shouldn't go unaddressed. Ignoring trend or chop is a road to ruin.
 
jack hershey said:
I wrote the above and got a caution. It said my post was tooo short.

Everyone laugh out loud. what a funny coding glitch on ET.

apprantly the ET prograqm starts counting out side the reference post limits

so now everyone knows how to blow up ET.

did you'all notice that if you search a name the search tells you a topic does not exist. very cool and screwed up completely.
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Ok. Thx for your answer!

Which research paper can you recommend? Would be glad if you have any clear recommendations to read!
 
pisco said:
Ok. Thx for your answer!

Which research paper can you recommend? Would be glad if you have any clear recommendations to read!
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Fact: 50% of trend-followers blow up when markets go choppy., 40% experience a large drawdown and only 10% can maintain reasonable performance. These are all people with many years of market experience.
 
goodgoing said:
Fact: 50% of trend-followers blow up when markets go choppy., 40% experience a large drawdown and only 10% can maintain reasonable performance. These are all people with many years of market experience.
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What about 90%? It sounds more real.
 
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