A movie? You know they have to spice it up over wise people be falling asleep. You go to University, take Math classes and Economics, Stats, Accounting? Need a gallon of coffee to stay awake for prof's discussing theory. I could only imagine being the professor looking up to sixty students and 1-2 seem interested, it was like I couldn't wait for the tests, one step closer to be done, only to then take 2 & 3....
Why did trend following work well in commodities in 1970s but lost effectiveness later?
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A movie? You know they have to spice it up over wise people be falling asleep. You go to University, take Math classes and Economics, Stats, Accounting? Need a gallon of coffee to stay awake for prof's discussing theory. I could only imagine being the professor looking up to sixty students and 1-2 seem interested, it was like I couldn't wait for the tests, one step closer to be done, only to then take 2 & 3....
It tells you that TF worked between around 1980 and 2015, contrary to what the OP said. I don't see how there can be any argument about that.
Whether you think it is working "now" depends on your definition of "now"; TF is down in August but up since the start of the year. These are periods of time that are too short to say for sure (in a statistical sense) whether something has worked.
It doesn't tell you if TF will work in the future.
GAT
(Fool, and born loser apparently)
Most trend followers now are selling snake oil and books. Example is Clenow. After 5 consecutive losing years with the hot method he sold to fools he closed his fund but still wants to sell books and talks about the superiority of TF. Very few idiots are left who believe these snake oil salesmen.
https://www.elitetrader.com/et/thre...ch-paper-in-market.301294/page-4#post-4311677
I've just remembered my new years resolution. Never got involved in a pro/anti trend following argument.
GAT
Seller of books, but not snake oil (big mistake. The really big money is in the snake oil)
One of the world's greatest traders once said:
Trends will always exist in the markets as long as there are people who cannot read them.
Trends will always exist in the markets as long as there are people who cannot read them.
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I believe it's pretty obvious for those who've been in this business for some time, but needs to be clarified: Trend trading is obvious, in hindsight! However, in foresight the obvious long-trades are overcrowded, full of fakeouts, whipsaws and return-to-mean risks, that tend to work against the trader, both in time and in price, probability wise. Over the last decades, the short-term "noise" in the markets seem to have increased somewhat.
Being a trend-trader myself, I'm not oblivious to the inherently larger and slower swings, lesser opportunities and lower probabilities. To fail to acknowledge that the opposite trade may have profitability too, is to be close-minded and perhaps lacking in broader experience/thinking.
I'm a bit surprised though that it's possible to find such probabilities without using math. Sounds like alot of trial & error. It's probably good to avoid complicated and too theoretical/academic models though, especially for us that are not so inclined.
Being a trend-trader myself, I'm not oblivious to the inherently larger and slower swings, lesser opportunities and lower probabilities. To fail to acknowledge that the opposite trade may have profitability too, is to be close-minded and perhaps lacking in broader experience/thinking.
I'm a bit surprised though that it's possible to find such probabilities without using math. Sounds like alot of trial & error. It's probably good to avoid complicated and too theoretical/academic models though, especially for us that are not so inclined.
Not only trend trading, everything is obvious in hindsight.
It's a pity that you need foresight to make money.
A wise comment from a learned man. It's a fruitless argument, with religious believers on both sides.
Objectively, the best indication of how trendfollowing is "working" is the Barclay CTA Index. Unlike backtests, it's assembled from real trading results, with no benefit of hindsight in terms of manager selection, market selection, or strategy optimization. It represents the best thinking of the most prominent managers at each point in time. Broadly speaking, the Index did well till the 2008/9 crash, then struggled afterward. (But note that the chart isn't log-scaled, so the returns in the middle/later period aren't as good as they look, compared to the earlier period.)
Where can we find that all these CTA's are trendfollowers? If not this index is useless.