Why has the turtle trend-following system stop working?

[Trend Following]

I agree. But the point is that some had in the 70's a tool and most did not have one. Made a hell of a difference.
But a tool is only useful in capable hands....

Some had computing knowledge in 70s, and it helped their TF trading. Anyone can have automation today. End result of that debate? TF is still just TF. People still people.

 

[Mtrader]

Ah, but who has that perfect crystal ball that allows the timing of the back and forth between trend and flat? Never seen that evidence. If you are talking another strategy, ok. TF, no way. TF has losses. It has DDs.

I am a daytrader but I checked the DD's in the S&P in 2000 and 2007. The conclusion is that if I would check 1 time every day the close of the day, I would never ever have taken this DD. I might have taken maybe 25 to 50% of the DD TF took. You don't need a crystal ball for that. I think the problem was that TF till 2000 were sure that DD would always be small. Watch the chart of the S&P. You never saw a DD like 2000 and 2007 in the period before 2000. From 1950 till 2000 it was almost straight upwards. TF presumed that it would always stay like this and they fell asleep. It was a false safety feeling. 2000 should have been a wake up call. It is also in the period after the 2000 crash that John Henry really got in trouble, which confirms my opinion.

 

[Mtrader]

Some had computing knowledge in 70s, and it helped their TF trading. Anyone can have automation today. End result of that debate? TF is still just TF. People still people.

But some Tf left the building, like John Henry.

I am an adept from TF, I think it is the best way to trade no matter what timeframes you use. I use "trendfollowing" in daytrading.
But i think the way TF is defined now is a little bit different from what its was in the 1970's. I think today you have to be more active, and smarter too.

 

[Trend Following]

I am a daytrader but I checked the DD's in the S&P in 2000 and 2007. The conclusion is that if I would check 1 time every day the close of the day, I would never ever have taken this DD. I might have taken maybe 25 to 50% of the DD TF took. You don't need a crystal ball for that. I think the problem was that TF till 2000 were sure that DD would always be small. Watch the chart of the S&P. You never saw a DD like 2000 and 2007 in the period before 2000. From 1950 till 2000 it was almost straight upwards. TF presumed that it would always stay like this and they fell asleep. It was a false safety feeling. 2000 should have been a wake up call. It is also in the period after the 2000 crash that John Henry really got in trouble, which confirms my opinion.

1. Mentioning JWH in isolation doesn't make your point, for you ignore all other TFs.

2. TF is not about trading one market. Only applies to diversified portfolio.

3. DD is not new for TF strategy. The data does not back your contention. At least for TF traders trading diversified portfolios (commonly called managed futures or CTAs). DD has been with TF since the inception of the strategy, and not just small DDs.

 

[Trend Following]

But some Tf left the building, like John Henry.

Better to ask why he left the building because everyone else didn't leave.

 

[Mtrader]

1. Mentioning JWH in isolation doesn't make your point, for you ignore all other TFs.

2. TF is not about trading one market. Only applies to diversified portfolio.

3. DD is not new for TF strategy. The data does not back your contention. At least for TF traders trading diversified portfolios (commonly called managed futures or CTAs). DD has been with TF since the inception of the strategy, and not just small DDs.

I agree, as daytrader I see things too narrow. Too much from my position, and experience, as daytrader. I realize now that my "trendfollowing" has some of the same basic principles but is nevertheless quite different fromthe TF you are speaking about.

John Henry left because his system did not work anymore. Watch his performance since 2000.

 

[Trend Following]

Visaria said:
Read Curtis Faith's book, way of the turtle. It's brutally honest...

Why so emotional, Mr Covel? Can't handle the truth? Lol..

Your hero is in jail now. He has been arrested 5x in the last 2 years and his trading firm was banned by the Commodity Futures Trading Commission. He recently posted some videos before being locked up again:

Those videos are brutally honest.

 

[Trend Following]

John Henry left because his system did not work anymore. Watch his performance since 2000.

Fair enough, but bad performance doesn't necessarily imply system problems. I don't know, nor do you the specifics here. And unless JWH talks--doubt we will. It is worth pointing out that Merrill pulling their money in a DD was surely not helpful. I am curious his AUM Oct 08, and 08 in general as those were huge TF times.

 

[Visaria]

Anyway, enough, i don't want to spend any more time on this thread (and i don't want to upset Baron!). Bye Mr Covel, see you around.

 

[marketsurfer]

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I agree, but in the 70's, only the happy few had computers, the mass did not have one. So it was easy for these happy few to make profits and make the "computerless" lose money. Today even traders who have only a 100$ account have more powerful computers then the happy few had in 1970. The game changed completely.

It is like a war. In 1970 a few soldiers had guns and the mass had only their bear hands. It was easy to win a war against the mass. Today everybody can buy more powerful weapons, so today it is much more difficult to win a war. There is much more (exponentially more) resistances from the mass who were the weak ones in 1970.

My money would be on the mass with bear hands. Them critters are tough!