I appreciate your long and thoughtful reply, but specifically to JH and G... why would "clearly had other things going on" matter? I thought a big selling point for trendfollowing was, set it and forget it. No need to make discretionary trading decisions. JH had lots of quants and traders to keep the blackbox humming along, regardless of whether JH himself was at a baseball game or whatever. And G is a multi-strat shop nowadays with many many pods, not by any means a pure trendfollower. If you don't believe me, call KT and ask him...
Why has the turtle trend-following system stop working?
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I appreciate your long and thoughtful reply, but specifically to JH and G... why would "clearly had other things going on" matter? I thought a big selling point for trendfollowing was, set it and forget it. No need to make discretionary trading decisions. JH had lots of quants and traders to keep the blackbox humming along, regardless of whether JH himself was at a baseball game or whatever. And G is a multi-strat shop nowadays with many many pods, not by any means a pure trendfollower. If you don't believe me, call KT and ask him...
People can save time and money by reading the way of the turtle by curtis faith. Probably less than $10 on amazon. Written by the most successful turtle, it explains in great detail everything about the turtle method of trading. One point that is very clear is that you can't trade full futures contracts and do long term trend following without a big account ($1 million+).
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Then when they are done they should also ask why this so called "most successful" one is in jail for assorted whatever and why his firm was barred by CFTC permanently. You really are a sock puppet, directing people to follow someone that needs an "indigent defense voucher" while in lock up. Maybe you should help spring him.
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The most successful Turtles were Jerry Parker, Liz Cheval, Paul Rabar, Tom Shanks. In fact, multiple others were more successful than the disgrace locked up.
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JWH traded for 30 years and made enough money to buy a baseball team. I am not his agent, just making observations. ML pulling their money in a DD, which surely went somewhere else, was the beginning of the end. I could care less about the machinations of his business, but your original post hinted that TF was not valid ("survivorship bias") so I posted conjectures. Do you think TF is valid? Further, I did not say Graham was pure TF, but to pretend they don't make serious money from TF is also not accurate. Their TF whitepapers are across the net. Long TF background. Openly. An excerpt:
To be clear, you are 100% right though, about multi-strategy. Just did not want to see TF marginalized to irrelevance for sake of discussion.
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Ok.... thats your reason right there. These days, big traders will enter short above swing highs and long below swing lows to fill large orders. Or do flips. Sometimes these can lead to significant reversals, especially major swing highs and lows. So that really screws up your risk in a trend following system.
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But trend following works nonetheless.
Portfolio selection and risk management will carry far greater weight in the long run v. entry/exit criteria in a trend following approach. Yes, entry/exit criteria are key, but too many ignore the other. For example, many that investigate the Turtle approach pick a static portfolio that never changes along with no risk management, test it, and draw a conclusion.
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Computing has assisted trend following traders as far back as the 1970s.
Whilst working with Richard Dennis, the most successful turtle was Curtis Faith. Richard Dennis said so in an interview.
Long term trend following has lousy metrics (e.g. sharpe ratios, sortino ratio, calmar ratio, Schwager's Pain/Gain ratio). Paltry returns and huge drawdowns.
Read Curtis Faith's book, way of the turtle. It's brutally honest and even points out that you need a fair amount of money ($1m+) to attempt this strategy.
Use some common sense. Avoid taking advice from those who are sellers. Especially those who state that losing 50% of your money is "useful". Presumably, losing 80% is even more "useful" lol!
Long term trend following has lousy metrics (e.g. sharpe ratios, sortino ratio, calmar ratio, Schwager's Pain/Gain ratio). Paltry returns and huge drawdowns.
Read Curtis Faith's book, way of the turtle. It's brutally honest and even points out that you need a fair amount of money ($1m+) to attempt this strategy.
Use some common sense. Avoid taking advice from those who are sellers. Especially those who state that losing 50% of your money is "useful". Presumably, losing 80% is even more "useful" lol!
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Instead of penning delusional love notes to your boy, maybe you could PayPal him some $ to get out of jail.