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Trend Following
ET Sponsor
Registered: Aug 2004
Posts: 1019 |
10-27-10 07:18 AM
Quote from RobertG:
michael, trend following is a very fascinating area. But, don't you think that most retail guys will not be able to withstand it's volatility? go through draw down and walk out a live? interested in your perspective.
BTW, I have read your Complete Turtle Trader and I did enjoy it although I wish there was more reference to the very interesting methodologies you mentioned throughout the book. Maybe more in the second addition?
Lastly: http://www.turtletrader.com/jake-bernstein-forbes.html
This is disappointing coming from an astute guy like you.
Why go through the effort of putting down others regardless of their opinions, reputation, etc. No need to protect us, and to be honest Jake Bernstein has some great books that I have read and enjoyed. You guys are in the same business as far as I am concern, selling ideas.
Trend following volatility? That's a choice. Meaning, my books are filled with performance data examples. It's all there. The good, the bad and the ugly. Can the little guy take that? That's his choice. Can he take S&P volatility? His choice too.
As far as my book 'The Complete TurtleTrader' did you see Chapters 4 and 5?
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Trend Following Trading
Covel Books: Trend Commandments, The Little Book of Trading, The Complete TurtleTrader & Trend Following
Trend Following Documentary Film: Broke: The New American Dream | Covel Podcast Episodes
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Expect Positive
Registered: Jul 2010
Posts: 135 |
10-27-10 05:34 PM
Michael,
To elaborate on my earlier post:
Some trend followers you cover are really not pure trend followers to begin with...
Tom Shanks has said he does discretionary trading as well in his fund...i.e., that has changed from some of the stuff that he originally did with RD.
Liz Cheval also said she does not follow pure trend following in her fund. She has made adjustments over the years that she believes have helped to reduce the volatility.
And here's another one: Salem Abraham appears to be much less of a trend follower than he was pre-2006.
And Ken Tropin...yeah, he does trend following, but that's only part of Graham.
I could go on, but my point is this: I think it is very hard to claim by default that the records of these fund managers are truly the records of "trend following" itself. The further we go in time, the more there seems to be a strategy drift from trend following.
This is why I think that tracking the performance of specific trend following strategies (moving averages, other strategies that you can quantify and back test and talk about) is a better way to show why trend following works. Otherwise, this just becomes a guessing game as to what fund managers who may or may not really be trend followers are doing. And they may be getting good results, even great results, but how can we really say what they are doing strategy-wise?
This space is, by 2&20 necessity, kind of black box.
Curious as to your thoughts... your books were the very first I read several years ago and they are what sparked my interest in this entire area. Take care.
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Trend Following
ET Sponsor
Registered: Aug 2004
Posts: 1019 |
10-27-10 06:13 PM
Quote from Expect Positive:
Michael,
To elaborate on my earlier post:
Some trend followers you cover are really not pure trend followers to begin with...
Tom Shanks has said he does discretionary trading as well in his fund...i.e., that has changed from some of the stuff that he originally did with RD.
Liz Cheval also said she does not follow pure trend following in her fund. She has made adjustments over the years that she believes have helped to reduce the volatility.
And here's another one: Salem Abraham appears to be much less of a trend follower than he was pre-2006.
And Ken Tropin...yeah, he does trend following, but that's only part of Graham.
This is what you believe?
Quote from Expect Positive:
I could go on, but my point is this: I think it is very hard to claim by default that the records of these fund managers are truly the records of "trend following" itself. The further we go in time, the more there seems to be a strategy drift from trend following.
Disagree 100%. No evidence for this. Look at the performance numbers. Look at the correlated performance numbers. Beyond that? I have the conversations with the key people. The only thing that has changed in the last 10 years is massive Fed intervention. Will that last forever? Of course not. And when it ends, short term this and short term that, or discretionary whatever, will not mint money. Systematic trend trading will.
Do pro traders still have to navigate the irrational expectations of investors? You bet. However, once again, at the end of the day -- trend following is the big long term winner -- not the other stuff.
Can you disagree with me and we still have a beer? Sure.
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Trend Following Trading
Covel Books: Trend Commandments, The Little Book of Trading, The Complete TurtleTrader & Trend Following
Trend Following Documentary Film: Broke: The New American Dream | Covel Podcast Episodes
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Expect Positive
Registered: Jul 2010
Posts: 135 |
10-29-10 04:44 PM
Quote from Trend Following:
One more thought ...
No other strategy made Oct 2008 performance happen for trend followers ... except trend following. Not mean reversion, not discretionary. Trend following was it.
I am not questioning trend following. I'm questioning how we should measure its performance. Campbell Co and Eckhardt were both unimpressive in that Oct 08 month. Rentec and Universa both were. This is why using fund performance, even a composite, is a murky process.
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Trend Following
ET Sponsor
Registered: Aug 2004
Posts: 1019 |
10-29-10 06:36 PM
Quote from Expect Positive:
I am not questioning trend following. I'm questioning how we should measure its performance. Campbell Co and Eckhardt were both unimpressive in that Oct 08 month. Rentec and Universa both were. This is why using fund performance, even a composite, is a murky process.
There is no doubt that some public trend followers try hard to distance from trend following for an assortment of reasons even when they are trend followers. Further, Campbell, for example, in the last decade definitely became less of a barometer for trend following performance only...as their strategies employed became more diverse. Critics could argue that was a mistake for them.
That said, the performance numbers of many public trend followers still paint a vivid picture.
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Trend Following Trading
Covel Books: Trend Commandments, The Little Book of Trading, The Complete TurtleTrader & Trend Following
Trend Following Documentary Film: Broke: The New American Dream | Covel Podcast Episodes
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