I could have used any example to demonstrate that it should be possible to use simple systematic trading to achieve a better risk adjusted return...
Apple: Have you Held Since the IPO? If you had bought shares in the IPO of Apple at the IPO price of $22 in 1980 ($2.44 adjusted for corporate...
I have continued to work on the question of changing volatility in the futures markets over time, for the purposes of attempting to build...
You might want to look at Eric Crittenden's paper "Does Trend Following Work on Stocks". Don't back test the current constituents of the S&P...
Probably not the right place to enter into that sort of discussion. See this thread which states very clearly my position on the need for...
What makes you think its complex? Trend followers will profit where trends are of sufficient quantity, duration and magnitude to make up for the...
Say hello to dear little Noddy! Give him a merry wave please as he toddles by in his little red and yellow car on his way to meet Biggy Ears in...
Yes. Even in a strong Bull or Bear market, it seems a bit unlikely to me that the daily closing prices of a particular index or instrument...
In his interesting article âThe Main Cause of Failure of Some Popular Technical Trading Methodsâ Michael Harris says: âIndicator based...
There is precious little agreement in academia as to almost any aspect of markets. There is no need to list or re-iterate the many views out...
In his interesting research paper âWhere are the Trends?â Martin Estlander seeks an answer as to why his trend program is in the worst...
Thank you - and bang up to date. I look forward to reading it and hope that I can understand it!
Interesting to look at that report written in 2001 and note how prescient or otherwise the author was.
Thanks, excellent. I'm doing the same sort of research myself. Also see the Estlander report which said much the same sort of thing re "magnitude".
I much enjoy Michael Harrisâ Price Action LabBlog and have listed it in the websites section here at Traders Place. I have been working my way...
I have recently started to chat to Professor Tom Gastaldi (Professor, Mathematical Statistics, First University of Rome "La Sapienza") whose...
Thank you Jack for your pleasant response. I do not need or seek "help"; I merely enjoy sparking rational and civilized discussion, to which you...
Many thanks to all for your thoughts and contributions. As I have said repeatedly, I have no doubt whatsoever that there are trends and that such...
I have no doubt whatsoever that there are "trends" - periods of time when prices go from A to B without too much retracement or noise. I have also...
The best information is available for free once you have bought/leased a back testing engine and obtained data. Most back testing engines come...
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