stop looking in mirror and do not think everyone is like you. STOP PERSONAL COMMENTS OR YOU WILL BE THROWN OUT OF THIS FORUM
That is my belief. Imbecile means stupid person. You strawmanned me on every. single. comment. minus 1. I called you out on it, told you to stop, you did it about 9 more times. You tell people technical analysis isn't about patterns... When the very definition of Technical Analysis is: financial analysis that uses patterns in market data to identify trends and make predictions. Then you tell me I am misleading the innocent traders. Bro, stop. Don't play victim card now. I told you many times to block me, and you have the freedom to still put me on ignore. Tell that to @Overnight who took it as personal as you can get mocking my religion when I was answering a religion question that @wrbtrader asked. It seems that mods deleted those because clearly they crossed all the personal lines. Stop Padutrader.
Prior to Feb 6th, when the inverse VIX crated 85%, traders saw a trend and bought in, only to get decimated the following day. As Nassim Taleb, your arch-nemesis puts it, a trend is not a well defined thing. I couldn't have said it better, i agree with him.
Jim Simons of Renaissance Technology on Trends: """In the old days -- this is kind of a graph from the old days, commodities or currencies had a tendency to trend. Not necessarily the very light trend you see here, but trending in periods. And if you decided, OK, I'm going to predict today, by the average move in the past 20 days -- maybe that would be a good prediction, and I'd make some money. And in fact, years ago, such a system would work -- not beautifully, but it would work. You'd make money, you'd lose money, you'd make money. But this is a year's worth of days, and you'd make a little money during that period. It's a very vestigial system. So you would test a bunch of lengths of trends in time and see whether, for example, a 10-day trend or a 15-day trend was predictive of what happened next. Sure, you would try all those things and see what worked best. Trend-following would have been great in the '60s, and it was sort of OK in the '70s. By the '80s, it wasn't.""" Source: Padutrader, don't get me started on "trends". /rhetorical. We can take the conversation to trends if you want. Ping: @ZTrader888
From: https://www.priceactionlab.com/Blog/2015/09/jim-simons-trend-following-broken/ (Michael Harris, the author, is very nice and generous about the subject; I am not). Jim Simons has expressed his views about trend-following during a TED interview. Revised February 21, 2019. During a Ted interview, Jim Simons showed a commodity chart and talked about how in the past traders were able to use 20 days of prices (and their average) as a predictor of future prices (about 13:00 minutes from start). Jim Simons called that trend-following and argued that it no longer works. But some academic papers base the efficacy of trend-following on t-statistics derived from long-term data series and very slow moving averages . In my book, Fooled by Technical Analysis, I discuss the perils of using the t-statistic and hypothesis testing in trading system development. Using a t-statistic is really a rudimentary mistake. If you have 100 years of data, even a horrible Sharpe ratio in the order of 0.30 will generate a high t-statistic, as follows t-statistic = Sharpe ratio × SQRT(number of years) For Sharpe ratio of 0.30 in the course of 100 years, the t-statistic is 3.00. Does this mean that a trading system is significant? What about if the drawdown is -50%? Do fund managers like a -50% drawdown? Some close shop after a -10% drawdown. Thus, the first problem is that long-term backtests can be misleading. Especially problematic are backtests on a basket of commodities because of hindsight bias. Then, another problem is that when one tests many choices of parameters, data-mining bias is introduced due to multiple comparisons. Actually, the whole procedure usually followed is based on multiple comparisons of different moving average crossover values and testing periods. In this case, the t-statistic must be adjusted and significance is lost, as Harvey and Liu showed in their paper. More importantly… The argument is not whether someone today can or cannot find a trend-following system that will work. This is possible and such systems may exist. The argument is about changing market conditions that render short-term trend following unprofitable. I did not test a basket of commodities because that can introduce a lot of hindsight bias. The more instruments there are, the higher the bias. I just used the most popular index, the S&P 500, to show that Jim Simons is right and fast trend-following stopped working in the early 1990s. This is also confirmed by my Momersion indicator. Longer-term trend-following appears to work only for those that underestimate risks. Below is the performance of a 50-200 moving average crossover in SPY since inception: The maximum drawdown is -35%. This system has a t-statistic of about 2.06, which is borderline significant depending on assumptions. The question is: Would anyone trust life savings or client funds on this system or on a similar system? I would not. I think Jim Simons would not either and this is why he claimed that trend-following is broken.