Intradaybill, I trade predominantly through longterm trend following (i have since added a complimentary short term mean reversion system to the portfolio) and I agree trend following by nature has no fundamental edge. You can design trend following systems anyway you like. Though there is nothing fundamental in holding for 20 days, theres nothing wrong with it either. The edge in trend following only comes from its trade management (cutting losers short and letting winners run) and there is nothing wrong with that. In fact, breakouts have a "negative" edge, their hit rate is <50% usually.
I'm just in the process of automating a little intraday set of strategies... it just became so obvious to me today that what works in a trend absolutely is random in a sideways market.. they are so entirely different in how they have to be traded that it's unreal, it's like two completely different games... we all know this but I never realized just how far apart they really are.. and a market transitions between the two states without so much as a "by your leave" sometimes... I'd say job numero uno for a trader is just being able to recognize those market weather systems and never be found wearing the winter gear on a hot day or the short sleeves in a snowstorm...
this is not interely true in my humble opinion, i do believe most parts of turtles profits came from for that time "advanced"moneymanagement rules like the atr based position sizing, but also a break of a highest or lowest level from a certain amount of bars is considered a crude form of support/resistance trading even tough it is trendfollowing and based on a fixed N-number of bars. this system was trendfollowing and breakout at the same time. i wouldnt dare compare it to a ma crossover
People have been trading range breakouts successfully for many decades if not centuries... and he didn't say he always holds for twenty days, he said it was usually about that long..
intraday, interesting comments... so you are saying that the whole turtles experiment was a random act of good luck for all involved?? I dont think he actually set out looking for an average trade of 20 days either, guessing his average trade just turned out that way. I know I like to know how long Im possibly going to be commiting to a trade. (Even if past performance may be no indication of future results)
Quote from intradaybill: There is nothing fundamental in this type of strategy to provide an edge. The results are totally random. If this startegy worked in the past, it was only due to pure luck. Diversification may help to smoth returns but to make large gains the risk/reward ratio must be very high. I guess there is fundamental in this strategy. The trend is the edge. The trend occures dues to changes in fundamentals. As long as demand and supply exists in markets, trend will occure. I guess there is always a reason for something to happen.
Those sayings like "The trend is your friend until it bends", and "Bulls make money and Bears make money but Pigs get slaughtered" have become so real to me recently... Are there more of them? They are starting to be my system development guidelines