Reality check please...JWH, hedge funds and mutual funds

Discussion in 'Trading' started by lars22, Aug 31, 2006.

  1. surf, you should be flattered that Thunderdog is your personal stalker. He seems easily distracted, and I'm sure his trading results reflect that. :p
     
    #41     Sep 1, 2006
  2. Very well written and valid arguments indeed.

    I look forward to hearing your conclusions. TIA.
     
    #42     Sep 2, 2006

  3. well, that is one way to look at it!

    thanks!!

    :D :D :D
     
    #43     Sep 2, 2006
  4. #44     Sep 2, 2006
  5. Do you understand why people have difficulty trusting you?
    The price of dishonesty rarely surpasses the rewards...
     
    #45     Sep 2, 2006
  6. Ooops... I had that ass-backwards.
    I meant; The rewards of dishonesty rarely surpass the price!
     
    #46     Sep 3, 2006
  7. bolter

    bolter

    m4a1, NTB,

    Alpha generated by trend following strategies has been in a steady decline virtually since their inception. I track trends across a basket of 94 global futures markets (since 1990) and the results speak for themself. Financial asset classes have been the hardest hit. Markets have been become more efficient due to advances in tecnhnology, regulatory changes and increased participation. A broad based strategy of buying strength and selling weakness is no longer viable.

    bolter


    [​IMG]
     
    #47     Sep 3, 2006
  8. @bolter


    Great excel sheet and excatly what i experience trading also. Would you share that excel sheet or the formula behind it how you determine the "trendiness" ?
     
    #48     Sep 3, 2006
  9. bolter

    bolter

    hi trillenium,
    It's not a simple formula, there is some serious number crunching that goes into producing the data. If you're looking for something specific I might be able to help.
    regards,
    bolter
     
    #49     Sep 3, 2006
  10. NTB

    NTB

    I have no argument with your analysis. In fact, it is consistent with my anectodal experiences. However, I would say that, since 1990 (16 years), is but a mere blip in time and not enough to pronounce the end to a strategy that has produced billionaires and is predicated upon human nature. Second, I cannot assume that you have stated all of the reasons, or the accurate reasons, for the breakdown in trendiness when you state it has been as a result of advances in technology, regulatory changes and increased participation. I might argue that the most significant event has been the smoother management of monetary policy and credibility established by the Greenspan Fed during this period (maybe you are catching this under regulatory changes). I think it is no coincidence that the period that you site is under one Fed regime. I believe trendy markets require policy mistakes, dislocation, and distress as a requisite to germinate. The period you site lacks those key elements and has generally been characterized as economic nirvana around the world. Nonetheless, your analysis seems solid and consistent with my thoughts that trend-followers should continue to remain on an extended vacation. Bernanke probably holds the short-term key to the viability of the strategy.


     
    #50     Sep 3, 2006