surf, you should be flattered that Thunderdog is your personal stalker. He seems easily distracted, and I'm sure his trading results reflect that.
And if anyone knows anything about stalking, then that would be you: http://www.elitetrader.com/vb/showt...hlight=thunderdog+livermoresghost#post1010085
Do you understand why people have difficulty trusting you? The price of dishonesty rarely surpasses the rewards...
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
@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" ?
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
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.