trend following delusion shattered

Not exactly.

 

The terms with a positive serial correlation would be the net changes in price between each entry and exit. (A time series has no derivative.)

It's an interesting approach. Gotta give him that much.

 

Well at least you're consistent. Wrong at the beginning, wrong at the end.

Time series do have derivatives. They can be arrived at by ARIMA methods, by Phase-Space methods, or by a polynomial model in which the forecast error of the result of the detrended data acts as a derivative.

Sort of like a bad dream isn't it. You continue to make these pompus ass backwards comments and then I have to come along and bitchslap you around the internet (again).

Now lets see, what other ass backward comments have you made recently? Oh, yeah, heres a good one.

"Actually, if the market did have a tendency to trend, your method would work, I think."

I guess you haven't been keeping up with your history of the stock market. If you had, you might know that the market over a period of many years has returned an average profit of 8.5%. The way that happens Nickelwhipper, is called "TREND".

References include books by Jeremy Siegel, and Charles Ellis. There are so many others I will wait for Nickelpicker to add his next insipid comment.

Kiss Kiss

 

A time series is discontinuous and thus not differentiable.

These wish-fulfilling posts of yours reveal a personality inclined toward fantasy above all else. Neurotic in tone, lots of hostility and little substance. Let me guess: you play a mean Dungeons & Dragons.

By the way, you're nothing like a "bad dream." More like an insipid bowl of Corn Flakes for breakfast with a bad melodrama on the TV in the background.

Thanks for the laugh.

 

Call for Nickelscraper, its your math teacher. She says you get an "F" in quantitative methods. Oh, I'm sorry, you haven't taken QM yet. Don't worry about it. Plenty of time after you graduate prep school. You may want to revisit intermediate algebra however or you won't be able to make heads or tails of that polynomial method.

I see you learned a new word Nickelcreeper. "Insipid". good for you. You have not learned much else apparently.

For those who might be interested, PM me and I'll provide the references to produce derivative curves for time series.

Nickelbeeper you will have to do your own homework

By the way, over the last 50 years through June 30th, the S&P500 has returned an average of 11.5%. Guess what mechanism produced this result. Yes you got it "TREND". Again references available by PM.

Nickelflipper doesn't believe in trend and so this will not be of interest to him.

Edit:

After we are done with this little exercise, I wonder if any of you will look back and put two and two together. For more than 170 pages, you have actually debated whether or not trend following works. Debating the idea with some kid who for all we know is sitting in his parent's basement, smoking a doobie, staring at a his poster collection (under "blacklights" of course), and waiting for "mom" to call him up to dinner.

Lefty.

 

After 170 pages it’s clear that some believe in trends and some don’t. As it’s also clear that no one can convince the other, best thing is to separate the two groups. Let the believers believe together and let the non-believers practice their non-believe together. This also has the advantage that there are two groups with contradictional ideas; so one group can sell to the other. If we al had the same ideas trading would be over.
About trends: there is one trend that has been developing in this tread the last weeks; it’s called the trend of idiocy.

You can only proof something with a track record, all the rest is daydreaming and wishful thinking. But with daydreaming or wishful thinking you can’t make money.

 

The above has proven to be a winning strategy, the profit comparable to that obtained with KAMA. Who needs moving averages? All this in my world, of course.

 

Hello Mr. Subliminal:

Let me mention something to you ( and to all for that matter). From my point of view, the effectiveness of your "strategy" relies on trend and persistence of trend. If the first part of the strategy works (obtains a profit), the implication is that on average, price will tend to continue rather than reverse, therefore the trade labeled "N+1" is likely to be a winner. When the initial trade fails, the strategy is equivalent to a stop and reverse, and if I read correctly again you are expecting continuation. I hope my point is obvious to all. If this is not a strategy based on trend and persistence of trend, I don't know what is.

Finally, let me say that I have been trading a variation of this for several years now. I am not willing to offer the details, but I observe that you did not simply pull this "strategy" out of thin air. I "found" my strategy by testing continually (many hours of work to say the least). I am sure you have done the same. You may be willing to offer this nugget to the gallery. Frankly I am not feeling that generous. On the other hand, what I am willing to say, is that your "strategy" is an example of what I know from experience will work (with a little modification) for markets including the ES, YM, Mini Naz, and Russell. Having said this, I feel a little satisfaction knowing that the trader who successfully incorporates what you have offered into their own trading, will have had to have done at least a little of the work on their own.

I wonder if anyone will realize just how generous you have been, and perhaps take a moment to PM you to say thanks.

Good luck in the markets everyone
Lefty.

 

I'm sure you're not willing to get into the details but if I understand you correctly... you're looking at "trends" from a different scope. Isn't it the same as saying the "markets are persistance" than "market are trending"

 

Dad... can you drive me to my friend's house??? Mom's having a meeting with the gardener in the bedroom.