The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers www.duke.edu/~dah7/rfs2001.pdf Past trend versus future expectation: test of exchange rate volatility www.econ.ucsb.edu/papers/wp13-96.pdf
Some general comments, since this computer doesn't work with pdf. Any false method, including "trend" following, will yield success to some degree, otherwise it would be negatively correlated to the market, which is an edge. Trends exist only in the past, so traders on trend have made money in the past, but only as luck has provided for them. Cue the theory of market efficiency which says, "If there's a method in the public domain, it doesn't work." Anyone can prove both of these wrong simply by explaining, in terms that can be used to trade, how any combination of publicly available tools can determine a specific minimum difference between present and near-future price based on past price action.
NickleScalper: I have reading your pontifications on "trendfollowing" for page after page. One question arises. Do you have a "method" of trading? Or do you simply "scalp" for a "nickel"? We all know what you don't believe....it might be interesting to know what you DO believe. OldTrader
What a wimpy reply to the challenge I presented. Is that the best you got, an off-topic personal attack?
Cue Alexander Elder quoting (paraphrasing?) Warren Buffet on market efficiency: "Investing in a market in which people believe in efficiency is like playing poker against those who believe it does not pay to look at cards."