Off topic: If anyone's curious, I started getting into the trading mode of scalping during December of last year. Before that and currently, my styles have included longer-term daytrading as well as the occasional swing. So what?
Hank We both know that any style of trading will go through peaks and valleys. Trend following is no different the only thing is that it will prevail as the most successful style in the long run as continuously PROVEN through the history of the markets. Even a professional Card Counter will have periods of loss and that's with a proven mathematical edge. So I don't see the point is your post unless you are being very short sighted.
Last I checked, profitable trading didn't require scientific proof to make it worthwhile. Doesn't it make sense that something which worked very well in the past may not work now because the market and it's players have all adapted to that methodology? And does it really matter what you believe is scientifically valid or not, if the trader next to you (who happens to run several billions and holds the same position as you) trades on planetary alignments and decides to blow out that position because Saturn happened to align with Pluto? If I knew that the 5 biggest players in a market I trade were all astrology buffs, I'd better start reviewing my zodiacs signs regardless of my beliefs.
Are you able to read PDF files yet? PS: Next time, you don't have to delete the url addresses to tell us PDF is not readable in your computer. How many users in today's Internet age do not read PDF files, even if not daily?
Here is a paper from www.aima.org . "Has Trend-Following Changed" PDF: www.aima.org/uploads/2001\Jun\Welton.pdf HTML: http://216.239.63.104/search?q=cach...+following+alternative&hl=en&client=firefox-a
Ok here's a little proof that current trends can be projected into the future. It was done in Tradestation using a simple moving average (ten-day of closing prices) on a daily chart of @ES. Every time the five-day percentage change was greater than 2.5%, the close of the fifth was taken (close-close[5]). A negative value is a positive result for short, a negative one for long. There are no stop losses or anything of the sort. It was just a quick output. The longs did not fare well with a loss on the average sample. However, shorts did fare well. But guess what, the ES was in a bear trend for a long portion of the time used (2000-2005); it is consistent with the long term trend. I know this is nothing special, but it shows the future will on average follow the trend. It uses a tool all traders have access to. It may not follow the (p1-p0)>= d that you laid out, but you never told me what d was. I assumed it to be better than 0. I showed you mine, now you show me yours. Can you prove numerically (even simplistically like this example) that trends do not persist into the future? If I get time I will try to do a real study that is more conclusive. This should suffice for a lazy Sunday evening.