Thanks Johnny. Looks like a good system. A 30% yearly would be very good if consistently profitable every year now and in the future. Jones book has a % time in dd for reference.
Just a thought from my nightly stogie and cocktail..... All methods I use to trade use TA/trend following to some extent. Proper use of both are proven to work as shown though history. I test, at the very minimum, the core of the methodologies, though some discretion is used frequently based on fundamental factors/intuition gained from long hours of study. It has worked in the past, and I'm confident it will work in the future as long as I recognize the changes in the marketplace. I can adapt, which is something most "reliable" mathematical model usually cannot do. I plan to stick around for a few years, something a purely quantantative model cannot do without reinventing the wheel frequently. Also, I would argue almost all methods are public domain. It is simply ignorant and egotistical to think your method is unique and you're the only one who has used/tested it. I accept this fact and adapt. There is a quote I'm reminded of. I cannot remember its origin or exact wording so I'll paraphrase: You cannot innovate by first looking at what has already been done. Before this spurs a wave of "what about this" crap, please note that the vast majority of academic research is simply refinement/regurgitation of previous critical research. The inventors of the critical work innovated by going out on thier own, not immitating others. What I'm saying is this: do the work/research yourself. It has likely been done before, but your research and findings are more important than the preaching of the masses. Arbing, scalping, breakouts, and moving averages can all work if you have the ability to do the work yourself and gain an understanding. Otherwise, you are just like the majority of academics who regurgitate others' thoughts. The | p1-p0| >= d is simply an asinine assertion that shows the lack of personal work on the topic.
Roberk: I notice your reply in the post above. Actually one can in fact establish with good accuracy just how likely trend is to continue. Also it is a relatively straightforward proposition to forecast a variety of non- random behaviors in the market. Professionals call this market characterization. The technique requires little more than simple parametric statistics and basic skills with an Excel program. The bottom line, is that professionals are often able to do what retail traders would consider impossible. Ironically, the information has been posted before, by myself and others including "steve46" and "acrary". If you find that your results are limited, or are less than you might wish, you may want to research posts by these now inactive ET members. Good luck in the markets, Lefty
You calibrated yourself with this one, Sinestra: "4. At the moment the spread between the cash and futures contract hits a threshold level, P =>d, and for that reason, arbitrageurs try to capture that profit by excuting program trades." Be precise, or shut it.
Looks like you're once an expert in fully automated/ mechanical/ mathematical/ systematic/ quantitative systems, and you also know much better than all others who are managing hundreds of million dollars funds, so that making the above assertion easily without hesitations.