Interesting to post from one of my newsletters that is almost 3 years old. I retired from teaching last year so I could concentrate on trading. Oh, Iowa, Oklahoma and Canada aren't third world countries. I was a keynote speaker at the expo, taught in Canada at the request of their Catttlemen's association and taught in Oklahoma at the request of successful ag producers. Thanks for the kudo's.
I admit it doesn't work ....I am to scared....I dress like a bum to......I am fake....I don't make a dime....And here is the proof that JH method is not working...2 wash trades 1 stopped out and 9 winners
In this paper (see path to it below), Michael Harris offers comments that compare trend following with other trading, all with respect to patterns. (see pages 5 and 14). http://www.tradingpatterns.com/Literature/profitability.pdf On page 5 he suggests higher trend testing requirements for Rwl (win loss ratio) and on page 14 he introduces an alpha to constrain failure by being conservative. The trend aspect and non trend aspect do not even have any overlap in the alpha. This is also common to the thinking of Joe Ross and Covel in their respective documentation and speech giving. To trace back to the common misconceptions represented, I have concluded that they made assumptiions based on a common distortion in their thinkng. To profit from not making these mutual errors, it is important to include additional variables in any work done in terms of research, back testing, constructing models and doing model development. It is becoming clearer and clearer as to why managed money that involves trend following lacks a quality performance. The foundation is shakey, apparently. The APS Automatic Pattern Search software was only used in a basic manner for writing the paper above. This limitation produced the paper's results up to the point of the examples. The reference in the paper I point to could not have come from that context alone. They are very focussed extrapolations not seen in the examples at all. There is no comparison between Lo and Harris. Lo choses patterns and evaluates trading them. Harris lets a coded system find patterns and then determines their viability using standard measures. Both perpetuate omitting using variables of the market. Could this be an industry wide phenomena? If so, anyone using this type of work should be very cautious if not enhancing it to some minimum standard like using the variables of the market.
Put aside the crazy gibberish talk Jack my dear boy and read the following PDFs and tell me where all these other folks are wrong too: http://www.trendfollowingtrading.com/whitepaper/trendfollowing.pdf http://www.trendfollowingtrading.com/whitepaper/Does_trendfollowing_work_on_stocks.pdf http://www.performance-measurement.org/Harding2002.pdf Also, I don't think a copy is online, but "The Winton Papers" are good reading too.
What is happening in the financial industry that has precipitated its current perfomance and focus? Systematic trading does provide an immunity from this malaise. But why is it necessary for an intrgral part of our culture to entrap it economtrics the the extent that it does? I know there are no rules that our culture has to follow. as generations pass, we are not doing whay is possible but, instead, turning to pathways that cause stress and a lesser quality of life for those who are the victims of the ways of the financial industry and its nominal gate keepers. What would it take to begin to include some intergrity in the infinite scheme of things? The simple basic step of showing a broad range of financial operatives how to use make use of trends fully, would change the whole context of the economtric malaise which has overtaken our culture. Is there no way to shift the mentality of the financial industry to a minimum level of performance with regard to the public interest? It is almost as stupid as the operation of this thread and its lack of rational moderation.