For once I agree with hank. The current Stocks, Futures and Options Magazine has some great articles on Trend following. There is also a great comedic (though not meant to be) article by David Silverman that goes alone with your "coin flip" scenerio. When you see the coin flip along side common sense, you will see the comedy in it.
thanks, prof.. i knew we could find some common ground somewhere...although i dont agree with you on silverman's article. that magazine just keeps getting better ! hank
Well, we can't agree on everything. Keep checking your inbox before the weekend is over and I will send you some information verifying and proving (yes, I said proving) the "coin toss" scenerio is as far "left field" as the home run pole in Wrigley Field.
excellent. i look forward to the info. certainly it's some type of misapplied logic or spurious correlation.
how many positions do you run at anyone time? i remember sometime in the nineties we, like everyone else, thought that futures are so limited, why not go to stocks and trade trendfollowing on thousands of time series instead of fifty. never worked out at least for us. suddenly they all correlate. grats taht you amde it run. twice the sharpe ratio of the sp was probably still a choppy ride ...