Yes, very interesting ideas. They makes sense. No not academically. I have studied almost all published research of others and am close associates with some who do it. Best, surf
Someone mentioned in another thread that you are a journalist. How could a responsible journalist make a comment like this. Trend following is anything but buying new highs and selling new lows. That investment and trading tactic is not only archaic but ignorant. Even someone wet behind the ears to trading and investing knows the folly of following that path. Why would a journalist make such an erroneous statement?
Do you have anything other than baseless rhetoric to add to this topic? Any math behind what you're saying? I didn't think so.
Can you name three big trendfollowing funds that consistently suffer huge drawdowns? And if so, how do those drawdowns compare to widely used equity or commodity benchmark indexes?
I base my statement on the commonly accepted definition as outlined in one of the best selling trading books of all time, entitled, "trend following" by Covel ( in which I am name checked right next to the heroes of trend following) so please--- If you wish to make up definitions, that's up to you. Surf
Sure --- math proves that trend following does not work in the stock market or index futures. If it did-- confidence intervals, Serial correlation coefficients, regression coefficients of current changes versus past changes, and magnitudes of the impact of past moving averages on the future, distributions of the length of runs, the correllelogram, the expected waiting times between peaks and valleys, survival statistics could clearly show the edge. All these techniques are very good at discovering any non-random elements thus would "prove" the edge of trend following. They, in fact, indicate the opposite of positive edge when tested. In addition, If you don't get basic stats --see " how markets really work" by Connors that uses simple studies to prove that an advance in a stock is far more likely after a series of lower lows than after higher highs-- the opposite of trend following. Any questions?
The large so called trend following CTA's operate multiple programs at once. The non performers are closed and the strong performers are hyped--- you need to speak to the actual investors in these funds.... I don't invest in trend following CTAs for this reason. What is shown and actual investor performance can be uncorrelated.
Nothing "Erroneous". Just using the commonly accepted definition. I am interested-- how Do you define the term? Thanks.
I don't have current statistics as I am not an investor in the large CTA operations. Certainly some are here and can report the details I know in the past John Henry and others whom I can't recall have reported drawdowns of 40 plus percent.