The great benefit to trend following is that it doesn't purport to make money every month. If it did promise consistent returns it would in the league of Long Term Capital Management or Madoff.
Sorry, I just came upon this thread and don't have time to go through all the responses. You do know that the trend trader's dream is the high yield bond market - specifically the open end funds (not the ETFs or closed) because of their trend persistency and low volatility. They have pretty much beat out the same cadence over the past 20 years I have traded them, something I can't say about other trading instruments.
6 updates: http://www.michaelcovel.com/2012/01...-managed-futures-and-traditional-investments/ http://www.michaelcovel.com/2012/01/27/an-aha-moment/ http://www.michaelcovel.com/2012/01...ation-2012-annual-symposium-agenda-finalized/ http://www.michaelcovel.com/2012/01/27/new-podcast-live-2/ (audio) http://www.michaelcovel.com/2012/01/26/nurture-trumps-nature/ http://www.michaelcovel.com/2012/01/25/translation-of-federal-reserve-actions-today/
All podcasts: http://itunes.apple.com/us/podcast/trend-following-manifesto/id151217747. Alternate location all podcasts: http://trendfollowing.libsyn.com/. New interview today with Mike Dever posting shortly.
I saw this comment awhile back and thought I'd add: The trend following "consistency", whether its claim is to make money but not make money every month, is true of any trading system. That it doesn't "purport" to make money every month is really an excuse for losing months when a diversified spread of strategies can and should make money every month but maybe not every day.
Where is 1 audited track record of note that makes money every month? Please don't hit me back with some server parked next to an exchange server spending millions per month on technology to arb the speed of light either.
New Mike Dever podcast. Mike is a long time systematic trader: 1. http://itunes.apple.com/us/podcast/trend-following-manifesto/id151217747 2. http://trendfollowing.libsyn.com/ Two places to listen to it.