Two questions regarding trend-following systems...

Hi all,

I've read the heated discussion in the trend-following thread below and I have two questions:

1. Is there a way to judge the trend-friendliness of a security programmatically? How to quantify this "trend-friendliness"? Of course, I guess this is based on historical data and backtest...

2. Is there a way to decide for a security whether the current market environment (say the past a few days and the next a few days) is a non-trending or trending market?

Thanks a lot!

 

1) For me, yes to question number 1

2) For me, no to question number 2

 

To trend or not to trend. That is the 64k question, or should i say 64million question.

I have seen all tools used on it, very difficult question to answer. the vix, adx, MA,20day breakouts,, etc.. they all have limitations.

What I would suggest is if you have a valid, back tested certified and re-certified system. Then take all the signals. You wont know which is the trigger that makes your whole week/month/year depending on your time frame.

Trend-following systems depend on the infrequent outsized gains to make up for the many small losses/whipsaws to be a profitable strategy.

You CANNOT miss one of those outsized gains.

my two cents,


Good trading,

EF

 

Re 1: What is a trend but serial (time N vs. time N+1) correlation in price movement? Statistics is full of ways to detect and quantify correlation. Use them.

2: No clue.

 

Trend is correlation?

Yeah, calculating correlation is easy...

but the OP is talking about trend-friendly or non trend-friendly...

 

You would know since you and op are one and the same? You are increasenow like troll..

 

Why don't you just ask George?

 

Hi,

I agree with Eddiefl.

If your system makes money just take each and every signals, use money management rules and enjoy easy money.

 

Trends are usually encapsulated in well defined channels, buy low, short high and don't fade their bias. Try to stick to timeframes above 60 min, otherwise your trends are not your friends

 

Higher highs + higher lows = uptrend (BUY)
Lower highs + lower lows = downtrend (SELL)
If none of the above are satisfied, the security or market is moving sideways or has no defined trend.

NB: For me this works best with longer time frames, ie. days or weeks. Slower but bigger moves, and less stress.