Search found 3 matches

by arb
Sat Apr 19, 2008 4:41 am
Forum: Testing and Simulation
Topic: Long term trend following on equities a fool's game?
Replies: 64
Views: 33209

Maybe the question should be does LTTF work on liquid stocks (e.g. SPY 500) which perhaps have a much higher correlation with each other than small cap. names. I'm not sure how feasible any system looking at 1400 Canadian names will be. There are only perhaps 200 Canadian names tradable in any size....
by arb
Tue Apr 01, 2008 6:52 am
Forum: Testing and Simulation
Topic: Longevity of trend following strategies (futures)
Replies: 2
Views: 2222

Thanks for the links sluggo. The threads were both enlightening and perhaps a little confusing at the same time. I shall certainly check out the book you recommended.
by arb
Sun Mar 30, 2008 7:58 am
Forum: Testing and Simulation
Topic: Longevity of trend following strategies (futures)
Replies: 2
Views: 2222

Longevity of trend following strategies (futures)

Hello to all, Having been a lurker on this forum for a while, I finally decided to sign up to and start making some (hopefully) useful contributions. So here goes. I've implemented and backtested a number of the strategies described on this forum and to my surprise discovered that performance hasn't...