Search found 2 matches

by fkienast
Thu Mar 17, 2005 7:02 pm
Forum: Testing and Simulation
Topic: Has Trend Following Really Gotten Harder?
Replies: 10
Views: 10440

Maybe corn would be more likely than most commodities to still trend due to position limits? Position limit I think is 5 million bushels which would only be about $10 million. Maybe too small for hedge funds. I did find that the grains seem to trend the best of any commodities, which is why I am con...
by fkienast
Wed Mar 16, 2005 7:53 pm
Forum: Testing and Simulation
Topic: Has Trend Following Really Gotten Harder?
Replies: 10
Views: 10440

Has Trend Following Really Gotten Harder?

I have corn price data (reverse adjusted) going back to 1970. I decided to do some tests on the years 1970-1979 as compared to 1990-1999 to see if trend-following systems worked better in the past than presently. The system I tested was a breakout system with stops. When corn makes a new n-day high ...