Search found 39 matches

by Algonquin
Mon Oct 29, 2012 12:08 pm
Forum: Testing and Simulation
Topic: The last 7 years have been rough for LTTF
Replies: 18
Views: 7016

The notion that LTTF has had it rough is not up for any reasonable debate. Just look at the public returns of trend followers since 2008. Most have not made money in years.
by Algonquin
Sat Mar 10, 2012 12:16 am
Forum: Testing and Simulation
Topic: Most of us are using insufficient data for testing
Replies: 25
Views: 9200

I wonder whether you have looked at the performance of professional trend followers over these "last few years?" I wonder whether you have considered what their poor performance might mean given the very large moves we've seen in various markets.
by Algonquin
Fri Mar 09, 2012 6:33 pm
Forum: Testing and Simulation
Topic: Most of us are using insufficient data for testing
Replies: 25
Views: 9200

After testing over more than forty years of data, I am confident that trend following works. From that testing, I am also confident that trend following returns are in a state of terminal decline, and that ever greater research efforts must be expended to maintain the same results. I suspect that th...
by Algonquin
Wed Feb 01, 2012 11:52 pm
Forum: Futures Markets
Topic: Anyone trading anything in Africa?
Replies: 6
Views: 2517

No resting stops are permitted for these exchanges, and slippage can be quite bad - 50%+ I decided it wasn't worth it.
by Algonquin
Sat Dec 10, 2011 10:58 pm
Forum: Brokers
Topic: Interactive Brokers & Re-hypothecation
Replies: 19
Views: 19284

After MF Global, I decided that I would pull my capital from any brokerage at the first sign of trouble. Once I read that IB's CEO (already a billionaire) bought millions of dollars of shares of MF while he was negotiating the purchase, I decided to close my account.
by Algonquin
Thu Jan 20, 2011 11:46 am
Forum: Futures Markets
Topic: Heads up, bad open interest data causing roll for ES
Replies: 1
Views: 1773

Thanks for the heads up, Zach! I see this was finally corrected.

(For those of you looking for a great broker - systems of otherwise - I whole heartedly recommend Zach. I've been using him for some time and am a very happy client).
by Algonquin
Wed Apr 07, 2010 9:39 am
Forum: Testing and Simulation
Topic: Number of Parameters
Replies: 16
Views: 5644

I'm not stating a prediction. I'm stating a possibility. Run rolling backtests on these systems and you clearly see that performance is consistently worsening over time. The trend for these systems is down.
by Algonquin
Sat Apr 03, 2010 11:19 pm
Forum: Testing and Simulation
Topic: Number of Parameters
Replies: 16
Views: 5644

I would note that other systems, such as the Donchian and Bollinger Band systems, have been showing similar performance degradation over the past decade, and may have a very difficult time in the coming years.
by Algonquin
Fri Mar 12, 2010 1:55 am
Forum: Data Providers and other non testing software
Topic: Yet Another CSI Error - NBB
Replies: 1
Views: 1756

Yet Another CSI Error - NBB

Heads up -- The data for New Zealand Bank Bills for March 3 is wildly incorrect.

The error is so grossly obvious that you really wonder whether they do any data checking at all before releasing their data. On balance, the quality of their data has been absolutely terrible of late.
by Algonquin
Tue Feb 09, 2010 12:19 pm
Forum: Testing and Simulation
Topic: Warning: Potential CSI Data Problem - March Corn Low
Replies: 5
Views: 2212

Warning: Potential CSI Data Problem - March Corn Low

The low price CSI is posting for March Corn on February 8 appears to be too low. The correct low as reported by the exchange is 353.40. CSI is reporting a much lower low. Has anyone else encountered this?
by Algonquin
Mon Jan 25, 2010 9:03 pm
Forum: Trader Psychology
Topic: Is trading moral and ethical?
Replies: 25
Views: 25293

Trading is as moral or ethical as digging a ditch. It depends on why you are digging the ditch.
by Algonquin
Sat Jul 11, 2009 12:32 pm
Forum: Testing and Simulation
Topic: Is the built-in Donchian system too good to be true?
Replies: 24
Views: 11845

Chris67, I appreciate what you are trying to say. Compared to the hedge fund industry as a whole, it is true that trend following funds are a relatively small asset class. But it is beyond dispute that on a percentage basis the growth in managed futures over the past 20 years has been dramatic. And ...
by Algonquin
Sat Jul 11, 2009 9:51 am
Forum: Testing and Simulation
Topic: Is the built-in Donchian system too good to be true?
Replies: 24
Views: 11845

Chris67, Since the early 90s critics of trend following have been proclaiming the imminent death of the strategy. Some of its adherents have been responding that markets will forever trend so the strategy will remain viable. Who was correct? Neither. Some trend followers prospered over this time per...
by Algonquin
Fri Jul 10, 2009 12:43 pm
Forum: Testing and Simulation
Topic: Is the built-in Donchian system too good to be true?
Replies: 24
Views: 11845

AFJ Garner, Yes, you can find "a version of the Donchian system whose performance has not degraded in recent years." But this is true for almost every well-known, simple trend following system! If you try enough parameter combinations you will most certainly find a system that took precisely the rig...
by Algonquin
Fri Jul 10, 2009 8:21 am
Forum: Testing and Simulation
Topic: Is the built-in Donchian system too good to be true?
Replies: 24
Views: 11845

Transaction costs in the real world will vary greatly based on the markets being traded, the entry mechanism, the frequency of trading, the size of the traded account, the specific contract being traded, the skill of the trader, the trading session, and so on. So it is hard to generalize. However, y...
by Algonquin
Tue Jul 07, 2009 4:43 pm
Forum: Testing and Simulation
Topic: Is the built-in Donchian system too good to be true?
Replies: 24
Views: 11845

Try running the Donchian system with realistic transaction costs and you will have answered your question. The performance results are very different. As already mentioned, the Donchian system is a basic trend following system that will profit from trends in roughly the same way as an ATR breakout s...
by Algonquin
Wed Mar 18, 2009 1:41 pm
Forum: Brokers
Topic: Recommended Brokers
Replies: 1
Views: 3669

Recommended Brokers

With the recent changes at Wisdom Financial, are there any other recommended brokers either at Wisdom or somewhere else? Thanks!

Algonquin
by Algonquin
Sat Jan 31, 2009 8:42 am
Forum: Trader Psychology
Topic: The Robusti family
Replies: 16
Views: 16241

Nice post, Sluggo. A few thoughts: Are the "different" systems valid? I suppose that depends on whether the systems are really "different." There are many "different" trend following systems. However, as observed by more than one trend follower they are all essentially profiting from the same market...
by Algonquin
Fri Jun 13, 2008 2:31 pm
Forum: Testing and Simulation
Topic: What is Pretty Good to You?
Replies: 1
Views: 2294

What is Pretty Good to You?

Ed Seykota recently made an interesting post on his site: "A [MAR ratio] of 1.0 is pretty good, better by far than the one you get by buy-and-hold on S&P. People who claim much larger ones such as 2.0 and up don't usually make that claim for long." This comes from a guy who has been trend following,...
by Algonquin
Fri May 16, 2008 12:47 pm
Forum: Testing and Simulation
Topic: Slip and Commission
Replies: 23
Views: 21467

Hi Sluggo, Thanks for yet another thought-provoking post. And congratulations on recently surpassing the 1,000 post mark. I, like many, have benefited greatly from your generosity of spirit. With relatively little real world trading experience in the area of large basketed trading systems, I was fac...