mizhael, this is due to the excess kurtosis in the price distribution - the basis for Tend Following - see more on this discussed here: http://www.automated-trading-system.com/why-trend-following-works-look-at-the-distribution/ Or to see performance of some random systems: http://www.tradingblox.com/forum/vi...ghlight=&sid=67e64e35c09e76c1744e76aeab1bcda1
So you are talking about drawdown leads to margin calls and bust-up? TF can also lead to intolerable drawdowns, imagine you hold 100 securities and they all stop loss at the same time. So it's not TF vs. non-TF, it's the risk management that's the key.
We need to be careful about the "random" here. Do we know the distribution of the random number generator or not? If we know the distribution, then of course we can make money. -------------------- Has anybody really tried his/her money using the random TF? -------------------- And for serious TF, what's a good method of trailing-stop to use? Percentage off from the peak? Why did you use 3-ATR in your post?
True risk management is key, but it is "sort of" embedded in Trend Following strategy, ie cut your losses short and let your winners run
That TradingBlox post is not from me but I think the main point is to show that the "prediction power" of an entry signal is less important than how you manage your position
June numbers trickling in... I'm hearing Dunn and Winton up, Transtrend flat, Graham and C'peake down.
There is TF, there is mean reversion, there is "statistical arbitrage" and scalping. Did you ever develop a scalping method in a trend market ? Makes you not only " a bit" of money.
Looks like Superfund are downsizing big time: http://www.institutionalinvestor.co...hristian-Baha-Is-Not-So-Super-These-Days.html
Hard time for Christian and team for a couple of years now. 3 losing years out of 5. That´s no an edge anymore.