Hey guys looking into this strategy just curious if anyone has an indicator specifically that can show a 20 day breakout for example.
I can't quote his words, in correct English , ( iv read his book few months ago, in native language ), but, at some point he mentions : ,, a trader, has to be ready, for a maximum of 70% portfolio draw-down'' And....: (One of the most, ,,benefiting'' terms, that i learned, recently in this forum) ,,FYL'', i never was and never will be Another thing, although they were given , the same capital / the same strategy, some were still, outperforming the others. More than that, one guy went paranoid, because he was - under-performing ; (his own faults) he blamed mentors, for sharing secrets with the best students.
WTF does this have to do with the OP's question? You can write something in ThinkScript. If I remember correctly @stepandfetchit is good with writing thinkScripts. Try sending him a personal message
forget about it. in the ancient days of turtle, commodities were so trendy you could make money in anything.... today everything is so crowded... simple systems just get killed because smarter robots know what you are doing. this is why managed futures have been doing poorly.
Trend following systems work where there is asymmetric information flow. @Kevin Schmit posted a paper awhile back where they showed how trend following systems work best on volatile markets. So it might be that trend following is dead on super liquid assets but maybe not on smaller cap volatile stocks, etfs, commodities. Taking the turtle trader idea and using it on "trendy" assets may not be a bad idea. Backtesting the strategy and finding where it might work best is a must.
Ok, so 20 days is approx 1 month, therefore you want a monthly bar breakout. Very simple, bars greater than the previous month's high. You can add some filters if you wish, volume greater than avg previous month. Another filter, % price move substantial on the breakout bar. Another filter, bar closing near highs for the day.
the problem for them managed future guys is that trendiness is always observed after the fact... in other words they have to cast the net so wide as to not miss any big runs... last time these guys made money was probably during the 'peak oil' scam lol.. but generally speaking they put up positions in 20 markets maybe a couple of them give nice profits only to see the other 18 positions get chopped to death. the supply / demand imbalances are still there just as much as the turtle years... problem is any success attracts numerous followers... and once you have too many turtles, counter traders come in and kill them.... the famous 'turtle soup' traders... and then once the soup guys have success and attract copy cats, a new group guys come in to kill the soup guys... and so on. bottom line is this stuff is simply too good to be true... 20 day break out to make a fortune... barrier of entry is too low. in a way Buffett suffered similar edge erosion.. this value investing stuff... used to be worth it by digging into company fundamentals... then copy cats pile on.. then it's dead.
I saw half of "Becoming Warren Buffet" before getting bored yesterday on HBO. While this documentary wasn't very deep on his strategy, I'm left musing over whether Warren Buffet the younger would be a quant or simply a value investor compounding at a significantly lower rate in today's market environment.
he already underperformed the SPY for many years and has admitted that he cant beat it. back in the day there was no competition... value investing plus some luck he made it big... today the game is completely different: - value investing is dead... no edges left; - name of the game today is about burning the most cash possible to gain maximum market share.. technology exponential growth, instead of consumer products linear growth... both areas Warren is not good at.. he'd never buy AMZN or GOOGL.... took him loooong time finally bot AAPL when the product cycle was already at peak (peak iphone). Warren is a great investor, but only for his time.