This might be what he's referring to: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=962461
d On Sun, May 31, 2009 at 9:16 AM, Howard B <[email protected]> wrote: > > > Hi Samantha -- > > Thanks for the kind words about my book. > > Could you post the code for the momentum / ROC system you are referring to > ? > > Thanks, > Howard > > > On Sat, May 30, 2009 at 10:44 PM, samu_trading <[email protected]>wrote: > >> >> >> All, >> >> In his really good book Quantitative Trading Systems, Howard states that >> all trading systems will stop working forever at some point (because the >> inefficiency in the market they exploit will be killed by everybody jumping >> on board). >> >> On the other hand you have momentum / ROC based systems working forever >> now, same for trend following MA crossover systems like The one propagated >> by Mebane Faber. Momentum and MA rossover trendfollowing does seem to work >> "forever". >> >> Any comments from the gurus here? >> >> Thanks, Samantha >> >> > > > >
