Thanks Dingo,
Excellent Article for B&H investors. A little late for a wake up call
now though. It would be interesting to see what would happen to this
system if 90% of investors followed it. I dare say it would stop
working on the end of month timeframe as investors rushed to enter or
exit, driving prices. The timing on the model would shift as
investors started to act earlier to not lose out. The model would be
driven to new phase/frequency modes by guess what -- fear and greed!
However, without a consensus that everyone should be doing this, it
could work for a long time. Where systems fail spectacularly is when
major investors have their funds riding on computer models that are
unaffected by emotions. That day may come in the not so distant future.
~Dennis
On May 31, 2009, at 11:01 AM, dingo wrote:
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
