There are publicly traded funds organized around various trading systems. Below are a few for comparison:
NFO - Insider Info STH - Stealth XRO - Sector Rotation PIQ - Magni Quant PSP - Private Equity FVI - ValueLine 100 Stocks BWV - Covered Calls CSD - Spin Off Companies DEF - Defensive Stocks EZY - Low PE Ratio Stocks Now take each one of the above and do a relative performance to the overall market - like VTI Vanguards Total Market ETF - and you can see how well they work. NFO, PSP, EZY top the list with a modest out performance using my ranking algorithm. The majority equal the market or underperform. For me the most disappointing is FVI only as good as the broad market - so much for $650.00/yr fundamental/technical analysis newsletter. XRO - is the worst. ReefBreak --- In [email protected], "brian_z111" <brian_z...@...> wrote: > > Hello Samanatha, > > Thanks for your post ... a good topic and thanks also to D and PS for > additional leads and others for the discussion. > > <snip> .... 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).<snip> > > This point of view isn't shared by all traders. > There are at least two grounds for objection: > > - the massive number of possible permutations, at any point in time in the > market, make the chance that two traders are doing the same thing with > significant amounts of money are unlikely e.g. Aronson puts forward this idea > in his book, "Evidence Based Technical Analysis". > > - based on the behaviour of market participants it is also unlikely that a > significant number of traders will trade exactly the same trade even if it is > "published in the Washington Post" e.g. one of the Wizards interviewed in one > of Schwagers book's argues along those lines when he is asked if he is > reluctant to talk about his trading methods. > > Take this topic for example ... how many people read the topic ... read it > carefully ... read the links ... thought about it ... did some homework ... > go on to study the system ... put it into practice (without changing > anything) and then go onto to trade it in the same market, same instruments, > same timeframe etc with significant amounts of money. > > I consider myself to be a trend trader but my definition of a trend is > unlikely to be used by more than a handful of people ... the chance that > others are watching the same trend, in the same instrument and the same > timeframe is almost zilch. > > The caveat is if and when large institutional traders are systemic traders > and/or algorithmic traders .... perhaps large players can mop up systems if > they are interested enough to do so. > > There has been little discussion, on this board, about systematic trading by > institutional players. > > Siddhartha did say he didn't observe that the practice was widespread in his > time in the industry. On the other hand I recall reading an article that said > Goldman Sachs were into algorithmic trading in a big way. > > As an aside ... I thought that the axiom "We will miss most of the growth if > we miss the 10% biggest gain dayss in the market (ditto for a > weekly/monthly/yearly basis etc) was basic (same for missing most of the > losses if we avoid the worst ten%). > > Looking at any index chart, with hindsight, it seems obvious that there are > several points where any number of indicators could have told us to get out > and we would have been better off ... the trade off is the cost of exit and > re-entry. > > I put a lot of effort into investigating that payoff/versus cost when > deciding how often to trade (buy and hold versus, say, short term or day > trading). > > I was surprized last year when so many in this forum (of all places) seem to > be hurting. > > > > Re Momentum trading: > > There are two articles here on trend trading (scroll down to 3.1a and b. > > > http://zboard.wordpress.com/library/miscellaneous-articles/ > > Michael Covel appears to be the current king of trend trading (I like his > book but not his videos). > > www.TrendFollowing.com > > > How do we know when a system is failing? > > We can't get a math measurement to tell us when that momement has arrived ... > all models assume stationarity and as soon as it is broken we are in unknown > territory .... classically a shift in the average value or the dispersion (of > the trade series) signifies non-stationarity, although random data series > contain a good deal of variance and it is hard to distinguish random variance > from a system breakdown. However IMO most traders are trend traders and > almost anything will work while we are on the right side of the trend .... so > in the real world a system is broken when our assumptions about the > underlying trend are incorrect. > > > --- In [email protected], "samu_trading" <samu_trading@> 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 > > >
