Does Trend Following Work ?
Ed, I’m a experienced futures quantitative trader. I use what a call “modern trend following” and mean reversion (counter trend) techniques to trade about 15 different futures, in a portfolio. I’m not a trend following fanatic. I just trade what works. I’m up 85% this year, with a -13% drawdown. I have no problem following a system, and have great knowledge about statistics, math and logic. All my systems do walk forward optimization each N time. In my research, it’s impossible a simple trend following system to work in today’s days without non linear methods, like thresholds, profit targets (variable) and etc … Take a look at this Richard Dennis interview: Q: How’s the current trading environment compared with your high-profile days? A: It’s 10 times harder than it used to be. It should be. The market’s job is to derail the systems traders. Some of them are going to make money, but that can’t go on forever. Q: Why not? A: Because the market is changing more dramatically than it woul
