20dmf

[Billy]

Thanks for clearing that up, Billy.

So, regarding time, I guess it's a question of how often markets are trending vs. range-bound. Based on your experience and knowledge, what would you say this is? I've heard some say the market is trending 1/3 of the time and range-bound 2/3 of the time. Is this true?

Perhaps we have been spoiled in recent years (2008, 2009, 2010) with some very nice market trends.

Aly,
I've heard and read for years the same 2/3 and 1/3 proportion.
But it all really depends on the timeframe you're looking at. I know traders in this forum who deem a 1-hour trend an eternity and others who are only looking at monthly trends!
For the robot, ST is a 3-day horizon and LT is a 10-day horizon. It seems to be the best timeframe compromises for optimizing what we are trying to achieve: consistent compounded (very) long term risk-adjusted returns.
I suggest that you explore the Market Sci blog archives for their posts about research on mean-reversion and trend-following markets. They were big promoters of mean-reversion strategies until they discovered that for the last few years a shift clearly happened in favor of trend-following strategies. They explain why they think this phenomenon can only accelerate in the years ahead.
I think also that modern algo and HFT trading can only precipitate more trend-following.
Billy

[asomani]

Aly,
I've heard and read for years the same 2/3 and 1/3 proportion.
But it all really depends on the timeframe you're looking at. I know traders in this forum who deem a 1-hour trend an eternity and others who are only looking at monthly trends!
For the robot, ST is a 3-day horizon and LT is a 10-day horizon. It seems to be the best timeframe compromises for optimizing what we are trying to achieve: consistent compounded (very) long term risk-adjusted returns.
I suggest that you explore the Market Sci blog archives for their posts about research on mean-reversion and trend-following markets. They were big promoters of mean-reversion strategies until they discovered that for the last few years a shift clearly happened in favor of trend-following strategies. They explain why they think this phenomenon can only accelerate in the years ahead.
I think also that modern algo and HFT trading can only precipitate more trend-following.
Billy

Thanks for the tips, Billy.

Will take a look at those archives and ponder on your thoughts as well.

[adam ali]

Pascal,

Could you tell me the gain/loss of the 20DMF short trade initiated on May 5th (the last Excel file I have shows it as open). Also, would it be possible to put an updated 20DMF Excel trade file on the site so it's easily accessible?

Thanks again,

Adam

[Pascal]

Pascal,

Could you tell me the gain/loss of the 20DMF short trade initiated on May 5th (the last Excel file I have shows it as open). Also, would it be possible to put an updated 20DMF Excel trade file on the site so it's easily accessible?

Thanks again,

Adam

Attached.

Pascal

20DMF_Trades.xls