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Trend Following: Under the Radar!

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Michael,

I had never heard of trend following until taking Mark Shore’s managed futures course and had never heard of you until I listened to your recent podcast interview with Mark. Now I am a trend following convert and have read Trend Following and The Complete TurtleTrader and have watched your Broke documentary. In addition, I am voraciously listening to your podcast series, which is top-notch.

Brief background: Drake University BS finance and economics, DePaul University MBA finance — i.e. I have been force-fed fundamental analysis for years. Drake is especially fond of fundamental analysis where DePaul was more open to alternative investments.

My final two courses at DePaul were a hedge fund strategies course and a managed futures course. The hedge fund course was structured around fundamental analysis, was at max student capacity and boasted a long waiting list of students hoping to enroll… I believe this was only the second managed futures course Mark had taught at that point. Regardless, it makes sense why the hedge fund course was so popular. Hedge funds are given a lot of publicity whereas CTAs and managed futures are not. It is painfully obvious that many educated investment professionals do not understand managed futures and trend following.

Mark’s course and your work on trend following has opened doors for me in both my career path and personal investment approach. I have […] with Last Atlantis Capital Management which is run by Irwin Berger and one of the original Turtles mentioned in your book, Stig Ostgaard. You briefly mention Stig in your book, but do not go into detail. Besides Stig’s white paper, “On the Nature of Trend Following”, and his articles posted on LACM’s website there is not much info to be found on him even though he had some of the larger returns of the original Turtle class. Perhaps you can post more info on this elusive Turtle on your blog for interested followers or interview him for your podcast series?

In any case, please keep up the fantastic work!

[Name]

Thanks! Stig is elusive, but he did allow me to put that cool whitepaper in my book Trend Commandments.

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One comment on “Trend Following: Under the Radar!
  1. Rob.fa693c says:

    I found that whitepaper of Stig Ostgaard’s interesting, just to see where the whole Trend Following concept came from, but one thing did jump out at me.

    It’s actually about Richard Donchian’s “Trend Timing” letter. It says that he produced “a weekly commodity […] letter based upon [his] 5-20 moving average method” (p13).

    I find that very fast. I currently use 20-50, and the example “Moving Averages” system you present in your “Trend Following” book (fifth printing, 2008, Appendix A) uses 50-100. The parameter set of 5 and 20 isn’t even assessed in the “Stability Test” results you provide!

    I wondered, therefore, whether the use of relatively fast SMAs was perhaps influenced by Donchian’s desire to have something to put in his letter each week. Or perhaps that’s unfair and he was very successful – the report omits his success rate based upon those parameters, just saying that it was “creating a documented […] performance record”. Perhaps those thoughts are answered in your “Trend Commandments” book?

    I also wondered what your current thoughts are about the use, effects and disadvantages of different SMA sets.

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