Category: Trend Following

Salem Abraham has been at the trading game for many years now. His track record exceeds 18+ years (PDF). While his performance consistently grows, client restlessness never stops. Clients typically, and this is by no means unique to Abraham, panic at the “bottom” often missing the new equity highs. Study Abraham’s performance. There are key lessons there for all. More on Abraham here (PDF).

David Druz, a trend follower with a lengthy track record, offered this tidbit on his web site:

“The robustness of a trading system is proportional to its volatility. This is the no-free-lunch part. A robust system is one which works and is stable over many types of market conditions and over many timeframes. It works in German Bund futures and it works in Wheat. It works when tested over 1950-1960 or over 1990-2000. Robust systems tend to be designed around successful trading tactics (origin of our “Tactical” name), classical money management techniques, and universal principles of market behavior. These systems are not designed around specific types of markets or market action. And here is the amazing thing about robust systems: The more robust a system, the more volatile it tends to be! This is because robust systems are not optimized to particular markets or market conditions. The converse is also true. You can design systems with excellent returns and low volatility on historical testing, but which work only for given periods in given markets. These systems tend to be curve-fit or market-fit and are not robust. For a system to have the highest odds of profitability over time and markets, the inescapable tradeoff is volatility. Diversification is used of course, but it will only dampen the volatility so much.”

Trend followers put out publicly available documents listing their backgrounds and performance. These are usually interesting to read even if not making an investment with that particular trader. These “disclosure documents” are freely available from the government via Freedom of Information requests and or directly from the trader. Here is one from David Druz.

Disclaimer: I have no business relationship with Druz. I write about what interests me. If you have a good idea for a blog entry here, drop me an email.

Bob Pardo was profiled in the book Market Beaters. Here is an excerpt (PDF) from the book. He also wrote an informative book titled Design, Testing, and Optimization of Trading Systems.

Does Trend Following Work on Stocks? This paper is being released exclusively first on my collection of sites.

A recent trend following take from Michael Covel.

This presentation (audio) once given by Bill Dunn is interesting. It goes along with the charts in the book “Trend Following”.

More.

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