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Hi Samantha --
Thanks for the kind words about my book.
Could you post the code for the momentum / ROC system you are referring to ?
Thanks,
Howard
On Sat, May 30, 2009 at 10:44 PM, samu_trading <samu_trading@xxxxxxxxx> 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
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