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I think whether a system will fail at a point in the future is of less reference value for our opreration. Find a valid system and get the milk out of it as much as possible, by the time the system approaches its longevity, you will probablay have already been much richer.
And the above opinion has not taken into account the following facts:
1--You can diversify your markets, one strategy is unlikely to become ineffective for all selected markets at the same time
2--You can diversify your strategies, it is even more unlikely that all strategies will become ineffective at the same timee
3--You can monitor temporarilly failed strategies, there is no gurantee that if one strategy performs badly today, it will not recover tommorow. Check out the idea of trading the equity curve
4--You can have a ranking system to evaluate all strategy/market combinations and only trade the top 50% ( or x%, depend on the bench depth)
Huanyan
--- In amibroker@xxxxxxxxxxxxxxx, "vlanschot" <vlanschot@xxx> wrote:
>
> I just uploaded a summary pdf of the feb2008 LT Momentum study by LSE's Dimson, Marsh and Staunton in their yearbook 2008. This is fairly robust academic stuff. For all clarity their "momentum" is cross-sectional, i.e. buy the top X, short the bottom X, the usual interpretation for academics.
>
> PS
>
> --- In amibroker@xxxxxxxxxxxxxxx, "samu_trading" <samu_trading@> 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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