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> From: Dtrader <dan@xxxxxxxxxxxxxxxxx>
>
> mark..
> imagine that the bond market suddenly begins a long term down trend that
> lasts several years - say three or four years.
>
> if during this period your medium term counter trend model where to begin
> drastically under-performing relative to its performance of the prior
> several years, how would you adjust your model?
i think you do not understand what counter-trend means ...
if such situation occur, a short term counter-trend model will
outperform the trend following model at least a few times.
switching to short term is relatively easy.
Mark has given out the model rules already ... if you have
coded / traded something like that you would understand.
> would you continue trading your model despite its poor relative
performance
> in this historically un-characteristic 'trending' environment?
counter-trend statistical model in a bad scenerio usually results in
poor performance, but not bad, money usually still be made.
but most trend following model lose money 90% of the time and
if the 10% does not produce home-run, the user goes bankrupt :)
besides, if bond do trend bearish, then all long term shorts dies real
fast in the usual bear spikes ...
-Lawrence Chan
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