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My testing shows that some markets changed character during the mid-90s,
which made long-term trendfollowing on them a losing proposition.
Sofar it seems that this character change has been permanent, ie markets
which became bad for trendfollowers never returned to glory.
Regards, M
Michael McGahee wrote:
>
> I wrote the statement below a few days ago and although no one on this forum
> replied I did come up with some additional data that might be of interest.
> We were researching what tends to be a very bad market on any system that is
> tested on it - the British Pound. From 1996 to present, no matter what
> system tested (unless over-optimized), they all lost money. I'm talking
> about well known and very good performing systems. However, ALL of the same
> systems made money (and nicely too, I might add) from 1980 to 1990. These
> are all good systems that presently make consistent returns year in and year
> out in other futures markets.
>
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