DislikedVery interesting thread. I would actually be more keen to discuss on the technical side of trend following; topics such as win ratio, money management, diversification and drawdown tolerance. I would also be interested to discuss the the effectiveness of the very mechanical nature of trend following strategies. Would it be better for discretion in trend following as opposed to strict signallng system? Lastly, I think it will be beneficial to all trend followers to discuss the various trend following signals. Cross-sectional momentum, absoulate returns...Ignored
Of course, if one gets too far behind with losses, it's hard to make it up with bigger wins. I mean, you have to have some wins to win, right?
As pointed out above, shorter duration trades produce a lower expected value of wins for a constant bias over time. Thus, one can figure that a day trader needs a higher win ratio than a weekly trader to profit, and even a lower win ratio would be required of someone who holds their trades two weeks rather than one. I haven't lost a trade that I've held for two weeks in a very long time, mainly because I dump losers fast (it's still painful), so all the trades I held for two weeks were winners. Ummm, I'm not sure what else can be said about win ratios. Anyone else have something to add?
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