I would like to know opinion about this strategy? Is it still working or dead? Thank you!!!
- #3
- May 6, 2017 8:13am May 6, 2017 8:13am
- Joined Jul 2013 | Status: Gone | 1,106 Posts
Probably the thing to consider is does a $30B daily stock market strategy transfer to a $5T daily currency market strategy? Mine did not. They also dabbled in commodities, from reading the pdf, and you know those have different measurements and rules than a straight 1-1 exchange. Another interesting tidbit, in case you never figure it out, is a 55 MA price cross is very similar to a 12/26/9 MACD crossing its zero line. Good Luck 
You cannot be extraordinary by being normal
- #9
- Aug 7, 2017 6:28pm Aug 7, 2017 6:28pm
- | Commercial User | Joined Apr 2013 | 4,366 Posts
I would like to know opinion about this strategy? Is it still working or dead? Thank you!!!
- #10
- Aug 7, 2017 6:39pm Aug 7, 2017 6:39pm
- | Commercial User | Joined Apr 2013 | 4,366 Posts
I read an article once that explained that trend following strategies don't work as well in Forex as in other markets, and I find this to be true. Forex trends are not sustained as long as stock trends, which is a fact. This probably due to the fact that two countries weighed against each other balance out much more frequently than a company that is outperforming the market by a wide margin. That's why most forex strategies are developed around having a definite profit target or targets rather than simply riding out a wave indefinitely.
Of the 45 instruments I have ranked their performance below. Look where some of the forex pairs sit in this context.
This agrees with a large number of trend following CTA's who actively trade forex as part of their portfolio. Refer to the CTA's shaded in green who include Forex in their portfolio's.
The bottom line is that any liquid instrument can and does offer trending opportunities during particular market regimes. The professional fund managers are always on the hunt for any liquid asset class that offers low correlation benefits to their portfolio.
{quote} I have tested this assumption and my findings differ to your opinion. The performance results of a medium to long term 'Turtle' Strategy over 45 instruments for the last 17 years are described in the prior post. Performance results include spread, swap and slippage. Of the 45 instruments I have ranked their performance below. Look where some of the forex pairs sit in this context. {image} This agrees with a large number of trend following CTA's who actively trade forex as part of their portfolio. Refer to the CTA's shaded in green who include...
but would be interesting to see how it would compare by sector, e.g. 1) stock indices 2) commodities 3) wide range of Forex pairs. I suspect a wide range of Forex pairs (say the main 28) would come off worst, as a class.
- #13
- Last Post: Edited 7:27am Aug 8, 2017 7:10am | Edited 7:27am
- | Commercial User | Joined Apr 2013 | 4,366 Posts
{quote} Hi Copernicus. Not demanding a back test
1. 17 forex pairs;
2. 8 global equity indices;
3. 5 metals;
4. 7 soft commodities;
5. 4 energies;
6. 4 treasuries.
You can see with the distribution of performance returns that each asset class widely varied in returns with no sector standing out as a clear winner over the 17 year plus period. Forex pairs (highlighted in yellow on the list above) were fairly evenly distributed between the best performers and worst performers......and what has had a history of poor performance does not necessarily mean that these instruments won't trend.
For example EURCAD (the worst forex performer) has had some great trending periods post 2009 on the longer term timeframes. The poor performance is attributed to choppy conditions outside of these trending periods.
