RE: Reduced posting volume

["Adrian Pitt" <apitt@xxxxxxxxxxxxx>]

You'd have to have some seriously poor trend following models and/or money
management techniques to be losing much money the last few years.  Commodity
markets have been experiencing the biggest trending phase probably since the
70's.  John Henry is the epitome of the unsophisticated trend follower and
not someone to model your behaviour from.  He's great for timing though, as
you simply wait for his fund to drop 30/40% then you put some money into his
funds. 

-----Original Message-----
From: Gary Fritz [mailto:fritz@xxxxxxxx] 
Sent: Tuesday, 15 April 2008 2:13 AM
To: Mark Johnson
Cc: omega-List
Subject: Re: Reduced posting volume

> (2) My style of trading has evolved over time
> and is, at present, mostly portfolio-level
> position trading in futures.  Salient features
> are
>    (a) Use of EOD data only
> 
> I only subscribe to the O-List in order to
> participate in discussions of _trading_ideas_ ,
> of which there aren't so many at the present time.

OK, Mark, if you'd be open to it, I'd like to ask a few trading-idea
questions 
about your trading.

I know a trader who's tracked an EOD trend-following portfolio for a decade,

and traded it actively for 6 years.  He believed that trending behavior was
a 
fundamental characteristic of the commodity markets, a result of basic laws 
of supply and demand.  He felt that the commodity markets were "too big" for

any number of systematic trendfollowers to swamp out the trending 
behaviors of the commodity markets.

But he shut down his system this winter, because it's been in a drawdown for

2 years and showed no sign of recovering.  I don't think he's alone.  It's
been 
my understanding that portfolio trading of trend-following systems in 
commodities has not been working too well for the last few years.  I haven't

seen recent data but I believe large trend-followers like John Henry have 
taken some wicked drawdowns.  

Have you found your trend-following results to be consistent with the way 
they worked 2-5 years ago?  Or have you seen the trending behavior 
change, and you've had to modify your approach to respond to that?  If so, 
would you be willing to describe what kind of approach you take these days?

Thanks,
Gary

9:26 AM
 

9:26 AM