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Trend-following systems, taken overall and looked at from a (largely)
papertrade standpoint outperform hit-and-run, choppy-market or
"daytrade" type systems. But you have to have some deep pockets to take
the drawdowns and still stay with the trend, and you have to know when
the trend *really* ends. So it comes down to the trader, namely, how
much guts you have to stick it out during those inevitable deep
retracements. It's very much a personal issue. I would like to
interview literally all those who follow those "champ" systems to the
letter in actual trading with their own money. Were any of these Futures
Magazine top trading systems really traded following *every* signal?
Anyone can track a system on their computer and show it a winner under
given circumstances, even without optimization. I recommend the recent
book: Schwager on Futures: Technical Analysis by Jack Schwager. Look at
the long section on "Real World Trading". This is reality in the
markets. As we all know, a system so senstive as to filter out the
failed signals and excessive retracements will also miss the "big ones"
in many cases too...
John
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