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Hi Stevo --

If you know of, or find, trend following systems that work for the majority of common stocks, please let us in on the techniques.

Works means that the system is mechanical, and that optimization, out-of-sample testing, and validation procedures have been followed and the systems pass.

It also means that the system is profitable (or fill in your own objective function) for most common stocks, not mutual funds or exchange traded funds. (Funds, particularly sector funds, are easy.) If the portfolio being traded is selected in some way, the selection process must pass validation procedures.

And it means that the system is reasonably profitable with acceptable drawdowns for long (and, if possible, short) positions in all market conditions. Staying flat in adverse conditions is acceptable. A system that is profitable for short positions is even more valuable.

I will be happy to code up, test, and distribute results for candidate systems.

Thanks,
Howard
www.quantitativetradingsystems.com

<blockquote data-quote="howardbandy" data-source="post: 199086" data-attributes="member: 9179">Hi Stevo --If you know of, or find, trend following systems that work for the majority of common stocks, please let us in on the techniques.Works means that the system is mechanical, and that optimization, out-of-sample testing, and validation procedures have been followed and the systems pass.It also means that the system is profitable (or fill in your own objective function) for most common stocks, not mutual funds or exchange traded funds.&nbsp; (Funds, particularly sector funds, are easy.)&nbsp; If the portfolio being traded is selected in some way, the selection process must pass validation procedures.And it means that the system is reasonably profitable with acceptable drawdowns for long (and, if possible, short) positions in all market conditions.&nbsp; Staying flat in adverse conditions is acceptable.&nbsp; A system that is profitable for short positions is even more valuable.I will be happy to code up, test, and distribute results for candidate systems.Thanks,Howard<a href="http://www.quantitativetradingsystems.com" target="_blank">www.quantitativetradingsystems.com</a></blockquote>

[QUOTE="howardbandy, post: 199086, member: 9179"] Hi Stevo -- If you know of, or find, trend following systems that work for the majority of common stocks, please let us in on the techniques. Works means that the system is mechanical, and that optimization, out-of-sample testing, and validation procedures have been followed and the systems pass. It also means that the system is profitable (or fill in your own objective function) for most common stocks, not mutual funds or exchange traded funds. (Funds, particularly sector funds, are easy.) If the portfolio being traded is selected in some way, the selection process must pass validation procedures. And it means that the system is reasonably profitable with acceptable drawdowns for long (and, if possible, short) positions in all market conditions. Staying flat in adverse conditions is acceptable. A system that is profitable for short positions is even more valuable. I will be happy to code up, test, and distribute results for candidate systems. Thanks, Howard [url]www.quantitativetradingsystems.com[/url] [/QUOTE]

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