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Hi Nick --

I agree that simplistic systems, particularly when applied to long term holding periods, are unlikely to work well.  They are too easily implemented.  If it turns out that one is trading profitably, there are a lot of people who will notice, begin trading that system, and quickly remove the inefficiency that system recognizes.

There are only a few inputs available for trend followers -- prices for the tradable issue (including patterns, breakouts, moving averages, and indicators), prices for intermarket issues, and seasonality (time of year).  Volume data for futures is available, but is reported a day late.  Commitment of Traders data is available, but is reported several days late.  Government and non-government agency reports are reported many days late and are subject to later revision (if you believe them at all).

I completely agree with you about selecting systems based on highest absolute returns.  When running optimization searches and walk-forward tests, using absolute return as the objective function is seldom successful.  Some form of risk-adjusted return is almost always better.

[About Campbell -- Campbell describes themselves as medium to long term trend followers.  Annual Performance for their US$11 billion futures fund lists these results:

2002 1.23%

2003 20.41%

2004 6.96%

2005 11.02%

2006 5.48%

2007 (thru July) -6.02%

The data comes from:

http://www.autumngold.com/Advisor/CTAProfile.php?op=profile&id=23

Am I missing something?]

Thanks,

Howard