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Hi Tech/a and Nick --

This will be interesting.

I was working as a research analyst for a Commodity Trading Advisor firm in the US.  The firm specialized in trend following systems.  They developed some of the first mechanical and computerized methods, and were very successful until the mid 1990s.  Almost all of the trading was commodity futures -- treasury notes, oil, and the like.  At one point, we were approached by a large fund who wanted us to manage an account for them in which we were to trade common stocks using trend following techniques.  We could not get it to work.  Breakouts did not work, moving average crossovers did not work.

By work, I mean develop, test and validate the models using good modeling techniques.  Optimizing over the symbol space does not count.   Taking advantage of an overall rising market does not count.

Fast forward to 2007.  Trend following works great on market sectors, sector mutual funds, and sector exchange traded funds.  In fact, I describe several methods for building models based on the sector, then trading correlated equities. 

So -- If you are willing to discuss the details (if not, I understand completely) -- what common stock tickers do you find trade well using trend following techniques, and what entry methods do you find work? 

Thanks,

Howard

www.quantitativetradingsystems.com