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Hi Dave --

I also have that book. And I have exchanged emails about it with John Hill.

1. Most of the analysis of systems in that book are on in-sample data. None is clearly identified as out-of-sample data. In-sample results are not valuable in predicting future performance. The creation of multi-systems is all done with in-sample data and is very misleading.

2. Both moving average crossover and Donchian breakout systems worked well from early days of trading commodities into the 1980s, then they began to break down. If you have a chance, run the Donchian breakout system on commodity data from the first contract to the present, and you will see the equity curve turn from rising to flat as the system was revealed, became easier to program, and became cheaper to trade.

Both moving average crossover and breakout are trend following systems. They depend on relatively large winning trades, but there are many more losing trades than winning trades.

The keys to successfully trading breakout systems are:
Be able to limit losses of losing trades.
Be able to let your winning trades run.
Trade a portfolio of many commodities.
Have a lot of money in your trading account -- $1,000,000 plus.
Systematically follow precise and aggressive position sizing methods.

Trend following depends on the market being traded trending, which happens more in less mature, less sophisticated markets than in more mature markets (US common stocks and stock indexes do not trend well at all). It can work well in well defined sectors, such as sector ETFs.

As always, do your own testing following good modeling and simulation techniques, including walk forward testing and statistical analysis of the out-of-sample results.

Thanks for listening,
Howard

<blockquote data-quote="howardbandy" data-source="post: 478458" data-attributes="member: 9179">Hi Dave --I also have that book.&nbsp; And I have exchanged emails about it with John Hill.1.&nbsp; Most of the analysis of systems in that book are on in-sample data.&nbsp; None is clearly identified as out-of-sample data.&nbsp; In-sample results are not valuable in predicting future performance.&nbsp; The creation of multi-systems is all done with in-sample data and is very misleading.2.&nbsp; Both moving average crossover and Donchian breakout systems worked well from early days of trading commodities into the 1980s, then they began to break down.&nbsp; If you have a chance, run the Donchian breakout system on commodity data from the first contract to the present, and you will see the equity curve turn from rising to flat as the system was revealed, became easier to program, and became cheaper to trade.Both moving average crossover and breakout are trend following systems.&nbsp; They depend on relatively large winning trades, but there are many more losing trades than winning trades.&nbsp; The keys to successfully trading breakout systems are:Be able to limit losses of losing trades.Be able to let your winning trades run.Trade a portfolio of many commodities.&nbsp; Have a lot of money in your trading account -- $1,000,000 plus.Systematically follow precise and aggressive position sizing methods.&nbsp;Trend following depends on the market being traded trending, which happens more in less mature, less sophisticated markets than in more mature markets (US common stocks and stock indexes do not trend well at all).&nbsp; It can work well in well defined sectors, such as sector ETFs.As always, do your own testing following good modeling and simulation techniques, including walk forward testing and statistical analysis of the out-of-sample results.Thanks for listening,Howard</blockquote>

[QUOTE="howardbandy, post: 478458, member: 9179"] Hi Dave -- I also have that book. And I have exchanged emails about it with John Hill. 1. Most of the analysis of systems in that book are on in-sample data. None is clearly identified as out-of-sample data. In-sample results are not valuable in predicting future performance. The creation of multi-systems is all done with in-sample data and is very misleading. 2. Both moving average crossover and Donchian breakout systems worked well from early days of trading commodities into the 1980s, then they began to break down. If you have a chance, run the Donchian breakout system on commodity data from the first contract to the present, and you will see the equity curve turn from rising to flat as the system was revealed, became easier to program, and became cheaper to trade. Both moving average crossover and breakout are trend following systems. They depend on relatively large winning trades, but there are many more losing trades than winning trades. The keys to successfully trading breakout systems are: Be able to limit losses of losing trades. Be able to let your winning trades run. Trade a portfolio of many commodities. Have a lot of money in your trading account -- $1,000,000 plus. Systematically follow precise and aggressive position sizing methods. Trend following depends on the market being traded trending, which happens more in less mature, less sophisticated markets than in more mature markets (US common stocks and stock indexes do not trend well at all). It can work well in well defined sectors, such as sector ETFs. As always, do your own testing following good modeling and simulation techniques, including walk forward testing and statistical analysis of the out-of-sample results. Thanks for listening, Howard [/QUOTE]

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