Jul

10

Given that a swing has covered a territory of x, and a turning point has been reached, what is the ideal point vis a vis return and risk to exit on the way back. And how should the turning point be defined, hopefully with less retrospection and naivete than the professor's with the 200 year trend following system. By the way, how did their trend following work when big money could actually follow it? I believe a run of of length 8 x when x is an unbroken 5 move might have a very positive expectation after a swing in the opposite direction of 2.

Anatoly Veltman writes: 

Trend following has worked for them well– once all moving averages are sloped down (which I don't currently have proper charting to verify, but I can well visualize and speculate that it HAS BEEN the case indeed, on daily charts of both SP and CRUDE as of early last week), they are not allowed to position Long at any point.

I imagine they covered the first few spikes down, but now they'd intend to hold on to Shorts at least to pinch 2000 if not to pinch 1900, depending on the precipitous nature of the move. Of course, SP is trading sharply up this Thursday session, but they may are likely anticipating to reach their near objectives by early next week…

Of note also is the fact that (following the May's record print) SP started to punctuate double-top sets of resistance prices. First set occurred in May and June, and we just got another set this week. Once down-phase is indeed on a roll, it's my personal observation that such price resistance sets develop numerous times through the entire cycle. This was very much the case during the entire 2008 roll (from 1500s all the way thru below 1000s).


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