Comments on: Trend Testing S&P Emini Futures Market

By: Mark

Mark — Thu, 30 Jul 2015 20:20:22 +0000

In reply to marco.

Marco–

“…when the trend following or mean reverting regime changes, this change lasts for years.”

On what data do you base that claim?

Mark

By: Jeff Swanson

Jeff Swanson — Tue, 21 Jul 2015 20:13:36 +0000

In reply to matt haines. Matt, that's a good idea. I'll think about it and add it to my to-do list.

By: Jeff Swanson

Jeff Swanson — Tue, 21 Jul 2015 20:06:57 +0000

In reply to marco. Agreed. If I remember correctly after the dot-com bust of 2000, the S&P changed.

By: marco

marco — Tue, 21 Jul 2015 09:43:54 +0000

If we look back Jeff, S&P500 seems to behave in a trend following regime before late nineties. It’s not easy to detect a change in regime, but when the trend following or mean reverting regime changes, this change lasts for years. Once the new regime has set up, traders have years to exploit it. Only this seems to be incouraging.
And when it does. It would be great to understand why such changes happen.

https://nightlypatterns.wordpress.com/

By: matt haines

matt haines — Mon, 20 Jul 2015 15:00:10 +0000

What might be interesting to check out is if momentum reappears as dominant in the intraday time frame.

In theory, every trade is a momentum trade of some sort, since once you’re in a trade, you hope it continues in the direction you planned. The difference is that a mean reversion trade gets in before (ideally) the price changes direction. Momentum strategies get in once the trend is established. But they both want the trend to continue rather than wander.

So..at what time scale does momentum come back into play for the E-mini? Just curious.