25 How to GRAB a Bargain Trading Futures . . . Maybe
Mark Sleeman
Introduction
My name is Mark Sleeman. I live in Auckland, New Zealand and am the sole principal of CTA firm M.S. Capital Management Limited.
The next few pages detail a research project I originally undertook in conjunction with Ed Seykota in 2009 to contribute to the research on his “Trading Tribe” website (www.seykota.com). This is an updated version (September 2016). It has similar findings as the original version, but utilizes more up-to-date examples of market action to illustrate its points.
The project creates and tests a computerized trading system that buys retracements and sells rallies—the opposite of how common trend following systems work. While I know that the buy-low, sell-high approach feels good to many traders, I wish to find out if it is actually profitable when subject to rigorous testing.
How to GRAB a Bargain Trading Futures
I love to grab a bargain. The problem is my trend following system—like all trend following systems—doesn’t. It waits around until it sees a new uptrend and only then does it buy. Invariably, the buy signal comes long after the bottom. I find this extremely frustrating, and often wonder if it is possible to build a system that buys the bottoms and sells the tops.
Following Trends Is Hard Work
It is early January 2016 and I am watching the E-mini S&P 500 futures fall sharply against a background of plummeting oil prices and fears of a slowdown in China. Down and ...
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