You know, its true what they say. The more things change, the more they stay the same! It has been just about three years now, since January of 2003, that I wrote my now classic I Was Wrong article, admitting that trend following was not dead after all. And in the past couple of years, we have seen some good trending markets and some nice returns, with the Turtle computer model being up between 50% and 100% for 2003 and 2004 respectively. And while the current final yearly results are not quite in yet, although 2005 got off to a pretty rough start, it looks like a late rally in many of the markets is going to wind up giving us another profitable year.
But the truth of the matter is, if you look very closely, as I have, at both the Turtle system in particular as well as other trend following systems in general, there are some things that have changed slightly. An examination of rolling five or ten year periods will show some smaller deteriorating statistics since the formal origination of the trading method back in the early 1980s. The total returns are slightly lower, the drawdowns are a little deeper, and the recovery periods are a little longer.
There are...
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