so, we can finally conclude that mechanical system trading has ceased to exist in May 2011 of the year. Markets have adapted to all kinds of mechanical systems. The systems themselves destroyed all the inefficiencies of the markets, which they exploited and dug their own grave. This is connected, of course with the tech boom, total computerization and acceleration of scientific and technological progress. In the pre-computer era, a mechanical system could exist for a very long time and use some kind of market inefficiency until feedback begins to act on it.. Feedback comes into play these days., practically, instantly and, eliminates inefficiencies, who are trying to exploit new systems. What was to be expected. And then they came up with — lie under a palm tree, and the system works. Enough freebies…. :)
Here are the average results of professional managers and advisors (CTA), who declared their trading style as systemic. It all started in May 2011 of the year.
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And this is a special case of system trading — professional managers, using trend-following strategies in trading. Here the situation, at all, depressing.
