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Ep. 877: Andrew Lo and Jon Gordon Interviews with Michael Covel on Trend Following Radio

Michael Covel's Trend Following

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Adaptive Markets: A Case Study

When you showed your colleagues the results, before even presenting it in a conference setting, our colleagues thought that we had made an error and they just didn't buy it. That's what prompted us to go back and redo our calculations. And then, when we presented it at this conference with a number of their peers, they also didn't believe it. We were really kind of taken aback. Over time, it became clear that we hadn't made a programming error and the data really did show that the random walk wasn't consistent with market data. But it took a while to get there. Once you acknowledge the fact that the data weren't wrong, you had all sorts of uncomfortable questions

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