Systematic Trading research and development, with a flavour of Trend Following
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Entries from December 23rd, 2010

R Code for Walk-Forward LSPM

December 23rd, 2010 · 7 Comments · Code

At the same time as Josh Ulrich was making some very good points on why to use R, over on his FOSS Trading blog, I was coming to the same realisation that it is a very neat, useful tool indeed. In this post, I’ll present the code I used for the last post on running [...]

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Practical Leverage Space Model – a More Realistic Test

December 21st, 2010 · 18 Comments · Money Management

How can you apply the Leverage Space Model in real-life trading? The last study on the Leverage Space Portfolio Model was interesting from a theoretical point of view. Its main value was in illustrating the concepts of the framework with real-life data, but it did not have much practical application: on top of some “unpractical” [...]

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Trend Following Wizards – November 2010

December 14th, 2010 · No Comments · Trend Following, Trend Following Wizards

In line with the State of Trend Following report, most of the Wizards have ended the month in the red in November The average monthly return stands at -3.3%, which brings the YTD performance to +8.41%. Here are the individual results for last month – only one positive number:

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Low Winning Percentage = more Robust Systems?

December 9th, 2010 · 17 Comments · Money Management

  One of the characteristics that deter traders from using Trend Following is the typical lower winning percentage rate (i.e. ratio of winning trades vs. losing trades) of such systems. It goes against the natural instinct of “wanting to be right most of the time” as trades end up in a loss more often than [...]

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State of Trend Following: November, Up-and-Down month

December 7th, 2010 · 2 Comments · the State of Trend Following, Trend Following

  The headline figure for November (-3.66%) does not sound as dramatic as what happened during November for Trend Following. After a quick spike upwards at the beginning of the month, following the best month of the year so far, a sharp reversal took place taking all systems into the red (and most stayed in [...]

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Vince's Optimal f and the Leverage Space Model – Take 1

December 2nd, 2010 · 19 Comments · Money Management

Following the Risk-Opportunity Analysis conference I attended earlier this month, I decided to test the model and the software used to implement it (Vince‘s java app and Joshua Ulrich’s R implementation). Most of the mathematical formulas supporting the model are in the book Leverage Space Trading Model. I will not paraphrase the book and reproduce [...]

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