Systematic Trading research and development, with a flavour of Trend Following
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Entries from January 28th, 2010

Mammoth Hedge Fund moves into Trend Following

January 28th, 2010 · 5 Comments · Futures, Trend Following

AQR is a top hedge fund, managing around $24B in Assets. Lately, they have been making noise about their moving into the Managed Futures space (a.k.a. Trend Following). They seem to be working at institutional investor’s acceptance of trend following as an “investment” concept. They might just be trying to catch up with another mammoth [...]

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How to get out of a locked-limit situation

January 26th, 2010 · No Comments · Futures

Locked-limit panicked trader? photo: artemuestra@flickr Every prudent trader will ensure they minimise their risk by placing stop-loss orders where they should get out of the market. This is one of trading basic truths: Cut your losses short. However there is one case where the Futures market will not let you exit at any price: when [...]

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Market Wizards' Schwager Video

January 23rd, 2010 · 1 Comment · Off-track

I really enjoyed reading Jack Schwager books (Market Wizards and New Market Wizards) where he interviews top traders. So, I was pretty pleased when I found this presentation video where Schwager goes over his findings on what makes great traders. Entertaining and worth a watch at the weekend… His material is not directly linked to [...]

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Bliss Function: Quantify your Trading System Objective

January 21st, 2010 · 3 Comments · Backtest

Backtesting mechanical trading systems involves a great deal of optimization: testing and running a system across a myriad of parameters to choose the one(s) that produce the best results. But what is “best”? How do you measure best results, though? Compound Annual Growth Rate (CAGR) is one of the first metric that comes to mind [...]

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Trend Following Wizards – December 09

January 18th, 2010 · 4 Comments · Fund Review, Trend Following, Trend Following Wizards

Not a good year for Trend Followers! Closing December with a performance of -4.37% on average, most funds we follow “saw red” in 2009 (-7.3% on average). Well, this is part of the game: you have to risk (and lose) some to make some… Even the “mammoth” funds that are Man or Transtrend finished the [...]

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Moving Median: a better indicator than Moving Average?

January 14th, 2010 · 13 Comments · Futures, Strategies

While searching for robustness, you might come across the term of robust statistical estimator: the median, for instance, is a robust measure of central tendency, while the mean (average) is not (the latter is much more sensitive to outliers). Robustness in trading is a tough beast to tame and understand. The more “robust” the research [...]

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