Welcome to my online repository of research and insights on automated trading system developments it important to understand why Trend Following works (ie what are the sources of its profitability)?
I believe yes. Because markets are non-stationary (changing all the time), their characteristics – including those at the root of Trend Following profits – are changing too.
Understanding these market characteristics is a first step towards being able to identify [...]
Entries from February 24th, 2010
What place for the small fish in the big trading pond?
February 22nd, 2010 · 1 Comment · Strategies
Being a small trader and “taking on” the big funds such as Winton Capital or Renaissance Technologies can seem as arduous as climbing the Everest. You might think: “What chance do I have to even come close to these guys and their army of PhDs? I might just send them a cheque to manage my [...]
Tags: diversification·etc·etf·fees·lumber·oanda·spread-betting
New: Free Code section – and improved Vortex
February 17th, 2010 · 2 Comments · Backtest, Blog, Code, Strategies
Tags: avx·Trading Blox·vortex
Vortex indicator
February 15th, 2010 · 6 Comments · Backtest, Code, Software
I recently came across the Vortex Indicator, which aims to leverage the chaotic science of fluid mechanics (vortices) into a new indicator. I decided to code up this interesting concept in Trading Blox.
The indicator logic is described in the January issue of TASC (Technical Analysis of Stocks and Commodities) and sounds intriguing (link to PDF [...]
Tags: ADX·DMI·IPV·Trading Blox·vortex·Welles Wilder
50, now what?
February 11th, 2010 · 7 Comments · Blog
Ladies and Gentlemen, this is post number 50!
And I think it is a good occasion for an update on the projects in the pipeline.
But first a big thank you to all of you, my readers. it is quite some work, but I am having fun keeping this blog and interacting with some of you.
In January, [...]
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