Welcome to my online repository of research and insights on automated trading system development
I am firm believer in diversification, and so are most of the Trend Following Wizards tracked on the AuTraSy blog. How about applying diversification to the Trend Following Wizard funds themselves? Instead of trying to see which funds performed best (as I did previously with the Geometric Information Ratio ranking), I wanted to see what [...]
Entries from July 28th, 2010
Super Trend Following Index?
July 28th, 2010 · 3 Comments · Trend Following, Trend Following Wizards
Tags: wizards
Better Trend Following via improved Roll Yield
July 26th, 2010 · 28 Comments · Futures, Strategies, Trend Following
To round off a series on backwardation, contango and roll yield (posts 1, 2 and 3), let’s put all this info together and use it in an innovative trading strategy to show how it can improve the performance of a Trend Following system by optimising its roll yield component (note: this could also be applied [...]
Tags: DB·roll yield
Roll Yield and Commodity Yield Curve
July 19th, 2010 · 3 Comments · Data, Futures
We have seen previously that backwardation and/or contango can induce a fairly large drift between the performance of an instrument’s spot market and its corresponding futures market. This phenomenon can be described as roll yield of futures trading and I suggested it was one of the four components in Trend Following returns. As per that [...]
Tags: roll yield·yield curve
A peek in "Wizard" Eckhardt's office…
July 16th, 2010 · No Comments · Off-track
A bit of a Friday Funny/entertainment post.. If you fancy taking an interactive stroll in the Chicago office of famous Trend Following Wizard, Bill Eckhardt who was also behind the Turtle Traders experiment, here are some pictures of its trading operation (Eckhardt Trading) in Chicago: To be honest, the office looks fairly standard for a [...]
the State of Trend Following in June
July 14th, 2010 · 6 Comments · the State of Trend Following, Trend Following
With some delay, here is the July update of the State of Trend Following report. With quite a few changes this month. Most systems use ATR-based stops/position sizing and most used to be set at 5x ATR – regardless of the timeframe of the signal (ie. 20 to 200 days) – which was not making [...]
Tags: report
