Systematic Trading research and development, with a flavour of Trend Following
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Entries Tagged as 'Futures'

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 [...]

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Crude Oil, Contango and Roll Yield for Commodity Trading

June 8th, 2010 · 2 Comments · Futures

We have already discussed how roll yield can negatively affect the overall return of a commodity holding The impact of contango or backwardation can be relatively large compared to the overall return. Petroleum has unfortunately been in the news lately. Nevertheless, Crude Oil performance last year gave us a good illustration of the impact that [...]

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MMDI Portfolio Filter in Trading Blox

February 2nd, 2010 · 4 Comments · Backtest, Futures, Software, Strategies

David Varadi, from the very good CSS Analytics blog, pointed me to his interesting findings on a Mean Median Divergence Indicator (MMDI) he devised as a replacement to the standard MACD. I wanted to test the MMDI as a follow-up to Moving Median: a better indicator than Moving Average?. This also provided a good opportunity [...]

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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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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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