Welcome to my online repository of research and insights on automated trading system development
I recently spent more time doing “reading research” rather than “testing research”. As result, this post resembles a collection of links on ideas seen on the web of how to trade futures with a small account – one of the topics I have been interested in. The Issue: Diversification with Small Account A small account [...]
Entries Tagged as 'Strategies'
Futures Trading and Small Account
July 12th, 2011 · 17 Comments · Futures, Money Management, Strategies
Tags: diversification
Some Complications of Monthly Trading
May 18th, 2011 · 4 Comments · Equities, Strategies
I was recently looking at monthly momentum/rotation trading systems with stocks. The concept seems to have become quite popular in the blogosphere in the last few years. See this earlier post for another monthly trading discussion The generic concept for a rotation strategy is usually fairly simple: pick a relatively large set of instruments, calculate [...]
Tags:
Trend Following, “Monkey Style”
March 8th, 2011 · 32 Comments · Strategies
A while ago, I used a quote from Winton manager and trend Follower David Harding (found in this interview) saying: If you put in stops and run your profits and trade randomly you make money; and if you put in targets and no stops, and you trade randomly you lose money. So the old saw [...]
Tags: random
How to Start Trading a New System?
February 3rd, 2011 · 6 Comments · Strategies
Today is the big day… After months or years of research, your trading system is finally deemed ready for production, and the latest back-test shows open trades as of yesterday (from earlier signals). How do you handle these positions in your new system today? You have two basic options: Skip these positions and only enter [...]
Tags: Backtest
Trading Diversification: A Free Lunch?
November 10th, 2010 · 20 Comments · Backtest, Money Management, Strategies, Trend Following
The more I think about system design, the more I get convinced that diversification is a key to great performance. As the cliche goes: Diversification is the only free lunch on Wall Street. This is a concept equally shared by Modern Portfolio Theorists and Trend Following Wizards, who usually emphasise the concept – and [...]
Tags: diversification
Trade with the "Big" Trend
November 8th, 2010 · 4 Comments · Strategies, Trend Following
I was recently asked by a reader how one could go about improving a system by using additional filters to apply to the system signals. Volatility filtering is something that was covered recently; but another “classic” filter is based on an extension of the concept of trading with the trend: by considering the higher timeframe [...]
Tags: filter
