Welcome to my online repository of research and insights on automated trading system developmentTo 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 [...]
Entries Tagged as 'Strategies'
Better Trend Following via improved Roll Yield
July 26th, 2010 · 26 Comments · Futures, Strategies, Trend Following
Tags: DB·roll yield
Trend Following returns breakdown
July 1st, 2010 · 4 Comments · Strategies, Trend Following
Following the previous post on backwardation, contango and crude oil, let’s look at how several factors can play a part in the overall trend following trading system performance.
I have previously referenced the study by EDHEC Risk, which shows the different sources of return of a Trend Following strategy.
The authors build the Mt. Lucas Management (MLM) [...]
Tags: backwardation·contango·Futures·research paper·rollover
A trick to reduce Drawdowns
April 28th, 2010 · 6 Comments · Backtest, Strategies, Trend Following
Drawdowns represent the scary part of trading system statistics. The drawdown number emphasises the level of loss you might suffer while trading that system. It is risk to your trading capital.
Now, for a quick disclaimer: I do not have a magic trick to simply reduce drawdowns… but with this cheeky title, I wanted to draw [...]
Trading Regimes as Strategy Filters
April 12th, 2010 · 5 Comments · Strategies
on-stationarity of the markets… That old chestnut!
Everything would be so much easier (boring?) if markets were not changing all the time…
Non-Stationarity, is defined as a quality of a process in which the statistical parameters (probability distributions) of the process change with time.
One of the consequences is that it might not make much sense to consider [...]
Intricacies of Market and Trend Following Changes
March 10th, 2010 · 13 Comments · Strategies
In the last post we looked at the Turtle Trading system and saw that its performance went from outstanding for a long period of time to flat for 20 years. This opens a can of worms:
Does Trend Following work, is it dead, do markets change, does trend following rules need to adapt to these changes?
Let’s [...]
Tags: autocorrelation·distribution·kurtosis·michael covel·niederhoffer·Turtle·walk-forward
Were the Turtles just lucky?…
March 8th, 2010 · 12 Comments · Strategies, Trend Following
Most people will have heard of the mythical Turle Traders, a group of novice traders set up and mentored by legendary “Prince of the Pit” Richard Dennis.
Dennis did so to set up an old argument with fellow trader Bill Eckhardt on whether trading could be taught or not (not unlike the story in classic [...]
Tags: eckhardt·optimisation·Richard Dennis·Trend Following·Turtle
