Welcome to Jez Liberty's home for sharing research and insights on automated trading systems development. 
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 [...]
Entries Tagged as 'Strategies'
Intricacies of Market and Trend Following Changes
March 10th, 2010 · 4 Comments · Strategies
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
A practical Guide to ETF Trading Systems
March 4th, 2010 · 3 Comments · Books, Strategies, Trend Following
It’s been four months since the last book review. I wanted to make book reviews a more frequent feature of the blog. Problem is I often start few books at once but struggle to finish them.
The book for today’s review is A Practical Guide to ETF Trading Systems by Anthony Garner, who is a Trend [...]
What place for the small fish in the big trading pond?
February 22nd, 2010 · No Comments · 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
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 to [...]
Moving Median: a better indicator than Moving Average?
January 14th, 2010 · 7 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 and [...]
Tags: average·comparison·crossover·median·performance·robust·Trend Following
How discretion will kill you
December 11th, 2009 · 3 Comments · Strategies
Under this “dramatic headline” is a pledge to cut down discretionary trading and focus on systematic automated trading.
I think many traders (and I include myself) suffer from “bad” discretionary trading: entering a trade without a proper trading plan or system, only based on “gut feelings”.
I am no exception and have recently experienced being in trades [...]
Tags: discretionary
The Cheetah and the Cockroach: a robust story
December 4th, 2009 · 8 Comments · Backtest, Strategies
Anybody researching automated trading systems quickly comes to realise that robustness is very much a required aspect of any system. Robust systems are sturdy and able to withstand all that the markets can throw at them without collapsing in ruin.
To explore this further, let’s study the animal world with the Cheetah and the Cockroach – [...]
Tags: cheetah·cockroach·Michael Clarke·robust
