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

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 […]

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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 […]

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Should you be trading a chameleon?

November 3rd, 2009 · No Comments · Backtest, Strategies

Thanks to marfis75 for Mr. DJ Chameleon There are 2 approaches to systems parameters: Decide on a set of parameters for the strategy and stick to it Keep changing the system parameters based on the latest market conditions (chameleon approach) The chameleon method will inherently be lagging and, as a result, might not give you […]

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Are wizards really worth their fees?

October 27th, 2009 · 2 Comments · Strategies, Trend Following

You know the concept: you have some Cash saved up, you give it to one of the Trend Following Wizards, they give you a very decent return over the long run and take their share of the cake in return for it: EVERYBODY’s HAPPY! Or are they you?… Let’s explore the impact of fees charged […]

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Why Trend Following works: look at the Distribution

October 21st, 2009 · 8 Comments · Strategies, Trend Following

One of the most important underlying concepts that contribute to the success of Trend Following is the fact that the strategy is based on the non-normality of market returns. Let me explain. Trend followers position themselves to profit from and capture the “fat tails” exhibited in market returns distribution. In a fat-tail distribution (Power law, […]

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Are you reading the essential books?

October 13th, 2009 · 4 Comments · Backtest, Blog, Books, Code, Data, Development, Money Management, Software, Strategies, Trend Following

I am bit of a geek and this is especially true when it comes to books. I firmly believe in self-development and I think books are a great medium to learn many things. Ok, the internet is so great to learn about new things; but nothing beats a good in-depth book(s) to really learn a […]

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