Welcome to my online repository of research and insights on automated trading system development
The “Summer break” has not been very clement with Trend Following for this month of July 2010. The composite index of the 12 “control” Trend Following systems that I check in this report shows a performance of -4.3%, with a few systems posting losses around the 15% mark.
Report Changes
As discussed last month, the system performances [...]
Tags: report
I am firm believer in diversification, and so are most of the Trend Following Wizards tracked on the AuTraSy blog. How about applying diversification to the Trend Following Wizard funds themselves?
Instead of trying to see which funds performed best (as I did previously with the Geometric Information Ratio ranking), I wanted to see what sort [...]
Tags: wizards
To 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 [...]
Tags: DB·roll yield
With some delay, here is the July update of the State of Trend Following report. With quite a few changes this month.
Most systems use ATR-based stops/position sizing and most used to be set at 5x ATR – regardless of the timeframe of the signal (ie. 20 to 200 days) – which was not making [...]
Tags: report
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