We’re not rockers… but let’s look at detrending price series data for backtesting: Why, How and its relevance for Trend Following.
Why Detrend?
The main premise for detrending data is to remove the underlying trend effect on the strategy. This is due to the position bias that the strategy can have (eg being long more often than [...]
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Tags: detrending
Follow the Trend Following Wizards updates with the dedicated monthly feed. You can either access it via RSS or by subscribing by email
Quite a diversified set of results this month for the wizards with a median and average return around +0.5%. YTD performance still in the red at an a median/average around -3%. This is [...]
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Tags: Abraham Trading·AHL·Aspect Capital·Bill Dunn·Chesapeake·Christian Baha·Clarke Capital·dave harding·Drury Capital·eckhardt·EMC Capital·Hawksbill·Howard Seidler·Hyman Beck·John W Henry·Larry Hite·Liz Cheval·Man·Millburn Ridgefield·Paul Rabar·Saxon Investment·Superfund·Tom Shanks·Transtrend·winton capital
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 [...]
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Tags: eckhardt·optimisation·Richard Dennis·Trend Following·Turtle
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 [...]
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Tags: Anthony Garner·Bollinger·Buy and Hold·etf·Momentum
I just have to get something out on this 1st beginning of March. I could keep polishing this report until Christmas… But instead here is a first draft. The State of Trend Following report will be published at the beginning of each month (expect it to be evolving for the first few months).
The Concept
The principle [...]
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Tags: CSI·report·Trading Blox·Trend Following
s it important to understand why Trend Following works (ie what are the sources of its profitability)?
I believe yes. Because markets are non-stationary (changing all the time), their characteristics – including those at the root of Trend Following profits – are changing too.
Understanding these market characteristics is a first step towards being able to identify [...]
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Tags: autocorrelation·distribution·kurtosis·options·Stats
- - - Note: Starting this month, I have created a dedicated feed solely for the Trend Following Wizards monthly updates. You can either access it via RSS or by subscribing by email. - - -
Not a good start of the year for Trend Followers – starting 2010 in the same way as 2009 closed: by very negative performances.
Well, [...]
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Tags: Abraham Trading·AHL·Aspect Capital·Bill Dunn·Chesapeake·Christian Baha·Clarke Capital·dave harding·Drury Capital·eckhardt·EMC Capital·Hawksbill·Howard Seidler·Hyman Beck·John W Henry·Larry Hite·Liz Cheval·Man·Millburn Ridgefield·Paul Rabar·Saxon Investment·Superfund·Tom Shanks·Transtrend·winton capital
AQR is a top hedge fund, managing around $24B in Assets. Lately, they have been making noise about their moving into the Managed Futures space (a.k.a. Trend Following). They seem to be working at institutional investor’s acceptance of trend following as an “investment” concept. They might just be trying to catch up with another mammoth [...]
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Tags: AQR·research paper
Not a good year for Trend Followers! Closing December with a performance of -4.37% on average, most funds we follow “saw red” in 2009 (-7.3% on average). Well, this is part of the game: you have to risk (and lose) some to make some…
Even the “mammoth” funds that are Man or Transtrend finished the year [...]
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Tags: Abraham Trading·AHL·Aspect Capital·Bill Dunn·Chesapeake·Christian Baha·Clarke Capital·dave harding·Drury Capital·eckhardt·EMC Capital·Hawksbill·Howard Seidler·Hyman Beck·John W Henry·Larry Hite·Liz Cheval·Man·Millburn Ridgefield·Paul Rabar·Saxon Investment·Superfund·Tom Shanks·Transtrend·winton capital
Excellent month for Trend Following Wizards: all are in the black with a 6.75% monthly gain on average!
It has been two months in a row that the Trend Following wizards exhibit very strong correlated results, which tends to reinforce the opinion that all trend following CTAs are not so different – except in terms of [...]
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Tags: Abraham Trading·AHL·Aspect Capital·Bill Dunn·Chesapeake·Christian Baha·Clarke Capital·dave harding·Drury Capital·eckhardt·EMC Capital·Hawksbill·Howard Seidler·Hyman Beck·John W Henry·Larry Hite·Liz Cheval·Man·Millburn Ridgefield·Paul Rabar·Saxon Investment·Superfund·Tom Shanks·Transtrend·winton capital