Au.Tra.Sy blog – Automated Trading System

Systematic Trading research and development, with a flavour of Trend Following

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Entries Tagged as 'Trend Following'

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 [...]

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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 [...]

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The State of Trend Following report – Draft V0.1

March 2nd, 2010 · 13 Comments · Trend Following, the State of Trend Following

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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Why Trend Following works: Autocorrelation?

February 24th, 2010 · 5 Comments · Data, Strategies, 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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Trend Following Wizards – January 2010

February 10th, 2010 · 3 Comments · Fund Review, Trend Following Wizards performance

- - -  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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Mammoth Hedge Fund moves into Trend Following

January 28th, 2010 · 4 Comments · Futures, Trend Following

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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Trend Following Wizards – December 09

January 18th, 2010 · 4 Comments · Fund Review, Trend Following, Trend Following Wizards performance

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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Trend Following Wizards – November 09

December 15th, 2009 · 3 Comments · Fund Review, Trend Following, Trend Following Wizards performance

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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Price Distributions and Trend Following

December 8th, 2009 · 7 Comments · Data, Forex, Trend Following

I posited in an earlier post that fat tails are one of the main reasons why trend following works. The underlying concept can be summarized as follows: trend following attempts to capture big price moves (a.k.a. trends). Since price distributions are leptokurtic (i.e. they exhibit fat-tails) long trends occur at abnormal frequency, providing greater sources [...]

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Trend Following Wizards – October 09

November 17th, 2009 · No Comments · Fund Review, Trend Following, Trend Following Wizards performance

First of all, apologies for the lateness of this report. All funds reported below publish their results at different times of the month so I have to wait for all of them to publish.
We can see that there is still a “red sea” of negative performance in October, both for the monthly and YTD reporting. [...]

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