Systematic Trading research and development, with a flavour of Trend Following
Au.Tra.Sy blog – Automated trading System header image 2

Entries Tagged as 'autocorrelation'

Intricacies of Market and Trend Following Changes

March 10th, 2010 · 14 Comments · Strategies

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 […]

[Read more →]

Tags: ······

Why Trend Following works: Autocorrelation?

February 24th, 2010 · 13 Comments · Data, Strategies, Trend Following

Is 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 […]

[Read more →]

Tags: ····