Entries Tagged as 'autocorrelation'
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 […]
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Tags: autocorrelation·distribution·kurtosis·michael covel·niederhoffer·Turtle·walk-forward
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 […]
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Tags: autocorrelation·distribution·kurtosis·options·Stats