Systematic Trading research and development, with a flavour of Trend Following
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Entries Tagged as 'correlation'

Off-The-Grid

May 26th, 2011 · 2 Comments · Blog

Just a quick post to let you know that the blog will go into “hibernation mode” for roughly a month, as I am going travelling to very remote places for the next 4-5 weeks, most of which will be without internet access or even electricity… It will be an interesting “jump” into a “disconnected” world, […]

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Eighteenth Century Trend Following and More History

April 11th, 2011 · 20 Comments · Trend Following

We have all heard the timeless adage “Cut your losses, let your winners run”, which forms the central tenet of Trend Following. Proverbs travel through generations and their origins get lost, so I was quite interested when I found out about an 1838 book, The Great Metropolis, Vol II by James Grant, tracing back the […]

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Trend Following Wizard Correlations Heatmap [Video]

March 10th, 2011 · No Comments · Data, Trend Following Wizards

One of my favourite non-trading-related blogs is FlowingData, a visualization and statistics site by Nathan Yau. I find Data visualization fascinating and inspiring. A good visualization usually “brings data to life” making it easier to understand. Most visualizations featured on FlowingData are very aesthetically pleasing, making the subject a sort of enjoyable and useful “geeky […]

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ETF v. Futures: a Quantification

February 9th, 2011 · No Comments · Code, Data, Equities, Futures

I have already covered the idea of using ETFs in place of Futures. Today, I wanted to run a quantitative comparison between the two instrument types The ETF sector has been growing at an impressive rate, with new offerings popping up every month and providing a wider choice in selecting a portfolio to trade. One […]

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A Look back at Trend Following in 2010

January 26th, 2011 · 22 Comments · the State of Trend Following, Trend Following, Trend Following Wizards

2010 was a good year for Trend Following. The year closed on a high for both Trend Following Wizards and the Trend Following index of the simple strategies I track in the State of Trend Following report. Now that all results are in, it is a good time to look back at the results, crunch […]

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