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

Detrending for Trend Following?

March 17th, 2010 · 20 Comments · Backtest, Data, Trend Following

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 […]

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