Welcome to Jez Liberty's home for sharing research and insights on automated trading systems development. 
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 changes?
Let’s [...]
Entries Tagged as 'distribution'
Intricacies of Market and Trend Following Changes
March 10th, 2010 · 4 Comments · Strategies
Tags: autocorrelation·distribution·kurtosis·michael covel·niederhoffer·Turtle·walk-forward
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 [...]
Why Trend Following works: look at the Distribution
October 21st, 2009 · 8 Comments · Strategies, Trend Following
One of the most important underlying concepts that contribute to the success of Trend Following is the fact that the strategy is based on the non-normality of market returns. Let me explain.
Trend followers position themselves to profit from and capture the “fat tails” exhibited in market returns distribution. In a fat-tail distribution (Power law, Levy [...]
Tags: dave harding·distribution·fat-tail·levy·mandelbrot·power law·Trend Following·winton capital
