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

Futures Trading and Small Account

July 12th, 2011 · 17 Comments · Futures, Money Management, Strategies

I recently spent more time doing “reading research” rather than “testing research”. As result, this post resembles a collection of links on ideas seen on the web of how to trade futures with a small account – one of the topics I have been interested in. The Issue: Diversification with Small Account A small account […]

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Diversify to Manage Risk: a Lesson from Medieval Peruvian Farmers

March 4th, 2011 · 6 Comments · Off-track

I recently came across the story of how ancient Peruvian farmers used the concept of diversification in order to reduce their risks. I liked the comparison to trading diversification and I thought it would be a good subject for a quick “Friday post”. I was pointed to this story by a new interesting systematic trading […]

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The Good, the Bad and the Ugly Portfolios

November 18th, 2010 · 13 Comments · Backtest

Following the last study on diversification using a “portfolio randomizer”, I wanted to further explore further the concept of hindsight bias in portfolio selection and how it can impact performance. This short post is an illustration of that concept. 51 Instruments, 40 Picks, How Many Combinations? The answer is… a lot: there are 47,626,016,970 ways […]

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Trading Diversification: A Free Lunch?

November 10th, 2010 · 20 Comments · Backtest, Money Management, Strategies, Trend Following

  The more I think about system design, the more I get convinced that diversification is a key to great performance. As the cliche goes: Diversification is the only free lunch on Wall Street. This is a concept equally shared by Modern Portfolio Theorists and Trend Following Wizards, who usually emphasise the concept – and […]

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What place for the small fish in the big trading pond?

February 22nd, 2010 · 1 Comment · Strategies

Being a small trader and “taking on” the big funds such as Winton Capital or Renaissance Technologies can seem as arduous as climbing the Everest. You might think: “What chance do I have to even come close to these guys and their army of PhDs? I might just send them a cheque to manage my […]

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