Systematic Trading research and development, with a flavour of Trend Following
Au.Tra.Sy blog – Automated trading System header image 2

Entries Tagged as 'filter'

Trade with the "Big" Trend

November 8th, 2010 · 4 Comments · Strategies, Trend Following

I was recently asked by a reader how one could go about improving a system by using additional filters to apply to the system signals. Volatility filtering is something that was covered recently; but another “classic” filter is based on an extension of the concept of trading with the trend: by considering the higher timeframe […]

[Read more →]

Tags:

Trading Regimes as Strategy Filters

April 12th, 2010 · 5 Comments · Strategies

Non-stationarity of the markets… That old chestnut! Everything would be so much easier (boring?) if markets were not changing all the time…   Non-Stationarity, is defined as a quality of a process in which the statistical parameters (probability distributions) of the process change with time. One of the consequences is that it might not make […]

[Read more →]

Tags: ····