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

Entries Tagged as 'levy'

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, […]

[Read more →]

Tags: ·······