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

Entries Tagged as 'niederhoffer'

Dear Mr Eugene Fama, are you kidding?…

October 14th, 2010 · 18 Comments · Trend Following

Or maybe in serious state of denial… In this “open question” to Fama (and his sidekick French), I am referring to this recent entry on their forum: “Market Timing with Moving Averages: An ancient tale with no empirical support”… There is only a short bridge to cross to extend this quote; and interpret what Fama […]

[Read more →]

Tags: ··

Intricacies of Market and Trend Following Changes

March 10th, 2010 · 14 Comments · Strategies

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 […]

[Read more →]

Tags: ······