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

Why Trend Following works: Autocorrelation?

February 24th, 2010 · 13 Comments · Data, Strategies, Trend Following

Is it important to understand why Trend Following works (ie what are the sources of its profitability)?   I believe yes. Because markets are non-stationary (changing all the time), their characteristics – including those at the root of Trend Following profits – are changing too.   Understanding these market characteristics is a first step towards […]

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How to get out of a locked-limit situation

January 26th, 2010 · No Comments · Futures

Locked-limit panicked trader? photo: artemuestra@flickr Every prudent trader will ensure they minimise their risk by placing stop-loss orders where they should get out of the market. This is one of trading basic truths: Cut your losses short. However there is one case where the Futures market will not let you exit at any price: when […]

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