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

Further Musings on Randomness

March 23rd, 2011 · 32 Comments · Backtest

The last post on “Monkey-Style” trading with random entries and trailing stop exits generated a fair bit of interest, comments and questions. In this follow-up post, I want to explore the concept further and address some of the points raised in the discussions resulting from that study. Before I get started, I want to clarify […]

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Trend Following, “Monkey Style”

March 8th, 2011 · 43 Comments · Strategies

A while ago, I used a quote from Winton manager and trend Follower David Harding (found in this interview) saying: If you put in stops and run your profits and trade randomly you make money; and if you put in targets and no stops, and you trade randomly you lose money. So the old saw […]

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