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

Entries Tagged as 'Stats'

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 […]

[Read more →]

Tags: ····

Stats… and Bill Eckhardt

February 8th, 2010 · 6 Comments · Books

Over the New Year break I read the illustrated Cartoon Guide to Statistics which was great to go over the basics of classical statistics, and the format makes it easy to pick it up for a few minutes reading. I have also been recommended, and bought Statistics Unplugged – which deals with the same topics […]

[Read more →]

Tags: ··