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

A Look back at Trend Following in 2010

January 26th, 2011 · 22 Comments · the State of Trend Following, Trend Following, Trend Following Wizards

2010 was a good year for Trend Following. The year closed on a high for both Trend Following Wizards and the Trend Following index of the simple strategies I track in the State of Trend Following report. Now that all results are in, it is a good time to look back at the results, crunch [...]

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Were the Turtles just lucky?…

March 8th, 2010 · 17 Comments · Strategies, Trend Following

  Most people will have heard of the mythical Turle Traders, a group of novice traders set up and mentored by legendary “Prince of the Pit” Richard Dennis. Dennis did so to set up an old argument with fellow trader Bill Eckhardt on whether trading could be taught or not (not unlike the story in [...]

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The State of Trend Following report – Draft V0.1

March 2nd, 2010 · 13 Comments · the State of Trend Following, Trend Following

I just have to get something out on this 1st beginning of March. I could keep polishing this report until Christmas… But instead here is a first draft. The State of Trend Following report will be published at the beginning of each month (expect it to be evolving for the first few months). The Concept [...]

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MMDI Portfolio Filter in Trading Blox

February 2nd, 2010 · 4 Comments · Backtest, Futures, Software, Strategies

David Varadi, from the very good CSS Analytics blog, pointed me to his interesting findings on a Mean Median Divergence Indicator (MMDI) he devised as a replacement to the standard MACD. I wanted to test the MMDI as a follow-up to Moving Median: a better indicator than Moving Average?. This also provided a good opportunity [...]

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Moving Median: a better indicator than Moving Average?

January 14th, 2010 · 13 Comments · Futures, Strategies

While searching for robustness, you might come across the term of robust statistical estimator: the median, for instance, is a robust measure of central tendency, while the mean (average) is not (the latter is much more sensitive to outliers). Robustness in trading is a tough beast to tame and understand. The more “robust” the research [...]

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Covel's Trend Following: A review

December 1st, 2009 · 16 Comments · Books

Before I start let me state that this book has raised some controversies. However I really like it (I own two different editions of it) and I’ll explain why. What this book is not If you are looking for the Holy Grail of trading systems and/or a complete “turn-key” trading system: look elsewhere as this [...]

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