Welcome to my online repository of research and insights on automated trading system development
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 classic [...]
Entries Tagged as 'Trend Following'
Were the Turtles just lucky?…
March 8th, 2010 · 12 Comments · Strategies, Trend Following
Tags: eckhardt·optimisation·Richard Dennis·Trend Following·Turtle
The State of Trend Following report – Draft V0.1
March 2nd, 2010 · 13 Comments · Trend Following, the State of 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
The principle [...]
Tags: CSI·report·Trading Blox·Trend Following
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 to [...]
Moving Median: a better indicator than Moving Average?
January 14th, 2010 · 7 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 and [...]
Tags: average·comparison·crossover·median·performance·robust·Trend Following
Covel’s Trend Following: A review
December 1st, 2009 · 15 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 is not what [...]
Tags: michael covel·Trend Following
Are wizards really worth their fees?
October 27th, 2009 · 2 Comments · Strategies, Trend Following
You know the concept: you have some Cash saved up, you give it to one of the Trend Following Wizards, they give you a very decent return over the long run and take their share of the cake in return for it: EVERYBODY’s HAPPY!
Or are they you?…
Let’s explore the impact of fees charged by [...]
Tags: fees·Trend Following
