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

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 […]

[Read more →]

Tags: ··

Were the Turtles just lucky?…

March 8th, 2010 · 25 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 […]

[Read more →]

Tags: ····

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 […]

[Read more →]

Tags: ···

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 […]

[Read more →]

Tags: ···

Moving Median: a better indicator than Moving Average?

January 14th, 2010 · 15 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 […]

[Read more →]

Tags: ······

Covel's Trend Following: A review

December 1st, 2009 · 21 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 […]

[Read more →]

Tags: ·

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 […]

[Read more →]

Tags: ·

Why Trend Following works: look at the Distribution

October 21st, 2009 · 7 Comments · Strategies, Trend Following

One of the most important underlying concepts that contribute to the success of Trend Following is the fact that the strategy is based on the non-normality of market returns. Let me explain. Trend followers position themselves to profit from and capture the “fat tails” exhibited in market returns distribution. In a fat-tail distribution (Power law, […]

[Read more →]

Tags: ·······

What can the Whipsaw Song by Ed Seykota teach you?

October 9th, 2009 · No Comments · Off-track, Trend Following

Ed Seykota is a hugely succesful trend follower. He also keeps a very low-profile. You will not see him on CNBC, so any sort of public appearance where he can distil some of his wisdom is a rare “gift”. The main message of the song is to “stick to the rules” – which is a […]

[Read more →]

Tags: ·