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

A Different Application of the Bootstrap

September 28th, 2010 · 3 Comments · Backtest

In the last volatility filters post we saw that trades from a simple Trend Following system (20-50 MA cross-over) had different expectancy based on the relative level of volatility at trade entry. This suggested that a filter blocking trades most volatile at entry (in the top decile: 90 to 100% of past volatility) would raise […]

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Volatility Filters

September 23rd, 2010 · 6 Comments · Backtest, Trend Following

I have touched on trading regimes before; and looking at volatility-based regime switching was in my research stack since then. Today, I’m looking at a practical example: Trend Following results based on entry vs. past volatility. System Code Concept I developed a simple Trading Blox filter, which calculates the current volatility (via the Average True […]

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