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

Better Trend Following via improved Roll Yield

July 26th, 2010 · 31 Comments · Futures, Strategies, Trend Following

To round off a series on backwardation, contango and roll yield (posts 1, 2 and 3), let’s put all this info together and use it in an innovative trading strategy to show how it can improve the performance of a Trend Following system by optimising its roll yield component (note: this could also be applied […]

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