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

ETF v. Futures: a Quantification

February 9th, 2011 · No Comments · Code, Data, Equities, Futures

I have already covered the idea of using ETFs in place of Futures. Today, I wanted to run a quantitative comparison between the two instrument types The ETF sector has been growing at an impressive rate, with new offerings popping up every month and providing a wider choice in selecting a portfolio to trade. One […]

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Futures vs ETFs

September 21st, 2010 · 2 Comments · Futures, Instruments

Futures have been the main focus on the Au.Tra.Sy blog (in terms of instruments) but the ETF side of things has grown quickly very over the last decade and they do offer an alternative worth looking into. Smaller Trading Size = Greater Diversification I am a great believer in diversification. I think it is an […]

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A practical Guide to ETF Trading Systems

March 4th, 2010 · 10 Comments · Books, Strategies, Trend Following

It’s been four months since the last book review. I wanted to make book reviews a more frequent feature of the blog. Problem is I often start few books at once but struggle to finish them. The book for today’s review is A Practical Guide to ETF Trading Systems by Anthony Garner, who is a […]

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What place for the small fish in the big trading pond?

February 22nd, 2010 · 1 Comment · Strategies

Being a small trader and “taking on” the big funds such as Winton Capital or Renaissance Technologies can seem as arduous as climbing the Everest. You might think: “What chance do I have to even come close to these guys and their army of PhDs? I might just send them a cheque to manage my […]

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