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Tag Archives: trend following
The Most Important Performance Measure of Trading Strategies
Shortly after my post on Kelly maximization I received a number of emails from traders who are developing systems but are, understandably so in my opinion, a bit confused about which performance criterion or criteria to use when evaluating them. I understand why those … Continue reading
Posted in Trading System Analysis, Trading System Design, Trading System Synthesis
Tagged genetic optimization, genetic programming, payoff ratio, profit factor, risk of ruin, trend following, win rate
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Trend-following Disaster on the Horizon?
October was another bad month for some trend-following funds adding to the monthly losses realized since the middle of this year. Funds with exceptional historical records in terms of annual return and drawdown are down 25% or even more year-to-date, making someone wonder whether the negative … Continue reading
Why trend following is hard – a quantitative answer
In this post I will try to demonstrate with a quantitative analysis why trend following is harder than other trading methods that use much shorter timeframes . I will start with the fundamental statement that a trading system is profitable if the sum of its … Continue reading
Commoditization of Trend following will not affect trends
Another excellent article by Jez Liberty backed by numerical results, something that is uncommon nowadays. These are my views as related to alpha, beta and the commoditization of trend following: