trend following

Recently I've been reading about trading strategies which maximise geometric returns. Gamblers might be familiar with a term that means the same thing, "Kelly criterion". I won't dig too much into what it is, you can just Google the term to understand more. But suffice it to say that it is a...

Hi All, I have decided to get on the systematic trading bandwagon but to do something different I thought it would be nice to try trade a system using US stocks. Basic system parameters will be -Starting capital $50,000 USD -Daily system -No more than 2 trades per day -Will trade any stock...

Richard Dennis made lots of money with trend following in the 1970s. He even raised Turtles who did just as well. Unfortunately, he did not do well later when trend following seem to lost its effectiveness later on in the commodities markets. Why did trend following fail to work in the...

Why the preference for trend-following and the neglect for mean-reversion strategies?

Hey guys/girls, I've been a long time non-contributing reader of ASF - hopefully this thread will be a good start to correcting my imbalance. The purpose of this thread is to provide a diary/update-log for two systematic equity trend-following portfolio's I run (a SMSF Portfolio and...

Hi guys, I was wondering if someone could help me with an idea I had in considering long term trend following systems which would usually use the cash index or equivalent vehicle to trade. For example a simple ruleset: * At the final day of each month: ** If the closing price of the cash...

Any experiences to share on trend following with futures? Most of the stuff I've read or seen has been trend following with stocks rather than futures. Commodities do seem to be a bit more 'trendy' than equities. Looking at a system like this one...

First off, I apologise if this has been covered elsewhere; I had a brief look but couldn't see this specific question answered. How much emphasis do you/should you be placing on the market depth of a stock when buying and selling? For example, is it usually best practice to buy a stock when...

Hi, This is my first post on the forum. I'd like to share one of the first piece of research I have done. I really hope to get forum members take on it about my process and conclusions. Thank you very much. ------ It has been documented in academic white papers and other websites that bear...