Futures - Trend Following

Discussion in 'Strategy Building' started by bolter, Aug 25, 2005.

  1. bolter


    I'm looking to augment my existing short and medium term futures trend following models with something longer term (say average winning trade 6 months +++). I've been running simulations on all sorts of simple stop-and-reverse models (MA's, breakouts etc), using a diversified basket of 9 asset classes and 35 global futures markets.

    What I am discovering is that since Q2 2003 many of the standard SAR models have done very well from the long side but are getting killed on short trades. Hardly surprising since apart from grains and some softs everything has been rallying (reflation anyone?). I've been experimenting with various techniques for minimising the impact of this phenomenon, with only modest success.

    My questions then are:

    1. Has anybody else observed this characteristic of LTTF SAR models of late?

    2. How have you minimised drag on performance from poor performing short trades? Money management, filters etc?

    3. Have the markets finally figured out how edge out LTTF SAR models?

    Would appreciate your thoughts, experiences, suggestions etc.
  2. Breakouts are for the 90's!