Trend Following Research (PDFs)

Discussion in 'Events' started by Trend Following, May 29, 2013.

  1. Pipflow

    Pipflow


    Better to have your own strategy working than the purchased EA s to make wonders, just my thought. But if you are already successful with it then your wish. :)
     
    #31     Oct 2, 2013
  2. Trend Following

    Trend Following Sponsor

    #32     Dec 21, 2013
  3. Trend Following

    Trend Following Sponsor

    #33     Dec 21, 2013
  4. Trend Following

    Trend Following Sponsor

    Two centuries of trend following:

    http://arxiv.org/abs/1404.3274

    Synopsis: We establish the existence of anomalous excess returns based on trend following strategies across four asset classes (commodities, currencies, stock indices, bonds) and over very long time scales. We use for our studies both futures time series, that exist since 1960, and spot time series that allow us to go back to 1800 on commodities and indices. The overall t-stat of the excess returns is ≈5 since 1960 and ≈10 since 1800, after accounting for the overall upward drift of these markets. The effect is very stable, both across time and asset classes. It makes the existence of trends one of the most statistically significant anomalies in financial markets. When analyzing the trend following signal further, we find a clear saturation effect for large signals, suggesting that fundamentalist traders do not attempt to resist "weak trends", but step in when their own signal becomes strong enough. Finally, we study the performance of trend following in the recent period. We find no sign of a statistical degradation of long trends, whereas shorter trends have significantly withered.
     
    #34     May 18, 2014
  5. maler

    maler

    Interesting study. So trend following does not work
    in markets under heavy intervention,
    and such interventionist periods can last a long time.
    That 200 year chart of the debt/GDP has peaks associated
    with the revolutionary war, civil war, ww1 and ww2.
    Given the recent ramp up, who are we fighting now?
     
    #35     May 20, 2014