Trend following systems

I am interested in developing some trend following strategies with my custom backtesting web app. Ideally, I would like to find some systems that "work" and use that as a starting point for my research. Could anyone recommend any resources where I could find such systems (could be a book, ET thread, other site, systems for sale, etc). I am willing to spend money if it will shorten my research time.

thanks!
fan27

 

http://www.elitetrader.com/et/index.php?threads/my-trend-following-system.283704/

 

Here are the original mechanical rules for the Turtle trading systems. http://www.dailystocks.com/turtlerules.pdf

You can also test a variety of moving averages, Bollinger Band breakouts, etc. Ultimately, most money managers who employ trend following strategies keep the systems simple, and then employ multiple strategies to capture different pieces of the trend.

 

Thanks for the posts! There is some good info in the Turtle article. Regarding "money managers using multiple strategies to capture different pieces of the trend"...does this imply they would trading on different time frames (i.e. apply the same or slightly varied strategy to both the Daily and Weekly charts)?

fan27

 

They might use multiple time frames or simply longer term systems, or both. For example, they might use 20 day breakouts and 100 day breakouts.

 

Cool! Looks like that is similar to this approach:

http://bpgassociates.com/docs/Adaptive-Asset-Allocation-A-Primer.pdf

I currently have a Relative Strength feature in my tool that I will make available soon. It is not currently as advanced as the techniques in the PDF above but it is still a work in progress.

 

Just enter long or short and use a trailing stop. This is trend-following.

 

Flip a coin for long or short

 

TradersStudio can do this type of analysis.