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Just a curious question for all the trend followers out there. What are the most significant changes or rules that you have introduced to a trend following system that completely turned the system from an average one into one that is worthy to be traded? I am asking because I am constantly...

You will always find examples of how traders double or triple their money in a matter of weeks or months. But strangely, they never become rich doing that. I think short term performance can be totally random. If you use a lot of leverage, eventually you will get big wins. But such performance...

I use Udemy a lot and it is a good place to start. Typically, Udemy courses don't deep dive into the fine details. But it will get you to learn the most common and useful functions of the language. If you are on a tight budget, wait for a sale before you pay for a course. Udemy sales happen...

I think I was lucky to start with Excel VBA as it is a really easy language to learn. All my back-test data is in Excel format so there is no need to manipulate any databases or use SQL. Everything was self-contained and nice. However, I have no idea what programming skills or which area of...

The current strategy we have trades 33 markets including softs, metals, energy, currencies, rates, and equity indices. We will add more markets over time to further diversify. As for correlation to the S&P 500 index, for the past 20 yrs the strategy ran a correlation coefficient of 0.54...

47% is the max drawdown ever recorded for a 30 year backtest. If i look at hedge funds that can manage 25% CAGR but with a lower max drawdown, these are usually the ones who have been around for just a couple of years, so investors are not seeing the real risk with investing in these funds. If...

Thanks a lot GAT. This is good stuff. 1. Limiting leverage when volatility gets unusually low seems like a really good idea. My current system uses volatility based stops and my fixed position sizing rules automatically take on more risk when volatility is low. I should spend some time to look...

Hey GAT, could you maybe offer some advice on what are the most important elements of risk management at places like AHL? I am also wondering what are the major pitfalls or difficulties in raising capital? Because I read that most funds fail in this area. Seems like a good idea for me to start...

After doing some searching around for ways to reduce drawdowns, I am leaning towards methods that DONT require adding more rules to the system or "predictive" methods that try to time drawdowns. Methods that seems to be more robust in my opinion include: 1) Studying correlation between...

It seems to me that doing this will inevitably reduce returns. I must admit I am very unwilling to reduce drawdowns at the expense of returns. We actually want to differentiate ourselves from the competition, which is so obsessed with volatility. So the ability to generate strong returns is...

Thanks for sharing GAT. Your experience with AHL and systematic strategies certainly will be very helpful. I see you have published a book too, I will definitely give that a read.

Generally, the systems generating lower returns also came with smaller drawdowns. At 18% CAGR, maxDD is 30% AvgDD is 6%. So its a conscious decision by us to accept a max DD of 47%, which is close to what the S&P500 gives too, but with returns at 25% CAGR.

Agree. It seems most investors are obsessed with short term performance these days. Tough world for trend followers given the poor performance for this strategy in recent years. But we believe in the strategy, we are not aiming to run billions in AUM, we are targeting investors willing to be...

Really appreciate all the comments here. I have explored ways to cut drawdowns and volatility and the most common methods I have come across includes diversifying across more markets or combining strategies such as mean reversion strategies. The reason we couldnt do that at this stage is...

Exactly! That is why I am actually looking to finally trade my trend following strategy live. My back tests show that these deep drawdowns in trend following are perfectly normal. Happens very decade. So it could actually be a good time for aspiring trend followers to start.

I would like to take a statistical perspective. 1) The more trades your back-test executed, the more realiable is your backtested results. 2) The larger your edge, the more likely its really going to work. 3) The longer the time frame back-tested, generally, the more reliable the results are.

Hi everyone, I have been studying and back-testing trend following strategies for a couple of years and is about to go live after much research, testing, and preparations. Would be great to chat with fellow traders looking to share their experience trading similar strategies, or are in the...