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For stocks, there is some mean-reversion in the one-month horizon, some momentum in the one-year horizon, and then mean-reversion again in the five-year horizon. So it all depends on the timescale chosen.

There is a paper about this here: http://www.neuronadvisers.com/Documents/Is%20Trend%20Following%20Broken

How do you control your maximum loss trading a position which is 100 times larger? What would this loss be if markets dropped/increased by 20% on a single day, like in 1987? What would happen if you did that with CHF futures on the 15th/January/2015 ?

Make some trading rules, backtest them, and then stick to them!

If you find many uncorrelated assets, it makes sense to use an approach like the "most diversified portfolio": http://www.tobam.fr/wp-content/uploads/2014/12/04.2013_JIS_TOBAM-Properties-of-the-Most-Diversified-Portfolio.pdf

Systematic is easier to backtest. This is important to evaluate risk.

Thanks for the info. This is for ES options, right? What about FX options?

Hello all, Does anyone know why CME has stopped listing FX and ES monthly serial options (Jan, Feb, Apr, May, Jul, Aug, Oct, Nov)? Where most of the liquidity of these serial month options went?