Must read books about the science of trend following investment and the art of applying it @clenow @GaryAntonacci @TopTradersLive @katykam
- Following the Trend, Andreas F. Clenow, 2013
- Dual Momentum Investing, G. Antonacci, 2014
- Trend Following with Managed Futures, A. Greyserman and K. Kaminski, 2014
In January 2014 I decided to launch the HF model which was an attempt to apply trend following mostly on US and Canadian equities.
Nine months and 234 trades later (that I took), here are the returns, expressed in terms of reward/risk, dividends not included.
- Equities only is difficult, at least with this system and samples
- Adding short positions might have lowered correlation (?)
- Could not take all the weekly trades due to capital limitation hence introducing discretion (which is a no-no)
- Continue trading this system, reducing to long ETFs only (reason = more long ETFs available than short ETFs and I want to keep one trading account only)
- Expand from equities only to ideally equal-weighted universe, i.e., equities, commodities (agri + non-agri), currencies, rates (as per Clenow‘s book)
- Monitor correlation with covariance matrix
- Model will continue to be free access