Trend-Following with Valeriy Zakamulin: Anatomy of Trading Rules (Part 4)
In our context, a technical trading indicator can be considered as a combination of a specific technical trading rule with a particular moving average of [...]
Trend-Following with Valeriy Zakamulin: Performance Measurement and Outperformance Tests (Part 5)
We consider an investor and a financial market that consists of only two assets: one risky asset and one safe (or risk-fee) asset. An example [...]
Trend-Following: Testing the Profitability of Trading Rules (Part 6)
The difficulty in testing the profitability of trend-following rules stems from the fact that the procedure of testing involves either a single- or multi-variable optimization. [...]
Trend-Following with Valeriy Zakamulin: Trading the S&P 500 Index (Part 7)
The Standard and Poor's (S&P) 500 index is a value-weighted stock index based on the market capitalizations of 500 large companies in the US. This [...]
Trend-Following with Valeriy Zakamulin: Trading in Various Financial Markets (Part 8)
In our final blog post, that finishes the trend-following series, we briefly review the results of the forward-tests of the profitability of various trend following [...]
Using Trend-Following Rules to Enhance Factor Performance
After reviewing the 2016 performance of trend-following (-18.15%), its unclear why anyone would mention the word "trend following" in a public forum. But we'll give it [...]
Magic Formula and MA Rules: A Bad Combo!
Recently, I've been investigating various risk management systems. A lot of the work we've done is beyond the scope of the blog and/or is related [...]
What is the correct benchmark for trend following?
"What is the correct benchmark for trend following?" This is a difficult question, and there really is no perfect answer. As many of our readers [...]
How large is the tracking error created by trend following?
A question I've received in the past is the following: If you could go back in time five years ago and tell yourself something about [...]
How to Use Trend Following within a Portfolio
A question we have been receiving recently is the following: How should I use trend following within a portfolio? Generally, the questions are related to [...]
Trend Following on Steroids
Trend following is well-known and the simplest version is as follows: you buy an asset when it has positive momentum (the price goes up) and [...]
The Smart Money Indicator: A New Risk Management Tool
We have all heard the mantra, “You can’t time the market!” But in reality, investors attempt to do just that every day as part of [...]
Trend-Following: A Decade of Underperformance
Everyone in finance remembers 2008--the Global Financial Crisis. Yes, I know, the final downward movement in the stock market was in early 2009. However, many [...]
If you had to do a trend following strategy, what would it be and why?
The topic of this blog post was inspired by Wes, who said the following: Valeriy, you have done more formal academic research on trend-following than [...]
Compound Your Knowledge Episode 6: Trend Following and HFs
In today's video, we examine three articles from last week. The first article examines the (under) performance of trend-following over the last decade. The second [...]
DIY Asset Allocation Weights: May 2019
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you [...]
Trend Following: The Epitome of No Pain, No Gain
One of the recurring themes we see in our research is the concept of "no pain; no gain." Or as Corey Hoffstein says, "No pain, [...]
Market Sell-off Analysis: Baseline Historical Facts
We often hear that the market is 5% off its highs or that it is down 5% from the high of the year. This alone [...]
Compound Your Knowledge Ep. 16: Trend-Following, Large-Cap Value, Active Mgmt
In this week's post, we discuss three papers. The first post, written by Wes, covers a deep-dive into trend-following on equities. The second post, written [...]
Protecting the Downside of Trend When It Is Not Your Friend : Part 1
Protecting the Downside of Trend When It Is Not Your Friend Kun Yang, Edward Qian, and Bran BeltonJournal of Portfolio ManagementA version of this paper [...]