trend following Archives - Flirting with Models

Tag: trend following (Page 1 of 8)

Option-Based Trend Following

By Nathan Faber

On June 23, 2020

Option strategies can be used to isolate and quantify the cost of whipsaw in trend following strategies, which can help set expectations on whipsaw.

Straddles and Trend Following

By Nathan Faber

On May 11, 2020

A strategy with straddles can be similar to a trend followings strategy and it can highlight the trade off between insurance premiums and deductibles.

A L-U-V-Wy Recovery

By Corey Hoffstein

On April 6, 2020

We simulate different market paths to trace out V-, U-, W-, and L-shaped market recoveries. Given these paths, we test different trend following strategies.

One Hedge to Rule Them All

By Nathan Faber

On March 30, 2020

There is no perfect hedge for equity market drops. Rather finding a hedge that pays when you need it and costs little when you don't is the goal.

What the Trend

By Corey Hoffstein

On March 23, 2020

Why have simple trend models exhibited such significant dispersion in the recent market rout? We go back to basics to set expectations.

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