Tag: trend following (Page 2 of 5)
Using simulation techniques, we aim to explore how different trend speed models behave for different drawdown sizes, durations, and volatility levels.
We explore the application of trend following, and the potential consistency improvements it can introduce, within the framework of a cash balance plan.
Pursuing higher accuracy in an investment strategy is not always enough to make the strategy good over the long run. Skew is also important to consider.
Long/flat trend-following strategies look like call options with uncertainty. Combining multiple trend models can reduce this uncertainty in the payout.
Macro Timing with Trend Following
By Nathan Faber
On October 7, 2019