Does Rule-based Trading Work in the Real World?
The aims of this chapter are–
- To reassure the reader that rule-based trading is a reality and not simply the theoretical output of computerised back-testing.
- To provide references to real world fund managers who have used mechanical strategies to generate impressive profits for many years.
- To provide references to academic research which supports the inescapable conclusion that rule-based trading works.
Sceptics and practitioners
Most traditional fund managers, the long only stock pickers, scoff at the very idea of being able to profit from simple mechanical systems which exploit observed market phenomena such as momentum and trends. It is a fact however that many ...