This book is in essence about a single trading strategy based on a concept that has been publically known for at least two decades. It is a strategy that has worked remarkably well for over 30 years with a large number of hedge funds employing it. This strategy has been given much attention over the past few years and in particular after the dramatically positive returns it generated in 2008, but it seems nevertheless to be constantly misunderstood, misinterpreted and misused. Even worse, various flawed and overly complicated iterations of it are all too often sold for large amounts of money by people who have never even traded them in a professional environment. The strategy I am alluding to goes by many names but it is in essence the same strategy that most trend-following futures managers (or CTAs for Commodity Trading Advisors if you prefer) have been trading for many years.

This book differs in many ways from the more traditional way in which trading literature tends to approach the subject of trend-following strategies. My primary reason for writing this book is to fill a gap in that literature and to make publicly available analyses and information that is already known by successful diversified trend followers, but understood by few not already in this very specialised part of the business. It is my belief that most books and therefore most people aspiring to get into this business are focusing on the wrong things, such as entry and exit rules, and missing the ...

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