May 2011
Intermediate to advanced
366 pages
11h 31m
English
book
Managed Futures for Institutional Investors: Analysis And Portfolio Construction
by Galen Burghardt, Brian Walls
Content preview from Managed Futures for Institutional Investors: Analysis And Portfolio Construction
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P1: OTA/XYZ P2: ABC
JWBT468-c04 JWBT468-Burghardt March 12, 2011 0:33 Printer Name: Courier Westford
How Trend Following Works 95
EXHIBIT 4.13 Relationship Between Round Turns Per Million for Various Moving
Average Systems
Round Turns per Million for Moving Average Systems
500
550
600
650
700
750
0 20 40 60 80 100 120 140 160 180 200
Fast Days
Round Turns
Slow days = 100
Slow days = 200
Slow days = 300
Round Turns per Million for Breakout Systems
0
200
400
600
800
1000
1200
0 20 40 60 80 100 120 140
Days
Round Turns
Source: Bloomberg, Newedge Prime Brokerage Research.
P1: ...
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