August 2014
Intermediate to advanced
464 pages
12h 49m
English
Content preview from Trend Following with Managed Futures
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.
CHAPTER 3
Systematic Trend Following Basics
This chapter is dedicated to taking a closer look at the basic building blocks in a systematic trend following system. The modern approach to trend following has taken the shape of a finely tuned, automated and engineered machine. These trading systems automate trades across a wide range of asset classes. Technological advances and developments in the futures markets have allowed for this transition. The modernization of trend following has increased the efficacy of implementing the strategy but at the cost of increased competition.
A typical trend following system is comprised of the following four core decisions:
1. When to enter a position.
2. How large a position to take on.
3. How to get out of positions.
4. How much risk to allocate to different sectors and markets.
Given these four core decisions, a trend following system is a dynamic system that processes price data inputs, generates trading signals, and outputs automated executable trading decisions. The first section in this chapter addresses the building blocks of a simple trend following system. It is important to understand how the main components come together to create a trading system from both the aggregate and individual trade level. The second section looks at a trend following system from the outside and explains several metrics and methods for classifying trend following systems. This chapter’s main objective is to give a detailed overview in order to provide ...
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.
Read now
Unlock full access
More than 5,000 organizations count on O’Reilly
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.Amir M.
I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.