In my last post we contrasted the effects of data integrity and sample size on the backtested performance of mean reversion and trend following models. In today’s post we’ll explore which markets are most suited to each approach, but before we do that, let’s quickly take a look at why …
Tag: Trend Following
Introduction A blog series to contrast the key distinctions between trend following and countertrend strategies during building, testing and trading. In this post we examine the effects of data integrity and simulated trade sample size on backtested performance. Price Data Integrity One of the major obstacles for traders looking to …
In their excellent paper, Cole Wilcox and Eric Crittenden explore whether or not trend following strategies can achieve alpha when applied to the stock market. The vast majority of funds that operate trend following type strategies focus in the commodity and forex markets, where long-term sustainable trends driven by economic …