The View From Inside, The View From Outside What I can see at the trading desk, and what only becomes clear when I put the trades together Previous: Episode 10, The Discomfort Is Load-BearingNext: Episode 12, It Has Always Been...
The Discomfort Is Load-Bearing Why the trades I most want to avoid can be part of the payoff I’m after Previous: Episode 9, You Are What the System Is FilteringNext: Episode 11, The View From Inside, The View From Outside...
You Are What the System Is Filtering The same strategy can ask very different things of you, depending on when the losses come. Previous: Episode 8, Process Is the Only RefugeNext: Episode 10, The Discomfort Is Load-Bearing Imagine two managers...
Crude reversed, the index fell. Trend strength rose to 39%. This week, more futures markets rose and measured trend strength improved, yet trend-following returns suffered their sharpest setback in five weeks. Seventeen of 49 contracts finished higher, up from 14,...
“A trend book is long the persistence of the board, not the direction of it. When persistence goes, the losses arrive from every sector at once, and that is the cost of being paid when it returns.” About This Report...
Process Is the Only Refuge A good decision can lose. The challenge is knowing what to learn from it. Previous: Episode 7, What the Quant Approach Cannot SeeNext: Episode 9, You Are What the System Is Filtering I take a...
Metals broke lower. Trend strength slipped to 39%, but trend returns recovered. Market breadth narrowed for a third consecutive week, yet trend-following returns recovered. Only 14 of 49 futures contracts finished higher, down from 19 a week earlier. The TTU...
What the Quant Approach Cannot See The measured path is the residue of a market still being made Previous: Episode 6, The Practitioner’s DisciplineNext: Episode 8, Process Is the Only Refuge In the week of 6 August 2007, several quantitative...
$100 invested in January 2000 with F22, a simple rule for choosing five trend followers each year, would have grown to $2,347 by August 2026 in our simulation. The same $100 in the SG Trend Index grew to $434, in...
The Returns Catch Up August gave trend followers moves that lasted, but the returns arrived more slowly than the improving environment suggested. In September, the returns caught up. All three major trend benchmarks gained for a second consecutive month. The...
