The Programme, From the Inside Introducing the System Anatomy Series: seven essays on the structural logic of how a systematic trend following programme is actually built and run, written for the practitioner who wants to understand the mechanics, not just...
“Two investors can run the same trades. Only one of them had to be right about anything.” Compounding is one of those ideas in finance that sounds simple until you actually live through it. A return is not earned in...
My father sat in that chair every evening. Same chair, same angle to the television, same hour, after dinner, when the light through the window turned golden and then faded. Over the years the cushion moulded to him. The armrests...
Previous: Episode 5 – What Works and What We Got Wrong Five episodes, 68 futures markets, 42 years. An empirical audit of the number modern finance calls risk. A Series Synopsis A five-part empirical investigation into whether the number modern...
“An improving environment and a paying one are not the same thing.“ Trend Following Weekly Report Global futures markets turned upward almost everywhere in the week to Friday 7 August. Metals led at plus 6.52 percent with all five contracts...
Inside the Loop: Uncertainty in War and the Markets, Part Two Episode 015 is live, and it brings our two part special to a close. This month Rich Brennan, Jerry Parker and Adam Havryliv are joined once more by Mark...
Previous: Episode 4 Addendum – The Unwritten SequenceNext: Series Synopsis Diversification does not cure fat tails. The controlled experiment, the prescription, and five failed hypotheses. The Evidence Base: Over 640,000 daily observations across 68 global futures markets, spanning more than...
Previous: Episode 4 – Risk Is Not VarianceNext: Episode 5 – What Works And What We Got Wrong Why identical returns produce different investors Three interactive experiments on one objection to Episode 4, and what answering it costs. Episode 4...
Previous: Episode 3 – Six Ways the Assumption BreaksNext: Episode 4 Addendum – The Unwritten Sequence Shuffle forty years of returns like a deck of cards. Every statistic stays identical. The worst loss moves 50 points. The Evidence Base: Over...
“The trend that breaks a portfolio in one month is often the one that pays it in the next; the reversal and the opportunity are the same event seen at two scales.” Fractals of Finance About This Report The ATS...
