The following instructional videos are a work in progress.
The workflow process discussed demonstrates the systematic techniques we use at ATS to develop compilations of systems designed to squeeze the juice out of trending environments. An overview of this process has been discussed in our latest podcast.
The workflow process currently describes the 4 step automated workflow process we undertake to test trend following systems for a single market.
This automated process immediately follows the creative design process where the trend following system is initially broadly defined to capture the conditions of trending market environments. Central to the design considerations is the requirement for asymmetric returns delivered through cutting losses short and letting profits run.
Once the creative design process has been performed we then let the machines take over to remove as much discretion from the portfolio creation process as possible. This includes the choice in universe selection and system selection which traditionally have been the domains of discretionary processes.
We are currently working on an extension to this process which then consolidates these results into powerful multi-market portfolios offering superior risk-adjusted returns. Once this project is complete, we will be updating this blog post with additional instructional videos that describe these additional processes.
So stay tuned to this blog as it will be updated in the near future.
Trade well and prosper
The ATS mob
System Sub Portfolio Construction – Instructional Video Part 1 – Installation
System Sub Portfolio Construction – Instructional Video Part 2 – Optimisation
System Sub Portfolio Construction – Instructional Video Part 3 – Iteration
System Sub Portfolio Construction – Instructional Video Part 4 – Backtesting