A prevailing assumption in trend following is that highly correlated assets should not be traded together, as they are unlikely to provide diverse opportunities. This assumption overlooks a critical distinction: the difference between price correlations and trade correlations. Examining...
The Classic Trend Followers go on safari searching for maximum diversification in their quest to hunt for Outliers. We hope you enjoy this episode as much as we did presenting it. Episode 18 of The Algorithmic Advantage is a Trading...
When trend followers discuss diversification, the conversation typically centres on markets: the breadth of instruments traded, the range of asset classes represented, and the geographic spread of the portfolio. This is the right conversation to have. But it is...
