Search found 4 matches

by Rob@everTrend
Mon Nov 05, 2012 12:04 pm
Forum: Testing and Simulation
Topic: Trend Follower Performance Data
Replies: 16
Views: 5874

Trend Index

This index from IASG is based on actual performance:
http://www.iasg.com/cta-indexes/index/t ... wing-index
It's a good overview of trend following performance by managed funds.

Robert Robbins
@RobeverTrend
by Rob@everTrend
Mon Jan 03, 2011 4:43 pm
Forum: Testing and Simulation
Topic: counter trend systems
Replies: 13
Views: 5422

accuracy

The accuracy rates seem to be slightly lower and they seem poor as a standalone system. The risk:reward equations seem very poor compared to trend following systems.
by Rob@everTrend
Mon Jan 03, 2011 2:44 pm
Forum: Testing and Simulation
Topic: counter trend systems
Replies: 13
Views: 5422

system

Thank you!
by Rob@everTrend
Mon Jan 03, 2011 12:15 pm
Forum: Testing and Simulation
Topic: counter trend systems
Replies: 13
Views: 5422

counter trend systems

I've added a countertrend system to a multi system trend following model and have gotten a 7% improvement in CAGR and a 5% reduction in drawdowns. It uses Stochastic crossovers to signal trades. Does anyone have countertrend systems that add value to trending systems?