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
Search found 4 matches
- Mon Nov 05, 2012 12:04 pm
- Forum: Testing and Simulation
- Topic: Trend Follower Performance Data
- Replies: 16
- Views: 12726
- Mon Jan 03, 2011 4:43 pm
- Forum: Testing and Simulation
- Topic: counter trend systems
- Replies: 13
- Views: 8822
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.
- Mon Jan 03, 2011 2:44 pm
- Forum: Testing and Simulation
- Topic: counter trend systems
- Replies: 13
- Views: 8822
system
Thank you!
- Mon Jan 03, 2011 12:15 pm
- Forum: Testing and Simulation
- Topic: counter trend systems
- Replies: 13
- Views: 8822
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?