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.
Search found 4 matches
Search found 4 matches • Page 1 of 1
- Mon Jan 03, 2011 12:15 pm
- Forum: Testing and Simulation
- Topic: counter trend systems
- Replies: 13
- Views: 5990
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?