Systematic Trading Archives

Where To Get Trading Strategy Ideas

I’m often asked how I come up with strategy ideas to test and potentially put to work. Unfortunately I’m not an overly creative person, at least not when it comes to creating something from scratch. However, I am creative at adding my own ‘colour’ to other ideas floating around the ether. For example, our main […]

Allocating Funds Across Strategies

Allocating Funds Across Strategies brings up many questions. Reader question from Thom M. If I allocate 60% of my portfolio to systematic trading, how do I decide how much of it should go towards one or the other strategy to achieve the perfect balance? Great question and there are a few answers to consider. Firstly […]

Market Neutral Trend Following?

Long term readers know that I spend a lot of time researching ideas for either improving existing strategies or looking at new opportunities. One of my recent projects has been looking at following trends using a market neutral strategy. Market neutral means attempting to profit from both increasing and decreasing prices while attempting to avoid […]

How To Build A Systematic Relative Momentum Strategy

I’m going to talk about how to build a Systematic Relative Momentum Strategy. Just to introduce myself, because a lot of you probably don’t know who I am. About me As you can tell by my accent, I am an Australian and I started trading in 1985, so just finished my 34th year of trading. […]

Trading with Seasonality

Trading with Seasonality In the prior article we discussed the concept of seasonality. I’m now going to expand on that to show how it can be used in the real world using a systematic approach. The following chart shows the seasonal tendencies of the XAO over 25-year and 10-year time frames. Whilst there are several […]

Seasonal Patterns in Financial Markets

Seasonality Seasonal patterns are common within the financial markets and occur for a variety of reasons. They can range from single day patterns to more complex multi-month patterns. Short term traders and long term active investors can add seasonality into their trading plans to create a better risk adjusted return. In this months article I’d […]

4 Ways to Trade Through Drawdowns

A drawdown is a decline in equity measured on a marked-to-market basis. Drawdowns are the ‘cost’ of exploiting a risk premium and cannot be avoided. However, the ability to stay with a strategy during a drawdown is one of the most difficult aspects all traders face. Rather than take steps to adjust or second-guess strategy […]

Diluting Signal Luck

As I’ve mentioned in a few of my recent video’s, now is a good to reflect, not only on life in general but also on your trading. What could I have done better? Am I missing anything? Are there risks I’m not seeing? The market will always keep you humble. It seemingly gives you a slap […]

Trend following: An effective method for your SMSF?

Is trend following an effective method for your SMSF? A recent release from The Industry Super Network (ISN) – the umbrella organization for industry super funds here in Australia, suggests that high embedded fees, including commissions to financial planners, is the main cause for the poor performance of for-profit retail super funds. And, according to […]

Trend Following on a Weekly Time Frame

Trend Following on a Weekly Time Frame One of the most popular systems I wrote about in my 2012 book, Unholy Grails, was the Bollinger Band Breakout strategy. That version used daily bars, but a common question I got was, “How does it perform on weekly data?” Back then I coded up a weekly version to appease […]