Andreas Clenow in Articles April 16, 82 Comments , Views. After all, I do employ quantitative models based on trend following logic on single stocks in quite large scale myself in my business. So why am I writing such a provocative title? It seems as some people stop reading after such a headline, and simply go on an all out counter attack, without bothering to read or understand the rest.

Trend following on futures is quite easy in comparison. Most people simply ignore the difficult parts and hope for the best. Doing really proper strategy modelling on stocks may be outside of the budgets and technical capability of most retail traders. There are a few key differences, that require you to adjust your expectations and approach. Stocks are cash instruments and need to be funded.

You have a clear limit to how much exposure you can take on. You do not have a pool of cash anymore to be placed in govvies. Stocks are a very homogeneous group. The internal correlation is massive. They will all go up and down at the same time with some small variation. In a bull market, they all go up. In a bear market they all go down. Diversification becomes much less important. You end up mainly trading beta anyhow.

Stocks are prone to rapid vola expansion in bear markets. Your neatly calculated risk measurements goes right out the window real quick. Suddenly all those stocks that were doing so nicely all fall down hard at the same time. As you start entering shorts on new lows, the stocks tend to make huge, albeit temporary, jumps up. The short side of the single equity game is a veritable nightmare for standard trend following models.

Modelling strategies on equities properly require total return series and dividends details. You need to analyze the total return series, trade the price series and have logic in place for how to handle the dividends when they come in. The potential for survivorship bias in single stock strategies is massive. Many of those stocks are in the index because they had a massive price increase. They were not in before.

Applying standard trend following models on single stocks is dumb. The most common arguments for applying standard trend following models on stocks is based on anecdotal evidence and classic fallacies. I can assure you that real hedge funds are a little more sophisticated and are fully aware of the special situation in stocks.

As for the cousin, well, going on anecdotal evidence anything is possible. Apparently there are people who made gazillions trading on financial astrology too. The fallacies are usually about mentioning stocks that went up a few thousand percent, and how trend following models totally would have captured this. Disregarding of course the probabilities of having covered that stock when it was a small cap, the many times you would have been shaken out along the way, the allocation to this stock compared to the many that did less well etc.

A massive simplification of the real world. But the return expectations cannot be the same as for futures. Would be nice if the real world worked like that though. How do I know that standard trend following does not work on stocks? I do this for a living. Kill the short leg of your strategy.

Replace it with a short index overlay if you have to. Take the state of the overall markets into account. Build a ranking methodology to pick the best stocks. Automatically analyze a large number of stocks and have the best ones selected.

Trade fewer stocks with larger positions. Beyond that, further diversification will worsen your results. Run a few hundred iterations of your model and tell me what you find. Expect to have great returns in bull markets and aim to make your strategy lose as little as possible in bear markets.

Religious dogma about a trading methodology is not helping anyone but system salesmen. A much more pragmatic way would be to look at yourself as a systematic trader.

Investigate what works and how it works. Trend following is a great concept but be very aware of its limitations. Adapt your rules to reality and overlay satellite strategies where needed.

Hard work, quantitative modelling, research and pragmatism will get you to your goal. In my own back testing, I found that I have to do the 6 things you listed for trend following to work on stocks. The philosophical question of course is whether a strategy that implements all those points is still trend following, or a long momentum strategy. I look for best opportunities with new uptrends and MACD crossovers, but the bottom line is increasing money flow.

Where is my Achilles heal? Then I exit that position. You should model and test how your strategy would have worked in the past to better understand the dynamics.

In my view, the share price itself is absolutely irrelevant. If you care about that, a split would impact your trading, which makes no sense. You may want to look at market cap instead. A universe of 25 stocks seems very limited. I normally hold more stocks like that at any given time in a portfolio. Targets and stops expressed in percent is usually not optimal.

I know, may people like them, but the problem is that this method fails to account for vola. If you only trade stocks with very similar vola, this may be fine. The same percentage target becomes an arbitrary number. I really appreciate you writing this article. My results were as follows. Appreciate if you could share your opinion on these. When I read your post again, it seems that my system uses the standard trend following method.

Looking forward to backtest and use your system. To really assess the validity of an approach, you need to dig much deeper than the summary screen. My latest book, just like the previous one, shows all details and all rules. I think it would be dishonest if I showed results from a trading model without properly explaining the rules.

All details are in the book, allowing anyone to replicate and verify my research. I used this in PH stock market and results were great market was mostly trending from to Please let me know how I can get a copy. Thank you so much for this post of yours. My results improved with less drawdowns when I incorporated 2 in my TF system. Again thank you, thank you! You can verify them and I hope it may be of use to you too.

Very interesting, thanks Andreas. Long only, weekly rebalanced, free access on my website, if interested, no pressure.

The US portfolio is underperforming the SP while the Canadian outperforming thank you miners. I intend to maintain these 2 models for one year, as an experiment. So far I get better returns with relative strength on index ETFs stocks, commodities, REIT, …. You can get good results out of momentum style approaches to single equities. Just make sur your model takes the vital points into account. Just watch the two really tricky points when it comes to single stock strategies. Dividends and survivorship bias.

Solving them are expensive and painful. Would be interesting to see results of your backtests concerning position size. I read a paper recently that showed even if all you did for a system was buy a stock at an all time high, sell at a trailing stop, you would outperform the market over multiple timeframes going back quite far.

Did not finish my first sentence, got distracted. How can it be that simple rules will kill the index like you demonstrated last month but trend following on stocks is such a disaster? And as you see, it differs significantly from standard trend following models, both in types of rules and in results. I appreciate your patient replies to such basic questions as mine. All best to you with much admiration. One recent example is China Metal Recycling HK: That position effectively becomes written off to zero.

Not sure how the rules work for US listed stocks. The investable universe is massive. Yes, right way of thinking about the problem. You always have to look at two factors, as with all risks in live. Ignoring that will have a massive impact. Survivorship bias is also massive, such as assuming that the stocks in the index today are the same ones that you would have traded five years ago.

In the end, most retail traders simply fly blind and hope for the best. Quantitative stock strategies are very difficult and very expensive to properly simulate. Much more so than futures. Excellent article, Andreas, some really important points made. Typically I will wait for what I hope is a long-term general index breakout e. July , and then begin buying stocks with promising trends. Unlike most futures trends, the bull market will then often last many years and I aim to hold on to many of the stocks I buy at the beginning of the bull until the very end of the long-term trend, riding out all the large corrections in between.

The drawdowns while sitting through medium-term down-trends are of course very large, but because they come after big upswings I find them tolerable.

That they tend to exhibit these vast sweeping bull trends? I also agree with you that shorting stocks, even in a powerful bear market, is much more difficult to pull off. Professional trend following is very much based on diversification.

Without it, the concept fails. Running TF models on any too homogeneous group will cause a major problem. On single stocks you have the additional problem of the extreme behavior in bear markets. Equity index futures have their place in a diversified trend following portfolio, along with commodities, rates and currencies. Running a TF model on only a group of equity indexes would not be advisable, and on a single index even worse.

In my experience, equity indexes is the worst performing sector for trend following strategies over time. It still makes sense to include them for diversification and they do have a positive expectancy over enough time. Trend following is about throwing a slightly flawed die.

It has a slight advantage, but very minor. To throw the die once is pure gambling. They put all the chips on the table and throw once or twice before blowing up. It is amazing how often the above is ignored. There is a barrier of entry into trading business and this barrier seems to be moving upwards over time as markets become more efficient need for diversification over groups, methods, time frames, etc.

Great works, great effort writing it, I liked reading it and took some valuable informations to improve my own bottom line. You have great points. I did a simple test on US stocks with a naive trend system. Hold N stocks at or near all time high; rebalance every month; drop any stock that lose money;hold winner forever. The results are very strong. It turn out I did not set the Factset screen correctly to remove the survivor bias.

Still there are some valid points. But a few stocks i. Positive expectancy works the same way as in trend trading futures. Except you need to have a very long time frame and shorting does not add any value. It seems to me the game of stcoks is not about trading but filtering out good growth companies.

In my mind momentum trading, is when share is selected on previous months return performance. I view it as fundamentally different approaches. Still, the semantics are of less importance and there are no formal definitions here. My main concern is with misguided blind faith in trend following as a trading methodology. Trend following models are traditionally very simplistic, designed to capture medium to long term trends in a broad set of cross asset futures markets.

The simplicity of this approach has attracted a large number of scam artists, selling trading systems, coaching and other nonsense for inflated prices to the unsuspecting. These scam artists are in almost all cases people who have never traded in a professional environment, lack any sort of quant background and are generally quite clueless. Their common mantra is that Trend Following Works On Everything if you just buy my trading system!

That assertion is as dangerous as it is stupid. Still, it sounds cool enough if you put the right spin on it and you can make money pushing that agenda. The point I was hoping to make in this article was that the real world is a little more complex.

To settle on a trading methodology as if it was a religion or a foot ball team, and stick to it no matter what the real world tells you, amounts to financial suicide. Single stock trading is different. Apply standard trend following models to them at your own peril. Just finished the book — cover to cover in 6 hrs. Bit tight for this game I know, but we think we can make it work. Broadly similar approach, with a smattering of Machine Learning for the counter-trend. Going live with a million quid sounds difficult.

Not only due to the difficulty of taking positions sizes in the futures world, but also due to the run-away cost for starting funds these days. Compliance is getting very, very expensive. How do you think about trend following on major stock indices?

Does CTA on indices perform better or worse than on commodities? My experience is that equity indexes, while profitable, is the toughest sector over time. I would include it in a trend following universe, but applying TF only to that sector can be risky.

Clenow, why is this number 2? This makes me think you have a different definition of trend following than most trend followers, even though many of your concepts make sense to me.

Why would any trend follower keep buying in a bear, this is the opposite of trend following. One should short in a bear. Even though the index is in a bear market, you might get buy signals on individual stocks.

Most bear markets have strong interim rallies where this can happen. Short trend following on stocks in a bear market is also a bit of a problem. Even in it was extremely difficult to make money from short trend following. The trend following business had great results that year, but that most mostly due to long bonds, long metals and long energies. Shorting is a very difficult game. Like all that you publish its brutally honest emphasis on honest.

I seldom comment on blogs but wished to chime in. One a sidenote, very glad this article comes first in https: On stocks on the other hand, retail Jane obviously cannot trade all of them.

If trading a basket, what basket and why said basket? Either go with free data and play backtest roulette, or buy data retail trader likely had rather buy stocks than buy data.

How about Euronext… If Joe only trades US stocks, good for him ; if not, welcome to a world of pain. Splits, spinoff, cash or stock dividends, delisting, rights offerings and other weird corporate actions…. Learn some C , python, R at the very least. Easy is long forgotten, and simple begins to take a mythical coloration. Too much money being made by selling romantic dreams of easy cash.

Stock strategies are much more complex than futures. Is trend-following popularity the beginning of its own demise? How does one who uses such strategies protect himself? Serial correlation of various indexes and commodities has been shown to be negative! Although its gone through cycles of positive and negative periods. Why do you think that is? Through some basic backtesting I have found equities and currencies to be much noisier and have yielded unfavourable results in my tests, even on longer holding time periods.

A little while back i remember reading about Ed Thorp and his interest in starting a trend following fund, which didnt happen. None the less he speaks of employing other data filters to his price based entries and exits. Those included term backwardation and contango , inventory levels, etc.

There is very little about such ideas in the public domain for simpletons like myself to read and digest. Employing volume analysis, COT data, Sentiment, and fundamentals to various commodity markets could create for more interesting trend following models? I have to say that what drew me to exploring trend following is the simple logical concept of limiting your losses and having no limit on your wins.

Trend following has been tough for a while. At any given time, there was just one factor that mattered. It could be a potential Greek default, a potential US default, a potential Italian default, or a few other previously unimaginable scenarios that almost happened recently.

That is, central banks deliberately killed volatility, and trend followers need vola to survive. But there was far too many johnny-come-lately after That usually happens after something had a great success. Everyone jumps on the bandwagon, and most will fail. Remember the key point: This is not a democracy. Many also failed to adapt. It was developed in a different era. Things are very different now.

One of my best performing trading models is based on taking advantage of the flaws in standard trend models. Whether this model works because too many people use standard models or not, I can never know.

All I know is that it works. Thanks for such a quick reply. I applaud you for your effort and ability to adapt to changing regimens. One strategy I am currently investigating is the exploitation of market structures and obvious stop placements.

One only needs to look at a few years of data to determine the amount of times previous swing highs and lows have been breached only to force liquidation of weak hands and a resumption of over trend. Limit buy order below obvious swing lows are some of the best places to be a buyer and very counter intuitive to classic technical analysis!

Its a tricky game! PS link to the Ed Thorp interview about trend following. I tried to use a basket of 40 futures, for which I had access to data. I can not seem to get the return you get in your trend following strategies. In fact I am getting about an order of magnitude less. Being a newbie in this area, I must have got a fundamental mistake in my understanding of the position sizing or how futures work. May be I can pose a queston for you.

Taking your position sizing rule of using 0. Your calculation is technically correct, though more importantly, it implies highly unrealistic assumptions. No trades for a whole year. Target daily variation would then be 0. One contract would have an average daily variation of 0. We would therefore buy 20 contracts. If we now had 30 identical positions, that would mean a gain of 6,, Compare a bond future with a metal future for instance.

Where else can you live for five years without meeting any local people? I speak better German, but my native language was Swedish.

Hopefully translated by someone with French skills beyond my rusty school book level…. This seems to produce much clearer looking charts with fewer overlapping bars. I thought this to be a novel idea, and wanted to see what your thought is on this? I cant see the point of looking at trend following through the same lens as everybody else.

My only limitations in exploring this on portfolio level backtests is my coding ability. Thinking of using R or Matlab for it. In addition I also wanted to ask you about the method you use in order to determine favourable trending or non trending environments, in other words how do you rank favourable stocks or quantify trendiness?

Nice site and posts. I discovered your work after listening to a podcast from Kathryn Kaminski on Top Traders Unplugged. I agree with the things you note above about what can be done, too.

I noticed another post by you, about the Tetsudo fund, where you listed a few things similar to the above.

However, could you please clarify what you mean about the following two points, please: Risk allocation, and re-allocation, is critical. Adapting to market regime makes a world of difference. Is number 1 relating to stock volatility? Is number 2 relating to taking into account bull and bear markets, eg going to cash in a bear market? Nice of Katy and Niels to mention me.

Allocate risk, not capital. Notional amounts is not a good measurement. Allocate based on proper risk measurements, whether simple vola analysis, VaR or similar. Point being that markets are not static. To maintain a desired risk level, you need regular rebalancing. Equity based models need to adapt to the current environment. Going into cash in bear markets is certainly a valid course of action.

There are other ways to adapt as well, but the critical point is to be aware of the market regime and behave accordingly. For instance, buying momentum stocks in a bear market is a horrible idea. As I mentioned in my first post, I agree with your general premise that general unmodified trend following strats taken from futures wont work well on stocks, but I think they do work well when modified. Which is what I believe you infer in your post here, and suggest that it is more semantics — trend following versus momentum.

Trend Following For Stocks – Does It Work? • JB Marwood

Anyway, I wanted to get your opinion on the following two studies. I think they support what you say — modified strats work, regardless of what we name them. The pdf located at this url: I prefer to use different terminology, because I see it as a very different type of strategy.

Trend following strategies need to be changed so much for stocks that a different name is warranted. I find it a little odd that professionals like these guys use hobby trader type terminology at times. For instance, they define risk as distance to stops. The universe definition is a little fussy for my own taste. They start by considering all stocks, then filter for stock price level and liquidity. The assumption that high stock price means big and solid company is extremely US-centric and barely holds up even there.

In my view, notional stock price is irrelevant. Again, they have have chosen this deliberately to simplify things. Such an odd criterion can results in many unwanted scenarios. It may still be a very strong stock.

In particular such a wide stop as 10ATR. It also has many unwanted implications, one of which can be seen on page 4. If a stock loses momentum and goes sideways, it can go on forever without being kicked out. It will take up space in the portfolio for years without performing. Their methodology lacks any sort of ranking. It just randomly buys whatever stock happens to make an ATH first and holds it until it hits -ATR Your stock selection is random and you keep holding stocks that may not be the best candidates.

They are very fussy about their position sizing. I also wonder how they prioritize trades. Buy in alphabetical order? My impression is that they have deliberately oversimplified the ideas to make the research paper more accessible.

I dont really have anything to add, but that I understand and agree with you. I, too, dont believe they would trade in this manner, but as a simple illustration it works to show momentum trading in equities. Is the strategy trading the SP futures, the SPY ETF or the constituent stocks?

How is an entry triggered? How is the position sized? How is the position exited? Any rebalancing logic incorporated? What does it mean to dynamically construct a trend line and how is that done?

What is such a trend line based on, and how is it used for the trading rules? What about the short side, how is it handled? Thanks for the critique. So here are the answers:.

Thus the ETF IWM and its inverse for shorting can be used, or Russell futures can be used. However, the method uses no leverage, so I would not recommend trading futures contracts with a greater face value than one has funds.

For a simple example, assume the market is declining and you know that, as always happens, sooner or later it will reverse to the upside. Keep track of the weekly closes, noting the lowest value. When the market turns up, there will be a weekly close that is some percent above the low, and one purchases at that point. The reverse strategy applies when the market is rising; keep track of the highest weekly closing value and sell when there is a weekly close below some percent below the high.

Whatever the back test selects is used for the next trade. The back test results are not recorded; only the forward test results using the back test parameter values are recorded. For selling, I add the requirement of penetration of the trend line as described below. Davis did not use a trend line.

See also the answer regarding shorting below.

Trend Strength and Trend Following

It is drawn forward from the lowest weekly point reached before the buy signal occurs, and has a certain slope based on highs reached after the buy. The slope is one of the parameters used in the back test.

If the market is still above the trend line when the required percentage weekly drop occurs, the sell will not be taken. Instead, the method waits until the trend line is penetrated to the downside. The trigger is higher price values in the index accompanied by lower values in the cum a-d line. If there is no divergence when the sell signal occurs, only half of the position will be sold. Since the market has declined to a sell, a low point has been established new lows may be established in subsequent weeks setting up the possibility of buying again at the buy percent threshold when the market reverses.

To me this solidly demonstrates the value of paying attention to cumulative breadth. In fact, in the current bull market, my method did no shorting between July and July If you are interested in more detail, send me your email address and I will send you actual trade results.

Many test variations are possible. For example, the best parameters were selected by the back test from through June, Trading the method forward from July, to the present using these parameters resulted in an average annual gain of You could see exactly what it did around the crash or the huge bull market, etc.

Or, what would have happened if the Russell had been traded forward from its inception in using only the parameters selected from the Value Line back test through I agree with you that simple rules work just fine, and this is about as simple as you can get. Limiting shorts to periods of breadth divergence increases the probability that a short will be profitable. I formulated the trend line in I did not short but sold everything in September.

By March I was back on the long side and since have more than doubled my accounts. In spite of all of my words, this is a very simple system. So thanks for that. Always test on things that can be traded. Index futures, index ETFs and similar securities based on the index are of course completely valid to use.

The results may differ more than one might think. The returns are extremely different from inverse index returns. The short ETFs are structured products with primarily gamma exposure. It still seems to me like the rules are a little difficult to quantify. I mentioned inverse ETFs only for illustration. I short using only Russell 2k futures. I often check IWM against RUT.

Over time they track very closely. My command of English is not adequate to explain precisely how my programs work, and I consider some of this proprietary so am leaving out some details. I have spent much time working and reworking this code and testing it so I know that it is doing precisely what I want it to do. And in fact it is far simpler than the writing of all these words implies. I code everything in C; I use no canned software other than the compiler.

I carefully followed your 6 steps indicated above. But i find difficulties implementing 4 position size and i am seeking your expert advice. I believe i have a solid ranking system relative strength for stocks but my results are highly dependant on how much money i allocate on each new position when some stocks go out and others come in. I am looking for a simple solution as the concept would suggest but, as you said, the most difficult thing is to implement it. I just discovered your site yesterday.

I think it is great. I am confused about your term TF does not work for stocks. I am a simple person. There are stocks with great trends, both up and down. To me trend following just means that one discovers a trend, jumps on it and rides it.

Obviously there is a vast difference between Stocks and Futures.

JB Marwood – Trend Following For Stocks-A Complete Trading System | Forex, Commodity and Stocks Trading Courses

Jump on signals for futures are easily programmed. Entry signals for stocks are not. But to me, both are trend following, wether one follows a trend of a stock or a future. Though entry decisions are vastly different. But I guess you have a stricter definition of a trend following system? I am still very new to the world of algorithmic training and have only recently discovered your site recently.

I must say I greatly enjoy your to-the-point, intelligent, humorous style and of course the excellent, inspiring content. I was wandering if one of the reasons that momentum or trend following with equities is so difficult might be the fact that it is actually not easy to reliably evaluate the trend of a stock, or even a stock index, in the first place. There are of course many ways of doing so, but the specifics of the estimate should not really change much the information contained in it.

The volatility of a typical stock or even an index is unfortunately so great, and the drift usually so small, that the resulting standard error of the mean the uncertainty of the mu parameter is about ten times as large as its value!

Not very useful, even if we trade a large basket of stocks based on such a criterion. Just to summarize the idea of my last post before this one: Is the statistical significance large signal-to-noise ratio easier to achieve with options? Andreas, I have been moving through your material and find it quite insightful.

I am new to system type trading and have been working on developing 2 systems. I have been having a problem getting results on individual stocks. I have also had some luck with stocks that are tied directly to a commodity.

Do you feel these two categories can work with trend following strategies or do you disagree. Thank you for any feedback. Your information is helping a new system trader learn. Broad ETFs can be easier, given their generally lower volatility. I read the entire article, the first paragraph threw me off and second paragraph caught me.

It helps with entries and exits and the confidence to act. Trend Vigor Part IV: Does it work on the short end in the equities universe? And a test set walk-forward. Shorting and Walk Forward Test QuantStrat TradeR.

The truth about stock trend following Following the Trend. Stocks on the Move is Out! Beware of Trading Quotes - einfoMet. Apparently Trend Following Just Died Again Following the Trend.

What I am reading: Don't Miss Volatility Parity Position Sizing using Standard Deviation Breaking into the Financial Industry Getting Started with Python for Finance Why I Left a Comfortable Management Career Getting Started with Python Modeling — Making an Equity Momentum Model jQuery document.

Trend following does not work on stocks Posted by: If you apply a standard trend following model on stocks, you will lose. Does trend following really not work on stocks? So what can be done to make trend following work on stocks? Single stock vola can change dramatically over time. Rebalance your position sizes. How to build a professional simulation environment — On the cheap.

Ajesh Prabhu April 16, at Andreas Clenow April 16, at And thanks for reading all the way to the end. Daniel Feerst October 26, at Andreas Clenow October 27, at A couple of brief comments though: Ed Angelo June 26, at Hi there Andreas, I really appreciate you writing this article. Figures are in Net ROI Mean per trade 5. Hi Andreas, When I read your post again, it seems that my system uses the standard trend following method. Andreas Clenow June 26, at Hi Andreas, Thanks for replying.

Ed Angelo June 30, at Hi Andreas, Thank you so much for this post of yours. Ed Angelo July 4, at The SPY Surfer April 16, at So far I get better returns with relative strength on index ETFs stocks, commodities, REIT, … AQR is using a momentum strategy with AMOMX fund. Andreas Clenow April 17, at Terikan April 17, at Saurabh September 2, at I read that paper too. The drawdowns were soul-crushing as compared to the returns. Franklin April 17, at Franklin April 18, at Patrick April 17, at Glen April 17, at Stefan June 7, at Martin April 17, at Itamar April 18, at Bo April 18, at Andreas, You have great points.

By the way love your book. Robert J Van Eyden April 18, at Andreas Clenow April 21, at Hi Robert, I view it as fundamentally different approaches. Dave April 20, at Andreas — Just finished the book — cover to cover in 6 hrs. Congratulations on going live, Dave.

Please copy me on your monthly. Leon April 21, at Hi Andreas, How do you think about trend following on major stock indices? Hi Leon, My experience is that equity indexes, while profitable, is the toughest sector over time. This was a great article.

Andreas Clenow June 23, at Excellent dearly needed article. Welcome to Stock Selection On stocks on the other hand, retail Jane obviously cannot trade all of them. Andreas Clenow July 17, at Slav D August 4, at I hope you answer a few questions I have stated above. Andreas Clenow August 4, at Hi Slav, Trend following has been tough for a while.

Trend Following Trading Strategy Guide | TradingwithRayner

Taking term structure into account is critical. The other factors are very optional. Hi Andreas, Thanks for such a quick reply. Hi Andrew, I read through your excellent book.

Does that sound right? Andreas Clenow December 8, at Hi Sudipta, Your calculation is technically correct, though more importantly, it implies highly unrealistic assumptions.

These assumptions are very wrong and very important. Andreas Clenow December 17, at Slav D January 30, at Andreas Clenow January 30, at I never tried it. Never know until you try.

Build and see what you get. R or MatLab should be fine. I mostly build in RightEdge, but nothing wrong with your choices. Shawn February 4, at Hi Andreas Nice site and posts. Andreas Clenow February 4, at Hi Shawn, Nice of Katy and Niels to mention me. Jesse February 6, at Hello, When you say trend following, do you also mean technical analysis?

Shawn February 6, at Thanks for the earlier reply, Andreas. Andreas Clenow February 6, at Andreas Thanks for the quick, very comprehensive, and thoroughly awesome reply! Much kudos to you! Frank Roellinger February 18, at Trend following does work on a stock index: Andreas Clenow February 18, at Clenow, Thanks for the critique. So here are the answers: Andreas Clenow February 20, at Hi Frank, A few thoughts on your approach: Frank Roellinger February 20, at Hi Andreas, Thanks for your thoughts.

Andrea March 11, at Dear Andreas, thank you for your very interesting article and thank you for all the comments. Andreas Clenow March 12, at A large part of momentum returns come from risk parity sizing. Andrea March 30, at Thanks I think i ve got good results, would be happy to share with you.

Karel Ham April 26, at Hi Andreas I just discovered your site yesterday. Tim Vidmar March 1, at Hi Andreas, I am still very new to the world of algorithmic training and have only recently discovered your site recently. Do I have a point here? Or is it complete nonsense what I am peddling? Many thanks in advance for any comments! Andreas Clenow June 21, at Tim Vidmar March 4, at Fred Geschwill June 16, at Hi Fred, Broad ETFs can be easier, given their generally lower volatility.

Ken September 11, at Shorting and Walk Forward Test QuantStrat TradeR Pingback: The truth about stock trend following Following the Trend Pingback: Following the Trend Pingback: Beware of Trading Quotes - einfoMet Pingback: Apparently Trend Following Just Died Again Following the Trend Pingback: Stocks on the Move.

Sy QuantConnect Quantocracy State of Trend Following. Subscribe To RSS Feed 2, Followers. MataPetrol Looking forward, Carlos! Hope you'll like it. Username Password Remember me Forgot Password? Sign up for the FREE Clenow Research Newsletter!