Analysis of a Global Futures Trend-Following Strategy

摘要: Systematic traders employ algorithmic strategies to manage their investments. As a result of the deterministic nature such strategies, it is possible determine exact responses any conceivable set market conditions. Consequently, sensitivity analysis can be conducted systematically uncover undesirable strategy behavior and enhance robustness by adding controls reduce exposure during periods poor performance/unfavorable conditions, or increase strong performance/favorable In this study, we formulate both simple systematic trend-following (i.e., trading model) simulate investment decisions model evolution instrument prices. We then map relationship between parameters under various conditions performance. focus, in particular, on identifying performance impact changes serial dependence price variability trend. The long-range true range worsens classic strategy. During performance, dispersion outcomes increases significantly as increases.