Wednesday, May 13, 2009

Stock Trend Following

I've been making a lot of progress on the stock trend following systems I've been developing. They are long term in nature and have a bit of mean reversion in them to manage tail risk. I'll be noting them here. Thus far, I've tested it on a few individual stocks, the S&P 500, and the Nikkei with good results. Most important to me was the Nikkei performance. I wanted to see how a trend following system would perform with nominal price declines over relatively long periods of time.



How do you make money with the Nikkei since 1984? Trend follow it. There were plenty of opportunities to make decent returns over time with a good trading system.

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