PDF D Following the Trend: Diversified Managed Futures Trading (Wiley Trading ) By Andreas F. Clenow Best Seller. Go to the profile of Cillxa. During bull and bear markets, there is a group of hedge funds and professional traders which have been consistently outperforming traditional investment. This guide is dedicated to all traders out there who believe in trend following. In his book, Following the Trend, Andreas Clenow reveals his systematic Trend.
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downloads, , Andreas Clenow Honest Update on the Trend Following Landscape - An_Honest_Update__pdf. When was the last time you read a trading book written by a real hedge fund manager? Did that book give you any details on actual trading methods?. During bull and bear markets, there is a group of hedge fundsand professional traders which have been consistently outperformingtraditional investment.
I need to do a short break and then consider my trading future. Not only by simply written or printed but also can you enjoy this book simply by e-book. Mohan June 21, at Cant wait to see your new book coming!! I never follow traders or investors who sells something!!! They were probably more entertaining and offered easier solutions and quicker gains.
Trading everything from the Nasdaq index and T-bills to currency crosses, platinum and live hogs, there are large gains to be made regardless of the state of the economy or stock markets. By analysing year by year trend following performance and attribution the reader will be able to build a deep understanding of what it is like to trade futures in large scale and where the real problems and opportunities lay.
Written by experienced hedge fund manager Andreas Clenow, this book provides a comprehensive insight into the strategies behind the booming trend following futures industry from the perspective of a market participant.
The strategies behind the success of this industry are explained in great detail, including complete trading rules and instructions for how to replicate the performance of successful hedge funds. You are in for a potentially highly profitable roller coaster ride with this hard and honest look at the positive as well as the negative sides of trend following. Business Nonfiction Publication Details Publisher: Wiley Publication Date: He specialises in developing and trading quantitative strategies acros We want your feedback!
Click here. Clenow ebook. Subjects Business Nonfiction. Business Nonfiction. Publication Details Publisher: To make it easier to compare.
In reality, you would want at least markets, to be able to get some diversification effects. If you only trade very similar markets or too few markets, you will have a much higher degree of luck involved.
With enough markets, the results will get more steady. In the book, I recommend a base capital of around 1 million USD, which would be around 8 million HKD for efficient diversified futures trading.
If you have a lower amount, you could look at using CFD markets as a substitute for futures. They require lower capital, but have higher fees. Also, the stock markets are much more friendly to smaller portfolios than the futures markets.
Hopefully that should be out in both Simplified and Traditional Chinese in a year or so. Thank you Andreas! I asked many book shops and most of them told me that the book has been sold out, and by the way, the design and translation perfectly suits the Chinese too ha! And it is very appreciating that you told me the truth about futures trading. I discovered that I have very intense interest in financial market, especially for futures trading after I got to university. I think I am going to learn some program writing first as mentioned in the second chapter of your book, and stick pieces to pieces to form a prototype for my present amateur level of index futures Hang Seng Index trading in this recent period.
Although I cannot make full use of the trading model right now, it still makes me learn a lot such as those knowledge about risk factor, ATR, importance of adjusted and non adjusted data and the key to winning, back testing. I will transplant these elements into the prototype if available.
Cant wait to see your new book coming!! But I have a question on how you calculate the return. Currencies Do you divide the PNL by your total starting cash? I feel this number is very high given you only risk only a small portion of your asset for each trade. Is it possible that you can share with us all the trades price and size in your simulation, at least for a year?
I have read a lot of books on trend following and although I really believe that it works I have never traded one. Thanks Gregory belgium.
They just take up space in the portfolio. No problem with systematic trading models on ETFs, even trend following in style. There is a decent book on ETFs trading: It presents two trading systems for ETF universe. It may seem not as exciting and deep as FTT and Stocks On the Move, however, the author did extensive test runs and there are insights to be gained from it.
Try the book Systematic Trading by Rob Carver. I have read both of your books, and enjoyed them both immensely. At this point I would like to attempt to recreate your strategies and was hoping to ask a couple of questions before I get started. Firstly, if I implement the equity momentum strategy then does it make sense to remove the equities section of the investment universe for the trend following strategy?
Have you considered how you would combine the two? Would you simply trade each strategy with fixed allocations to each or is there a better way to incorporate the equity strategy into the trend following strategy? With respect to the RightEdge platform you recommend, will that handle all my Portfolio management and tracking requirements or will I need to export data to Excel and build spreadsheets for further analysis? For example, is it straightforward to build a correlation in matrix in RightEdge or is that easier to do in Excel?
Combining strategies is a very important, and quite complex subject.
A CIO at a pension fund usually wants building blocks, not combined strategies. Making a portfolio is his job, not yours. How you do it depends very much on what you want to achieve.
But I see nothing wrong with keeping the equity indexes on the futures leg. Trends are there for the taking. Keep in mind that the futures model in the book was meant as a basic model to explain the trend following industry. You can do much better than that model. I use RE as a reporting engine for instance, with a plugin that pushes data into a database for analysis. I accept that this model can be improved on, but based on the evidence presented in your book, this model captures a significant portion of the returns available to trend following models, the returns themselves are quite impressive, and they are not that far off from models that you actually trade.
With respect to the actual book itself I would like to ask a couple of questions. Firstly, would building a correlation matrix to ensure oversized bets are not made on highly correlated trends work to reduce the initial capital requirements of a trend following strategy? Lastly, I wonder if you think the end of the commodity supercycle, the possibility of an era of rising interest rates and the difficulty of making money on the short side of the trend following strategy are serious threats to the future profitability of the strategy?
A bit simplistic perhaps. But I made that model as a teaching tool, to teach a principle and let people build around it. All too many readers mistook the model for a super secret trading model that everyone should trade.
The parameters are more or less chosen at random and meant as a middle-of-the-road trend model. Everyone should do their own research, come to their own conclusions and pick a trading approach for their own reasons. Never trade any model you find in any book without doing your own research. Correlation matrix: See the reply below to David.
Real returns: You could adjust everything by inflation, but what would be the use of that. Futures strategies had higher returns back then, since you got a significant boost from the return on excess capital. Supercycles is something that mostly occupies numerologists. When someone talks about hundred year cycles and such, I quickly end the conversation.
These are technical analysts without grounding in reality. Possible rising interest rates is an interesting issue of course. That could potentially be a completely new type of scenario and it will be very interesting to see how models will deal with that, if it materializes.
I have a hard time imagining that there will be no trends to trade. But perhaps the models need to be adapted. Who knows until we get there. Models are and should always be improved and adapted. The idea of making a model once, never changing anything and trading it for twenty years is just legends in retail oriented trading books.
Hi Andreas, loved the book FTT.
What are your thoughts on market selection. In my backtests and my own trading I experienced its sometimes great to be massively exposed to one set of markets e. I understand the book had to be kept as simple as possible. This is a huge dilemma of course.
The problem is clear, but not the solution.
Yes, highly correlated bets in the portfolio on massive leverage will get very painful when everything turns. But at the same time, much of the returns from trend following comes from this very type of bets. Remember the great returns we all had back in ? Those were a direct result of taking on very correlated positions. So what to the big guys do? Others say that their whole strategy is based on taking massive corner risk in such situations, and that limiting it would kill profitability.
Also, does your Following The Trend book cover this? It uses a trend following model, where all rules are explained in detail, to show how most trend following strategies are more or less the same.
I go over detailed trading over many years to show how such a model really performed, good and bad. I also reverse engineer some major futures hedge funds to prove that their methods are not materially different from what I present. I do try to cover this in the subscriber part of this site, both in research documents and in the weekly markets report.
Term structure is a major part of futures trading. Whenever I see some analyst showing a long term chart of cash gold, oil or other, and then drawing conclusions about how to trade the futures, I just want to shake my head in disbelief. In the premium futures report did I really just plug that again? I show term structure charts for 70 markets with weekly updated comments, and there are some research docs in there too that covers things like analyzing implied yield in term structures.
Reading academic papers on trading strategies, I usually have this feeling of reading some random blog post, except that they try their hardest to use as complex sentences as possible to cover the lack of actual content.
I glances through this paper a bit, until it was clear to me that this is just some school paper. I agree academic papers are unnecessarily pedantic. Is that correct? For this reason I read trading books quite rarely. You will find hundreds of books describing trends, oscillators, lines, fibos and etc. Although this info could be easily found on the internet for free.
But my thoughts were far away from the reality. Honestly I enjoyed reading from the 1st till the last page.
It is quite disappointing. Andreas describes the core of the trend followng strategy and where to focus if you want to develop your own strategy.
And the reality is that without math or some programming knowledge you are almost not competative in this business. I love trading. And this book opened my eyes. I need to do a short break and then consider my trading future. My native language as you see is not English. But this book is very easily readable, full of charts, historical reviews and back-tests. And I will definitely read this book again. When I was reading this book at the same time I checked all info about the writer because I am very sceptical when someone writes about the money.
At the same time I hope to see more books from Andreas Clenow. Now I have so much questions but i will ask some that are the most important for me. I love trading and I want to build my career as a trader. Get a new degree? I appreciate your help. Thank you: Hi Andreas: As I read your book in a quick way in the first time, I got that you give two examples to introduce the trend following ideas, and you mention too much on the breakout strategy compares to MA.
Is there any weakness or big risk to adopt the MA strategy? Is there any filter or else to patch up it? I look forward to get more from you about the MA, to strengthen my idea, thanks a lot.
Hi Andreas, such a great book indeed! By chance, have you got the core strategy results updated as of December ? Please advise. Cheerio, CR. Hi Andreas! Is that in your Following the Trends? Otherwise I look forward to reading your book s and exploring the many chapters you have taken the time to share with us and your insights. Thanks in advance -Quincy. Did I? In industry terminology, a CTA would be a futures hedge fund. If you would run a futures trend following fund out of Paris, people in the business would call your fund a CTA.
Not you, but your fund. Obviously the term originally comes from the NFA regulatory term, but as you see the meaning has changed about overseas. I was hired as an expert witness in a hedge fund civil suit some years back.
Lucky for me, I was well prepped and prepared. One of many attempts to trick me, was just this very question. According to this document, you are a CTA. Would you care to elaborate? Come to think of it, that court procedure was the most fun I had that whole year. If anyone out there is running a hedge fund and getting suit, give me a call! In Chapter 4 and Appendix C, his book describes portfolio optimization approaches to determining, among other things, instrument weights in a portfolio.
I think the author works mainly in Python. Do you implement some version of that in your work on RightEdge? If so, can you recommend any C math libraries that include markowitz and other optimization approaches? Many thanks for any leads. Just purchased the book — looking forward to it. I have always been more drawn to shorter duration, smaller profit trades, which usually are buying on some weakness and selling on some strength.
I actually keep hoping that I can be convinced to at least attempt a trend following method for a few years, so maybe your book will help me along that path! Still trending Nick's Tricks. Your email address will not be published.
Andreas Clenow. Sergey January 10, at Otherwise we come to this: Good luck in your writing and paid coaching career!! Sincerely, Sergey. Andreas Clenow January 10, at I wish you the best of luck in your trading, Sergey. Stay skeptic! Sergey January 11, at Hi, Andreas. Thank you, Andreas. And good luck!! Henrique March 23, at First of all, English is not my first language, so, I apologize for any eventual mistakes.
Andreas Clenow March 24, at Thanks, Henrique! Henrique June 20, at Andreas Clenow June 20, at Mohan June 21, at Andreas Clenow June 22, at Hi Mohan, I just uploaded a demo spreadsheet here: Mohan June 22, at Jacky Law January 9, at Andreas Clenow January 9, at Hi Jacky, The Chinese version is out?
Nan January 17, at Hi Andreas, I have read your book and tried to replicate your results. Thank you very much! Gregory February 3, at Hello Andreas, I have read a lot of books on trend following and although I really believe that it works I have never traded one. Andreas Clenow February 5, at Vitaly February 26, at Andreas Clenow February 27, at Mark February 5, at Hi Andreas, I have read both of your books, and enjoyed them both immensely.
Regards, Mark. Hi Mark, Combining strategies is a very important, and quite complex subject. Mark February 8, at Hi Andreas, thanks for getting back to me, your insights are appreciated. Andreas Clenow February 8, at Thanks Andreas, I sincerely appreciate your responses. David February 7, at Am I over-complicating matters? Welcome to trend following!
Being a Scandinavian after all, I try to take the middle road…. RobertL February 9, at Hello Andreas, Fist, this is a x-post from another section of this site.
Thanks, Robert. Andreas Clenow February 9, at Mark March 4, at Hi Andreas, I am curious if the trend following model in your book adjusts for bid-ask spreads? This paper, http: Andreas Clenow March 4, at Thanks Andreas, I agree academic papers are unnecessarily pedantic.