Tuesday, January 5, 2016

Revealing the secret behind trend following models

The blogger Jesse Livermore at Philosophical Economics recently wrote another brilliant post about the use of trend following models and market timing. He found that trend following models work very well on diversified stock indices, but didn't really understand the mechanism of how they worked. As I pride myself on being a left and right brained quant, I am going to try and explain why these classes of models work and why they perform poorly on individual securities.

The full post is at our new site here.

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