1.
Direction, Trend 그리고 Momentum (1)에 이어지는 글입니다. Direction, Trend 및 Momentum을 알고리즘트레이딩에서 어떤 의미로 사용하는지를 알아보았습니다. 이제 관련한 전략을 알아보기 전에 Trend Following Strategy의 유용성을 역사적으로 검증한 논문을 소개하겠습니다.
먼저 Two centuries of trend following입니다.
We establish the existence of anomalous excess returns based on trend following strategies across four asset classes (commodities, currencies, stock indices, bonds) and over very long time scales. We use for our studies both futures time series, that exist since 1960, and spot time series that allow us to go back to 1800 on commodities and indices. The overall t-stat of the excess returns is since 1960 and since 1800, after accounting for the overall upward drift of these markets. The effect is very stable, both across time and asset classes. It makes the existence of trends one of the most statistically significant anomalies in financial markets. When analyzing the trend following signal further, we find a clear saturation effect for large signals, suggesting that fundamentalist traders do not attempt to resist “weak trends”, but step in when their own signal becomes strong enough. Finally, we study the performance of trend following in the recent period. We find no sign of a statistical degradation of long trends, whereas shorter trends have significantly withered.
이 논문은 아래와 같이 Trend를 측정하였습니다.
위와 비슷한 주제를 다룬 논문이 하나더 있습니다.
A Century of Evidence on Trend-Following Investing (2012)
2.
Trend Following Trading Introduction을 보면 Trend Following의 장점을 다음과 같이 소개합니다.
- Profit in up and down markets: Trend following doesn’t swear an allegiance to a bull or bear market. It follows trends to the end. No matter how ridiculous trends might appear early and no matter how insanely extended they might appear at the end, follow trends. Why? They always go farther than anyone expects. Ignore momentum at your peril.
- No more buy and hold, analysts, or news: Trend following decision-making doesn’t involve discretion, guesses, gut feelings, or hunches. It’s not day trading or buy and hope. It doesn’t involve passive indexing, in and out trading, or fundamental analysis. No more 24-hour news cycles, daily turbulence, or sensational hype. No black boxes or magic formulas either. Let go of the Holy Grails.
- No prediction: Trends exist everywhere, always coming and always going. Markets are no different: They trend up and down. That said, no one can predict a market trend, you can only react to one. Trend following never anticipates the beginning or end of a trend. It only acts when the trend changes. There is no need to figure out why a market is trending, just follow it. You don’t need to understand electricity to use it.
- The big money of letting profits run: Trend following at its best aims to compound absolute returns. It doesn’t shoot for average. The goal is to make the knock your socks off returns, not passbook savings interest. Trend following also has the unique ability to lie and wait for targets of opportunity. That means killing it on unpredictable surprises.
- Risk management is top priority: Trend following always has defined exit protocols to control injury to your account. Stop losses and proper leverage usage are standard practice. Trend following also has low to negative correlations with most other investment opportunities.
- Takes advantage of mass psychology: Trend following takes advantage of panicky sheep behavior. Strict discipline minimizes behavioral biases. It solves the eagerness to realize gains and reluctance to crystallize losses. Too many people believe what pleases them. Most behaviors are simply driven by the impulsive moment of now. Trend following wins because of that.
- Scientific approach to trading: Trend following doesn’t require a belief, but rather it relies on unwavering scientific principles. It has a defined edge just like the MIT card-counting team that beat Vegas casinos. Be the casino, not the hapless player. Trend following uses rigid rules rooted in numbers. Think process not outcome. Remember, frequency of correctness is not the issue, the magnitude of correctness matters. Winning percentage means zilch.
- Strong historical performance in crisis periods: Trend following is adaptable to differing climates and environments performing best during periods of rising volatility and uncertainty. The unknown will happen again. Are you ready? You have to be able to ride the bucking bronco. Ride the storm out and stay alive.
- No traditional diversification: Trend following is not restricted to any single market or instrument. A focus on price action allows trend following to be applied to an exceptionally large variety of markets. Price is the one thing that all markets have in common. A trend trading system for treasury bonds should also work on the Euro and stocks. Trend following is robust.
- No government reliance: Forget Social Security, bailouts, stimulus plans, and roads to nowhere. Those won’t help you to make money; they only help you lose. When the Fed puts on or takes off the training wheels (read: rate manipulation), will you be ready to mint cash or will you sit there and just take it again? If your portfolio is grounded in sound principles you can win no matter what happens.
제가 문외한이라 사실인지 확인할 수 없지만 아래 논문은 Trend Following에 대한 학술적인 연구가 없었다고 합니다.
Trend following (TF) is trading philosophy by which buying/selling decisions are made solely according to the observed market trend. For many years, many manifestations of TF such as a software program called Turtle Trader, for example, emerged in the industry. Surprisingly little has been studied in academic research about its algorithms and applications.
그래서 논문은 Trend Following Algorithm과 Application을 다룹니다.
Trend following algorithms in automated derivatives market trading
출처는Si Yain Whar, Lawrence입니다. 이 논문과 비슷한 주제를 다루고 있는 논문이 The Application of Trend Following Strategies in Stock Market Trading 입니다.
논문을 가져온 곳은 The Application of Trend Following Strategies in Stock Market Trading입니다.
