Trend Modelscan simple trend strategies work long term?
Overview
Trend models overview
Trend is popular
Trend models
Historical returns to trend models
Trending or not?
Two very different currencies
More currencies
Stability of returns and IR
The ‘best’ moving average
Optimal region for annual return
Optimal region for information ratio
Single moving average vs multiple moving average
Historical returns to 70 day single moving average model
2004 70 day single moving average model
In- and out-of-sample tests
Test methodology – 2-stage approach
MA model details
In-sample optimised results
In-sample results
Out-of-sample testing
Out-of-sample results
Is trend dead??
A Model Example
Trends and options
Simple trend following strategies
Average Information Ratio
Option selling in certain currencies
Comparing option selling and trend following
Combining the two strategies into a portfolio
Grouping currencies into option sellers and trend followers
New portfolio using appropriate strategies for their currencies
Combined portfolio result
Stationarity of behaviour
Trend-option switching strategy
The best of trends and options
Which options? Which vol switch?
Which trend?
Trend only results ... mediocre
Weekly straddle writing - poor
Simple combination of the two
Detailed strategy rules for switching
Strategy implementation
Results
Results
Results
Single Currency Illustration