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Trend Vigor Part III: ATR position sizing, Annualized Sharpe above 1.4, and Why Leverage Is Pointless

June 11, 2014
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Trend Vigor Part III: ATR position sizing, Annualized Sharpe above 1.4, and Why Leverage Is Pointless

To continue the investigation of Trend Vigor (see part 1 here, and part 2 here), let’s examine the importance of … Continue reading →

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Trend Vigor Part II–the Delta parameter, Ehlers entries and exits, and (vaguely) intelligent portfolio management.

May 29, 2014
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Trend Vigor Part II–the Delta parameter, Ehlers entries and exits, and (vaguely) intelligent portfolio management.

The last post gave a cursory overview of implementing a basic quantstrat strategy, and an introduction to Dr. Ehlers’s Trend … Continue reading →

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A positive batting average trend follower? Introducing Trend Vigor.

May 25, 2014
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A positive batting average trend follower? Introducing Trend Vigor.

Since this is the first post on this blog, a quick start up for those who may be reading this … Continue reading →

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