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Following the Trend: Diversified Managed Futures Trading
During bull and bear markets, there is a group of hedge funds and professional traders which have been consistently outperforming traditional investment strategies for the past 30 odd years. They have shown remarkable uncorrelated performance and in the great bear market of 2008 they had record gains. These traders are highly secretive about their proprietary trading algorithms and often employ top PhDs in their research teams. Yet, it is possible to replicate their trading performance with relatively simplistic models. These traders are trend following cross asset futures managers, also known as CTAs. Many books are written about them but none explain their strategies in such detail as to enable the reader to emulate their success and create their own trend following trading business, until now.
Following the Trend explains why most hopefuls fail by focusing on the wrong things, such as buy and sell rules, and teaches the truly important parts of trend following. 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.
Following the Trend explains why most hopefuls fail by focusing on the wrong things, such as buy and sell rules, and teaches the truly important parts of trend following. 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.
312 pages, Hardcover
First published November 5, 2012
52 people are currently reading
661 people want to read
About the author
Andreas Clenow
6 books43 followersGrowing up in a tiny Swedish town, Andreas has spent the past few decades in the Swiss high finance world. That journey involved IT startups, corporate management, garage band hedge funds, quant finance, proper hedge funds, private equity, family offices, and authoring some books.
He has written three international best sellers in the finance, non-fiction space - Following the Trend, Stocks on the Move, and Trading Evolved, and he is translated into eight languages.
With his upcoming work of fiction - a finance noir crime story set in the heart of Zurich, he hopes to finally be able to call himself a novelist.
He has written three international best sellers in the finance, non-fiction space - Following the Trend, Stocks on the Move, and Trading Evolved, and he is translated into eight languages.
With his upcoming work of fiction - a finance noir crime story set in the heart of Zurich, he hopes to finally be able to call himself a novelist.
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Displaying 1 - 14 of 14 reviews
August 6, 2014
Where most trend following books speak in general terms about how a strategy like this works, this book walks you through all the steps and pitfalls of developing and living through a trend based futures strategy.
May 18, 2016
Well written and easy to understand. For me the essence is in the simple guidelines shared.
While each of us has to make their own journey, the guidelines are useful.
While each of us has to make their own journey, the guidelines are useful.
February 18, 2023
Fantastic book. The content is simple and easy to understand but the author has very deep and extensive knowledge about the markets and how to trade them. I read many books that were too simple or too complex, but Clenow really succeeds in taking simple concepts and convert them into trading strategies that work in a realistic world, taking risk and volatility as the main variable and he acknowledges that optimisations or trading rules details are less relevant.
He takes his insights from the hedge fund industry and compares the results from his presented strategies to the results of established industry names, and is able to replicate similar results.
A real not-complex look behind the scenes in de hedge fund industry.
One of the best trading books I read out of 30+ famous trading books.
He takes his insights from the hedge fund industry and compares the results from his presented strategies to the results of established industry names, and is able to replicate similar results.
A real not-complex look behind the scenes in de hedge fund industry.
One of the best trading books I read out of 30+ famous trading books.
October 23, 2017
Curve fitted, to realize past performance is unreal due to diminishing returns. No out of sample testing and other important parameters.
I wouldn't even try to argue that moving average strategies are dumb, and if so much funds use them it only shows what idiotic place we're in where idiots "manage" money and pretend to be kings of the world. At least it's changing with diminishing returns.
For comparison, here's my own futures strategy for last two years. Only one instrument, holding for 1 day, 3 trades a month on average, zero prone to overfit parameters (except for SL probably), 62%win rate, 400% return (with 41% DD). This is, of course, for demonstration of concept only because I'm not comparing risk adjusted returns, but in any case it shows how dumb are moving average based strategies that are holding countless assets all the time when higher returns can be generated only, let's say, 3 days in a month:
I wouldn't even try to argue that moving average strategies are dumb, and if so much funds use them it only shows what idiotic place we're in where idiots "manage" money and pretend to be kings of the world. At least it's changing with diminishing returns.
For comparison, here's my own futures strategy for last two years. Only one instrument, holding for 1 day, 3 trades a month on average, zero prone to overfit parameters (except for SL probably), 62%win rate, 400% return (with 41% DD). This is, of course, for demonstration of concept only because I'm not comparing risk adjusted returns, but in any case it shows how dumb are moving average based strategies that are holding countless assets all the time when higher returns can be generated only, let's say, 3 days in a month:
August 20, 2016
Very educational, factual, statistical and valuable book.
This is a professional book written by a Futures Fund Manager for anyone who is looking to start their own Fund. It breaks down in fine detail on the core principles of Diversified Trend Following. Absolutely packed with solid data with the authors results and outcomes applying their strategy for almost 20 years (their fund goes from $100 mil to almost $2 bil during these years).
Although, I don't think I'll be a million+ dollar fund manager soon, there are many valuable points you can obtain from this book. With real evidence on how their Trend Following stragies work and what makes up those strategies, this is a great book for any Trend Follower.
This is a professional book written by a Futures Fund Manager for anyone who is looking to start their own Fund. It breaks down in fine detail on the core principles of Diversified Trend Following. Absolutely packed with solid data with the authors results and outcomes applying their strategy for almost 20 years (their fund goes from $100 mil to almost $2 bil during these years).
Although, I don't think I'll be a million+ dollar fund manager soon, there are many valuable points you can obtain from this book. With real evidence on how their Trend Following stragies work and what makes up those strategies, this is a great book for any Trend Follower.
January 9, 2019
A good book gives both insights and realistic picture
Many thanks to the author who not only generously gives his insights on trending following ore strategy, and the most important part of how to use 5 different sectors to create diversified portfolio - one key step to enable trend following, plus the most critical part of risk management via risk adjusted position sizing, he also devoted one chapter to give details of 20 years by year trading history of the fund. This details paint the most valuable and realistic picture of what one will experience even if in theory, a winning trading strategy. I am quite sure many of us (including myself) would have either given up or tweak the strategy during such turbulent trading period.
Many thanks to the author who not only generously gives his insights on trending following ore strategy, and the most important part of how to use 5 different sectors to create diversified portfolio - one key step to enable trend following, plus the most critical part of risk management via risk adjusted position sizing, he also devoted one chapter to give details of 20 years by year trading history of the fund. This details paint the most valuable and realistic picture of what one will experience even if in theory, a winning trading strategy. I am quite sure many of us (including myself) would have either given up or tweak the strategy during such turbulent trading period.
November 5, 2017
Andreas is a real professional in the manged funds world and knows what he is talking about. He speaks clearly about the advantages and disadvantages of investing in futures as well as the pitfalls. Its fun to read. The book mainly adresses do-it-yourself (hobby) investors who are not afraid to do some coding and data analysis (and turn into professionals). I am still surprised his examples of „simple“ strategies can beat the benchmark funds, I will try to test this with backtesting using my own dara.
August 20, 2018
Probably the most complete book on futures trading I've read. Obviously focused on trend following, building up a simple mechanical trend following approach, which, applied to a diversified portfolio, accounts for the performance of the most lionised of traders. But complete in the sense of also addressing position sizing, psychological aspects and much of the practical minutiae. Grounded in verifiable evidence. Unlike so many other books, this doesn't leave you with a sense of some further secret sauce that you're missing out on.
May 14, 2018
Practical
Good insights into the world of trend following funds. Although the algorithms are basic, they show what is possible for this approach. Good book.
Good insights into the world of trend following funds. Although the algorithms are basic, they show what is possible for this approach. Good book.
June 17, 2018
Follow the trend is your friend
December 17, 2018
Very good book about trend following.
August 12, 2021
a great book for beginners .
Want to read
February 13, 2019i want to read
Displaying 1 - 14 of 14 reviews