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"Counter Trend Trading – Threat or Complement to Trend Following?" from QuantCon Singapore 2016

QuantCon Singapore 2017, our quantitative trading conference, is right around the corner. To remind everyone what a great conference this is, we are beginning to release presentations from QuantCon Singapore 2016. First up is last year's keynote.

"Counter Trend Trading – Threat or Complement to Trend Following?" by Andreas Clenow, Chief Investment Officer of ACIES Asset Management

Over the past 30 years, trend following has been a remarkably successful futures trading strategy. Once a fringe trading style barely known outside of Chicago, it has grown into a $300 billion global industry. It would be very difficult indeed to claim that trend following doesn’t work in the face of decades of empirical evidence otherwise. But trend following isn’t completely without problems.

It is well known that classic trend following models tend to lose money on a majority of trades. This is not necessarily an issue, since trend following is all about accepting a large number of small losses in exchange for a small number of large gains. As long as the net is positive, all is fine. That is the underlying idea of the strategy and it has historically worked very well.

 

However, if you dissect trend following models you can find weaknesses which could be exploited. This is what counter trend trading models are about. These counter trend models usually operate on a shorter time frame and with nearly opposite logic.

As counter trend models are gaining popularity in the systematic trading hedge fund field, a few questions arise. Are these models a threat to trend following? Can they be a complement to trend following? Can trend following be adapted to be less susceptible to the counter trend issue?

Andreas Clenow Returns to QuantCon Singapore 2017 - September 28th-30th

Join Andreas, other leaders in the industry, and your fellow quants for 3-day program focused on rigorous methodologies and ideas, cutting-edge data and tools, and current industry trends, that can help you improve your own investment strategies.

Other 2017 talks include:

  • "Supply Chain Earnings Diffusion" by Josh Holcroft, Head of Quantitative Research, Asia at UBS Investment Bank
  • "Portfolio Optimization: When You Don’t Know the Future (or the Past)" by Rob Carver, Independent Systematic Futures Trader, Writer and Research Consultant
  • "Real-time Machine Learning Architecture and Sentiment Analysis Applied to Finance" by Juan Cheng, Data Scientist at InfoTrie
  • "Application of ARIMA Modelling to Handle Intraday FX Volatility during Economic Data Release (EDR)" by Alex Siew, Fund Manager in VCB Capital

Tickets are available now. To learn more, visit www.quantcon.sg.

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