�ݺ�ߣshows by User: LongboardAM

�ݺ�ߣshows by User: LongboardAM / http://www.slideshare.net/images/logo.gif �ݺ�ߣshows by User: LongboardAM / Mon, 01 Feb 2021 19:12:00 GMT �ݺ�ߣShare feed for �ݺ�ߣshows by User: LongboardAM Does trend following work on stocks? /slideshow/does-trend-following-work-on-stocks/242120095 doestrendfollowingworkonstocks-210201191200
Originally published in 2005. Abstract: Over the years many commodity trading advisors, proprietary traders, and global macro hedge funds have successfully applied various trend following methods to profitably trade in global futures markets. Very little research, however, has been published regarding trend following strategies applied to stocks. Is it reasonable to assume that trend following works on futures but not stocks? We decided to put a long only trend following strategy to the test by running it against a comprehensive database of U.S. stocks that have been adjusted for corporate actions. Delisted companies were included to account for survivorship bias. Realistic transaction cost estimates (slippage & commission) were applied. Liquidity filters were used to limit hypothetical trading to only stocks that would have been liquid enough to trade, at the time of the trade. Coverage included 24,000+ securities spanning 22 years. The empirical results strongly suggest that trend following on stocks does offer a positive mathematical expectancy, an essential building block of an effective investing or trading system.]]>
Originally published in 2005. Abstract: Over the years many commodity trading advisors, proprietary traders, and global macro hedge funds have successfully applied various trend following methods to profitably trade in global futures markets. Very little research, however, has been published regarding trend following strategies applied to stocks. Is it reasonable to assume that trend following works on futures but not stocks? We decided to put a long only trend following strategy to the test by running it against a comprehensive database of U.S. stocks that have been adjusted for corporate actions. Delisted companies were included to account for survivorship bias. Realistic transaction cost estimates (slippage & commission) were applied. Liquidity filters were used to limit hypothetical trading to only stocks that would have been liquid enough to trade, at the time of the trade. Coverage included 24,000+ securities spanning 22 years. The empirical results strongly suggest that trend following on stocks does offer a positive mathematical expectancy, an essential building block of an effective investing or trading system.]]> Mon, 01 Feb 2021 19:12:00 GMT /slideshow/does-trend-following-work-on-stocks/242120095 LongboardAM@slideshare.net(LongboardAM) Does trend following work on stocks? LongboardAM Originally published in 2005. Abstract: Over the years many commodity trading advisors, proprietary traders, and global macro hedge funds have successfully applied various trend following methods to profitably trade in global futures markets. Very little research, however, has been published regarding trend following strategies applied to stocks. Is it reasonable to assume that trend following works on futures but not stocks? We decided to put a long only trend following strategy to the test by running it against a comprehensive database of U.S. stocks that have been adjusted for corporate actions. Delisted companies were included to account for survivorship bias. Realistic transaction cost estimates (slippage & commission) were applied. Liquidity filters were used to limit hypothetical trading to only stocks that would have been liquid enough to trade, at the time of the trade. Coverage included 24,000+ securities spanning 22 years. The empirical results strongly suggest that trend following on stocks does offer a positive mathematical expectancy, an essential building block of an effective investing or trading system. <img style="border:1px solid #C3E6D8;float:right;" alt="" src="https://cdn.slidesharecdn.com/ss_thumbnails/doestrendfollowingworkonstocks-210201191200-thumbnail.jpg?width=120&height=120&fit=bounds" /> Originally published in 2005. Abstract: Over the years many commodity trading advisors, proprietary traders, and global macro hedge funds have successfully applied various trend following methods to profitably trade in global futures markets. Very little research, however, has been published regarding trend following strategies applied to stocks. Is it reasonable to assume that trend following works on futures but not stocks? We decided to put a long only trend following strategy to the test by running it against a comprehensive database of U.S. stocks that have been adjusted for corporate actions. Delisted companies were included to account for survivorship bias. Realistic transaction cost estimates (slippage & commission) were applied. Liquidity filters were used to limit hypothetical trading to only stocks that would have been liquid enough to trade, at the time of the trade. Coverage included 24,000+ securities spanning 22 years. The empirical results strongly suggest that trend following on stocks does offer a positive mathematical expectancy, an essential building block of an effective investing or trading system.

Does trend following work on stocks? from LongboardAM

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1 Does Warren Buffett own the next Tesla? /slideshow/does-warren-buffett-own-the-next-tesla/31987287 does-20warren-20buffett-20own-20the-20next-20tesla-140306065419-phpapp02
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]]> Thu, 06 Mar 2014 06:54:19 GMT /slideshow/does-warren-buffett-own-the-next-tesla/31987287 LongboardAM@slideshare.net(LongboardAM) Does Warren Buffett own the next Tesla? LongboardAM <img style="border:1px solid #C3E6D8;float:right;" alt="" src="https://cdn.slidesharecdn.com/ss_thumbnails/does-20warren-20buffett-20own-20the-20next-20tesla-140306065419-phpapp02-thumbnail.jpg?width=120&height=120&fit=bounds" />

Does Warren Buffett own the next Tesla? from LongboardAM

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1 Is Carl Icahn Buying The Wrong Stock? /slideshow/is-carl-icahn-buying-the-wrong-stock/27575997 is-20carl-20icahn-20buying-20the-20wrong-20stock-3f-131025131522-phpapp02
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]]> Fri, 25 Oct 2013 13:15:22 GMT /slideshow/is-carl-icahn-buying-the-wrong-stock/27575997 LongboardAM@slideshare.net(LongboardAM) Is Carl Icahn Buying The Wrong Stock? LongboardAM <img style="border:1px solid #C3E6D8;float:right;" alt="" src="https://cdn.slidesharecdn.com/ss_thumbnails/is-20carl-20icahn-20buying-20the-20wrong-20stock-3f-131025131522-phpapp02-thumbnail.jpg?width=120&height=120&fit=bounds" />

Is Carl Icahn Buying The Wrong Stock? from LongboardAM

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1 Is Microsoft the next Apple? /slideshow/is-microsoft-the/27339327 microsoftpresentation-131018114013-phpapp02
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]]> Fri, 18 Oct 2013 11:40:13 GMT /slideshow/is-microsoft-the/27339327 LongboardAM@slideshare.net(LongboardAM) Is Microsoft the next Apple? LongboardAM <img style="border:1px solid #C3E6D8;float:right;" alt="" src="https://cdn.slidesharecdn.com/ss_thumbnails/microsoftpresentation-131018114013-phpapp02-thumbnail.jpg?width=120&height=120&fit=bounds" />

Is Microsoft the next Apple? from LongboardAM

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1 Will Tesla Shorts Get Squeezed to $200? /slideshow/tesla-41513-18932945/18932945 tesla-4-15-13-130416121033-phpapp01
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]]> Tue, 16 Apr 2013 12:10:32 GMT /slideshow/tesla-41513-18932945/18932945 LongboardAM@slideshare.net(LongboardAM) Will Tesla Shorts Get Squeezed to $200? LongboardAM <img style="border:1px solid #C3E6D8;float:right;" alt="" src="https://cdn.slidesharecdn.com/ss_thumbnails/tesla-4-15-13-130416121033-phpapp01-thumbnail.jpg?width=120&height=120&fit=bounds" />

Will Tesla Shorts Get Squeezed to $200? from LongboardAM

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1 Will Tesla Shorts Get Squeezed to $200? /slideshow/tesla-41513-18932072/18932072 tesla-4-15-13-130416115627-phpapp02
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]]> Tue, 16 Apr 2013 11:56:27 GMT /slideshow/tesla-41513-18932072/18932072 LongboardAM@slideshare.net(LongboardAM) Will Tesla Shorts Get Squeezed to $200? LongboardAM <img style="border:1px solid #C3E6D8;float:right;" alt="" src="https://cdn.slidesharecdn.com/ss_thumbnails/tesla-4-15-13-130416115627-phpapp02-thumbnail.jpg?width=120&height=120&fit=bounds" />

Will Tesla Shorts Get Squeezed to $200? from LongboardAM

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1 https://public.slidesharecdn.com/v2/images/profile-picture.png https://cdn.slidesharecdn.com/ss_thumbnails/doestrendfollowingworkonstocks-210201191200-thumbnail.jpg?width=320&height=320&fit=bounds slideshow/does-trend-following-work-on-stocks/242120095 Does trend following w... https://cdn.slidesharecdn.com/ss_thumbnails/does-20warren-20buffett-20own-20the-20next-20tesla-140306065419-phpapp02-thumbnail.jpg?width=320&height=320&fit=bounds slideshow/does-warren-buffett-own-the-next-tesla/31987287 Does Warren Buffett ow... https://cdn.slidesharecdn.com/ss_thumbnails/is-20carl-20icahn-20buying-20the-20wrong-20stock-3f-131025131522-phpapp02-thumbnail.jpg?width=320&height=320&fit=bounds slideshow/is-carl-icahn-buying-the-wrong-stock/27575997 Is Carl Icahn Buying T...