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dc.contributor.authorNokes, Derek ( )
dc.contributor.authorFulton, Lawrence V. ( Orcid Icon 0000-0001-8603-1913 )
dc.date.accessioned2021-07-12T18:14:37Z
dc.date.available2021-07-12T18:14:37Z
dc.date.issued2019-06
dc.identifier.citationNokes, D., & Fulton, L. (2019). Analysis of a global futures trend-following strategy. Journal of Risk and Financial Management, 12(3): 111.en_US
dc.identifier.issn1911-8074
dc.identifier.urihttps://digital.library.txstate.edu/handle/10877/13839
dc.description.abstractSystematic traders employ algorithmic strategies to manage their investments. As a result of the deterministic nature of such strategies, it is possible to determine their exact responses to any conceivable set of market conditions. Consequently, sensitivity analysis can be conducted to systematically uncover undesirable strategy behavior and enhance strategy robustness by adding controls to reduce exposure during periods of poor performance/unfavorable market conditions, or to increase exposure during periods of strong performance/favorable market conditions. In this study, we formulate both a simple systematic trend-following strategy (i.e., trading model) to simulate investment decisions and a market model to simulate the evolution of instrument prices. We then map the relationship between market model parameters under various conditions and strategy performance. We focus, in particular, on identifying the performance impact of changes in both serial dependence in price variability and changes in the trend. The long-range serial dependence of the true range worsens performance of the simple classic trend-following strategy. During periods of strong performance, the dispersion of trading outcomes increases significantly as long-range serial dependence increases.en_US
dc.formatText
dc.format.extent18 pages
dc.format.medium1 file (.pdf)
dc.language.isoen
dc.publisherMultidisciplinary Digital Publishing Instituteen_US
dc.sourceJournal of Risk and Financial Management, 2019, Vol. 12, No. 3, Article 111.
dc.subjectTrend-followingen_US
dc.subjectMonte Carloen_US
dc.subjectSensitivity analysisen_US
dc.titleAnalysis of a Global Futures Trend-Following Strategyen_US
dc.typepublishedVersion
txstate.documenttypeArticle
dc.rights.holder© 2019 The Authors.
dc.identifier.doihttps://doi.org/10.3390/jrfm12030111
dc.rights.licenseCreative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.
dc.description.departmentHealth Administration


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