Simple trend following systems
Here are three basic trend following strategies for trading a diversified futures
portfolio.
Entries and Exits:
- Enter on 30-day breakout/ Exit on a 15-day breakout in opposite direction
- Enter on 50-day breakout/ Exit on a 25-day breakout in opposite direction
- Enter on 100-day breakout/ Exit on a 50-day breakout in opposite direction
Stop loss: A filter to reduce drawdowns: 3 ATR stop based on the past 100-days.
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