Ep. 977: Trend Following Kick Ass Reminder with Michael Covel on Trend Following Radio
Michael Covel's Trend Following
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Random Strategy Selection
AHL is a managed futures trading operation owned by man out of London. The exercise was to simulate 200 random strategies with a target return of zero. Every single one has no skill, has purely generated numbers and a 15% volatility. And the idea is that just by pure random chance, and that's what the random number generator is doing, you're going to see strategies that look great. But when you put money on that top one in real time, it's going to do poorly.
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