How to Optimize Your Trend Following Program to Improve Returns

The biggest winners seem to always be on the long side, although you can point certainly to short trades that were just phenomenal. So there are times when the short trades definitely are the performers in the program, but historically, decade after decade, it's been the long trade. The other thing I think is when you're doing research and you're looking to stay abreast of how markets are changing and evolving from year to year and decade to decade, your process for re-optimizing your systems using the new data inputs from year toyear is important.

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