Trend Setters: The Mechanics of Trend-Following
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Vol Scaling for Macro Markets
When trends in a sense have been too strong you empirically see a bit of a give up and that's somewhat predictable. What is less common is to actually bet on mean reversion what is more common is to bet less on trend continuation. So I'll pick up on the vol scaling bit as well. Yeah, so two degree vol scaling is a necessity when you trade macro markets because some macro markets are very volatile. Think of for example natural gas can easily move 10% in just one day but interest rates future very short duration fixed income security doesn't move that much on a day to day basis.
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