How to Optimize Your Portfolio for Future Trend Following Systems

Scott is describing a methodology that I talked about my blog but I don't actually use myself. It's a way to essentially adjust these simple portfolio weights according to the kind of back tested chart ratio of the system. So for example let's suppose the bond system is just amazing and it completely wipes the floor with both the bobble and the S&P system well instead of giving that 25% of the risk you might want to increase that by a factor of one and a half so you bump it up to about 37%. And obviously the other two instruments would then reduce their risk. Scott: "I never really see strong evidence that one system is better than the other"

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