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Trend Following’s Protective Edge
- Trend following rewards small losses and occasional large winners and requires letting winners run.
- Moritz Seibert emphasizes a raw, simple breakout approach and strict position-sizing by volatility.
Trade Wide And Size By Volatility
- Trade many liquid, independent markets to maximize diversification benefits.
- Size positions by market volatility and set risk at trade inception, then leave positions unchanged until stop or exit.
Simplicity Beats Overfitting
- Simpler, robust systems beat overparameterized models that overfit.
- Moritz Heiden found academic predictive methods struggled with trend following’s low hit ratio.