Trend Following and Managed Futures

Styles

Systematic long and short positions in futures across asset classes, sized by volatility; the oldest surviving quantitative strategy.

6 books · 7 people behind it

Start here

  1. Market WizardsJack D. Schwager, 1989
  2. Way of the TurtleCurtis Faith, 2007
  3. Following the TrendAndreas F. Clenow, 2013

The people behind it 7

Each person holds a book in this entry or names it in their own tags.

Investors 6

JD
Jack D. Schwager1 book hereJesse Livermorenamed in their tagsPaul Tudor Jonesnamed in their tags
MF
Meb Fabernamed in their tags
ND
Nicolas Darvasnamed in their tags
VK
Van K. Tharpnamed in their tags

Journalists 1

JD
Jack D. Schwager1 book here

Books 6

Market Wizards
T1 Market Wizards
Jack D. Schwager · 1989 · Interviews that introduced the trend followers to a general audience.
Open Library
Mohnish PabraiHoward Marks
Trading Systems and Methods
T3 Trading Systems and Methods
Perry J. Kaufman · 1978 · The reference manual for systematic rule construction and testing.
Open Library
Trend Following
T3 Trend Following
Michael W. Covel · 2004 · Popular survey of the managers and the evidence for the style.
Open Library
The Complete TurtleTrader
T3 The Complete TurtleTrader
Michael W. Covel · 2007 · The Dennis and Eckhardt experiment in teaching a mechanical system.
Open Library
Way of the Turtle
T3 Way of the Turtle
Curtis Faith · 2007 · An actual Turtle's account of the rules and why most trainees failed.
Open Library
Mohnish Pabrai
Following the Trend
T3 Following the Trend
Andreas F. Clenow · 2013 · A working manager's replication of a diversified futures programme.
Open Library