Interactive Session – The Trend Arms Race: Using Mean Reversion Models to Exploit Trend Following Weakness

April 12, 2018

Andreas Clenow

Author & Chief Investment Officer

Trend following has been remarkably profitable for several decades. Again and again this industry sector has outperformed in the long run. As successful as it is, it is not without flaws. By properly understanding trend following and the footprint created by the now enormous CTA industry, it is possible to construct methods of exploiting the weak points.

This presentation aims to teach a methodology for constructing trading models by reverse engineering existing strategies. It is a highly practical demonstration of the principles behind such an approach, from the idea origination to the implementation details. The aim of this talk is to provide a method for approaching model origination and indicator construction, explaining sufficient details for attendees to replicate and improve upon the research provided.