CTAs Add Value, Reduce Risk of Hedge Funds
Have you ever heard people say that a monkey with a dartboard can outperform the market? Although it's been quoted and requoted thousands of times, I believe it came from "A Random Walk Down Wall Street."
Van Tharp, in his book "Trade Your Way To Financial Freedom", outlined an experiment where he selected stocks at random - long and short - and used an ATR Stop with a 1% Risk Model (fixed fractional position sizing).
In this video I use the powerful tool, Amibroker, and 1000 different runs of 15 stock portfolios (Monte Carlo analysis) to see if, and how, this really works. The results will surprise you.
- Dave McLachlan
This category of the research papers concentrates on papers that have been published over the years on either money management or trading topics. They span decades of Tom Basso's life.