As I had proposed sometime ago, I'll post on a specific blog http://cosmosportfolios.blogspot.com/ the evolution of a 10M USD reference portfolio which started on the 20th Dec. 2004.
I'll publish every Saturday a snapshot, the current portfolio, closed trades, and all actions taken, in an incremental manner. The system is a demonstration of what trading automation can deliver and I'd like to acknowledge the many ideas that we got from traditional trend followers as the turtle traders http://www.turtletrader.com/ and Jack Schwager in particular in his many books, some with excellent sections dealing with the design of trading systems.
One must understand that the system takes into account many specific parameter to each account / fund , including NAV (with size line in % of NAV having an impact on liquidity criterions), drawdown (DD) and hardcashDD, etc. all impacting the selection of the stocks and position of stops among other things. So one cannot just "adapt" the positions to its own capital to copy / paste positions (would one wish so...) but nevertheless this will give an idea of what an entirely automated trend following system does.
Looking forward to your comments,
Cheers.
PS: as some are sensitive to the issue, I'm not selling anything here except the wish to share some ideas with you around the general issues of investing / trading and software automation of these activities.
I'll publish every Saturday a snapshot, the current portfolio, closed trades, and all actions taken, in an incremental manner. The system is a demonstration of what trading automation can deliver and I'd like to acknowledge the many ideas that we got from traditional trend followers as the turtle traders http://www.turtletrader.com/ and Jack Schwager in particular in his many books, some with excellent sections dealing with the design of trading systems.
One must understand that the system takes into account many specific parameter to each account / fund , including NAV (with size line in % of NAV having an impact on liquidity criterions), drawdown (DD) and hardcashDD, etc. all impacting the selection of the stocks and position of stops among other things. So one cannot just "adapt" the positions to its own capital to copy / paste positions (would one wish so...) but nevertheless this will give an idea of what an entirely automated trend following system does.
Looking forward to your comments,
Cheers.
PS: as some are sensitive to the issue, I'm not selling anything here except the wish to share some ideas with you around the general issues of investing / trading and software automation of these activities.