Portfolio construction through handcrafting: Empirical tests

This post is all about  handcrafting ; a method for doing portfolio construction which human beings can do without computing powe…

The relationship between ATR and standard deviation

Let's begin this post with a gross generalisation: Professional traders tend to measure risk and target risk using standard d…

Is trend following dead?

I get asked this question at least once a week. As those of you that have met me IRL ('in real life') will know I have li…

Vol Targeting and Trend Following

We are long. The price jumps up. Good. But this means the risk goes up So cut our position, just as we're finally making seri…