My Hedged Fund - Another "Trend-Following" Post

[michaelguan326]

The website says he's pretty much all in cash as of March 20th, waiting for trends to develop. I think there have been trends since then, so I'd be interested to see an update.

yea....its may already. Hope everything is going well....

Hows trading going on for you? I was thinking of starting a new account that just targeted towards the currency pairs. I am having trouble figuring out how to optimally select pairs that are lowly correlated as possible... After was thinking of applying a TF and a Short term system. Any advice?


M

 

[Hank_Terrebrood]

And sorry I should have said (apologies if I'm stating the obvious) you can calculate the annualized vol by simply taking the standard deviation of daily returns multiplied by 260.

No, you can't annualize volatility "by simply taking the standard deviation of daily returns and multiplied by 260"

You multiply standard deviation by the square root of time. Thus, if you were looking at 20 day (4 week) volatility, you would multiply times the square root of (52/4) - I've used weeks, but you could use trading days divided by number of observed days. Most take trading days as 252. Thus a single day's volatility would be annualized as the standard deviation * sqrt(252).

Hank