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Trend-Following in Financial Markets Using MATLAB

Andreas Bernsel, Lynx Asset Management

The assets under management in trend-following strategies in futures markets have grown by more than 50% since 2008. Key benefits of these alternative investment strategies are returns with low correlation to a traditional long-only portfolio of stocks and bonds, and an ability to generate profits during turbulent periods and equity crises. In this talk, we look at why price trends occur, discuss some of the basic concepts behind trend-following investment strategies, and outline how diversification across markets improves the overall portfolio performance. We see how MATLAB® is used in research, data management, back-testing, and production at Lynx, one of the 10 largest managed futures funds globally. We also see how the algorithms are back-tested in parallel on an in-house cluster and later put into production as .NET components.

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Recorded: 22 May 2014