In this educational presentation; we first review some general concepts about trends and how to build generic systematic trend following strategies according to classic definitions. Then we focus on the use of price-based features to construct a dataset designed for training different Machine Learning (ML) approaches (trees based and neural net based) to build diversified Futures portfolio. We finally conclude by contrasting the results between generic and ML based approach and how they relate to contemporary methodologies used in the systematic CTA/Trend following.
Part of the Fitch Group, Fitch Learning partners with clients to enhance knowledge, skills and conduct. Fitch Learning is a global leader in training with experience of delivering specialised technical training at all levels to the financial community. Fitch Learning partner with clients to elevate knowledge and skills and enhance conduct.
We work with 9 out of 10 of each of the largest Investment Banks, Asset Managers and Global Banks and through state-of-the-art training centres in London, New York, Hong Kong, Singapore and Dubai, and our leading distance learning portals, we train more than 20,000 delegates each year.
