Andreas Clenow

1. Free Trend Following Trading System Rules (followingthetrend.com), 10 March 2014 — own site, 2014
   Reader comments through 2016 were also read.

• FilterTrade about 100 futures markets across all asset classes; he says that universe is unrealistic for a small portfolio, though the idea works on a smaller number of contracts.
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• EntryGo long if the current close is above the close 250 trading days (about a year) ago; go short if it is below. The system is always long or short (stop and reverse).
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• StopNo stops: a position is reversed only when the opposite signal appears.
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• Size and riskSize every position by volatility so that each has the same average daily impact on the portfolio (ATR-style). Volatility is estimated from the past month; he admits that assumption does not hold exactly.
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• Size and riskRebalance regularly to keep the risk level constant as volatility changes.
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• DisciplineHis reported result before fees: about 22% a year, 26% maximum drawdown, Sharpe ratio 1.1 (a backtest he presents as a demonstration).
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• DisciplineHe states the rules “are of course not perfect” and the system cannot be traded with a small account: it is a learning tool, not a complete strategy.
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Often attributed to this trader, but not found in the sources above. Not listed as his or her rules.

• The risk per position is not settled on the page: comments by the author mention both 5 and 10 basis points of daily impact.
• A 50-day breakout with a 50/100 moving-average filter and a 3-ATR trailing stop is attributed to his book on forum threads; it is not on this page.

A one-year-lookback rule on futures with no stops and a large drawdown is not a recommendation for crypto or for a small account. The reported results are the author’s backtest, before fees, with the market list not published on the page.