Equity Trend Following

AdrianR

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I have been trading an equity trend following system for ~3 years now with a fair degree of success. My system enters when a strong trend is in place which has a short pull back before continuing in the direction of the trend (not rocket science and not much optimisation involved). My exits are based on a wide volatility trailing stop which keeps me in winning trades for between 3 and 18 months (average 10 months)

I am struggling with two issues and would appreciate any guidance you may have:
1. What is the best approach to take when i have allocated all of my account to trades but still keep getting new signals? Literature on trend following (primarily futures focused) indicates that you should take EVERY signal to avoid missing that one big trend that might make your year's profit...but this does not seem to be possible with equity trend following as you can generate so many signals.

2. How can i improve the capital efficiency of my system - since i am using a wide trailing stop, I can often sit in trades for weeks / months that go nowhere but don't get an exit signal because my trailing stop has not been hit. I have experimented with combined trailing stop / indicator exits but can't seem to improve the basic system statistics compared to a simple wide volatility based trail exit.

Any help or suggestions would be greatly appreciated.

Adrian
 
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