Zurich-based fund manager and quant author
Andreas F. Clenow
Andreas Clenow is a Swedish-Swiss financier and author based in Zurich who has worked as a hedge fund manager, quantitative trader and fintech founder, and is CIO of ACIES Asset Management, a family office. He holds the CMT designation and has written three widely read books on systematic trading.
What they argue
- Most professional trend-following funds use very similar, simple core rules; their results differ mainly through asset mix, risk level and time frame, not clever entry and exit signals.
- Would-be trend followers fail by obsessing over buy and sell rules instead of position sizing, diversification and risk.
- Ranking stocks by volatility-adjusted momentum and sizing positions by volatility can aim to beat the S&P 500 with lower volatility, and he discourages copying anyone's strategy blindly.
Sources
Summaries are Be The Puck's paraphrase of public material. Be The Puck has no affiliation with the people listed.
Books and papers
- Following the Trend: Diversified Managed Futures Trading (2013)
- Stocks on the Move: Beating the Market with Hedge Fund Momentum Strategies (2015)
- Trading Evolved: Anyone Can Build Killer Trading Strategies in Python (2019)
Clenow's core trend-following model
Rule and full recordBreakouts & channels · daily
The model behind Following the Trend: buy a 50-day high when the 50-day EMA is above the 100-day, then ride it with a stop three ATRs below the best close.
Best risk-adjusted results against buy and hold:
Clenow's Stocks on the Move momentum
Rule and full recordMomentum · daily
Clenow scores momentum as the steepness of a 90-day trend line times how straight it is. Buy only when the market is above its 200-day.
Best risk-adjusted results against buy and hold: