Method of Systematic Trend-Following
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United States of America Patent
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Issued Date -
Nov 20, 2008
app pub date -
Oct 20, 2006
filing date -
Oct 21, 2005
priority date (Note) -
Abandoned
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Abstract
This invention relates to alternative, synthesisable trend-following strategy, based on a rolling, delta-spliced lookback straddle. This operates like a conventional lookback straddle, except that the time to expiry, rather than monotonically running down to zero, is reset where possible to that of a `younger` straddle, provided that the delta of the two straddles does not differ by more than a specified amount. It is more computationally efficient than prior art approaches; further, it does not lead to positions being prematurely liquidated.
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