MF Trend is a breakout trend following strategy trading a large globally diversified portfolio. The strategy is designed to profit from medium and long term trends. Intraday movements are captured by an additional high frequency component. The strategy employs the following risk management techniques:
Risk is fairly distributed over more than 90 liquid futures markets spanning 8 different sectors.
The strategy reverses positions directly from long to short and vice versa keeping positions in almost every single market in the portfolio. This approach aims to control risk by avoiding overconcentration within particular markets.
Lot sizes and distance to stop loss are automatically adjusted to volatility. This leads to constant risk per market position and allows the strategy to handle high volatility as well as low volatility markets and market periods.
Additional risk downsizing:
Reduction of positions in situations of sudden volatility spikes, overbought/-sold situations and choppy market conditions.
FUNCTIONALITY OF MF TREND
MF Trend High Frequency
For a portion of the MF Trend portfolio a break-out trend following strategy is also applied on minute bars. The trading frequency is about 100 - 120 round turn trades per year in each chart and the positions are mostly liquidated prior to the end of the day. This component is called MF Trend High Frequency and acts as a stabilizer for the MF Trend portfolio. It can profit from intraday movements regardless of the prevailing long term trend (daily bar) picture. On days when markets move sharply against the long-term trend the component can reduce losses and therefore the downside deviation of the portfolio. Additionally the component adds significant performance to the whole MF Trend portfolio.
Portfolio weighting features a systematic dynamic allocation strategy that takes in consideration variables of market volatility, slippage and inter-market correlations.
Component is applied on up to 30 markets from all sectors.
FUNCTIONALITY OF MF TREND HIGH FREQUENCY
Stabilization of MF Trend: MF Trend High Frequency can profit from intraday movements regardless of the prevalent long term trend (daily bar) picture.
The MF Plus strategy is a swing/reversal logic that tries to capture profits in periods of sideway market movements and/or potential trend-reversals.
Low Correlation to trend following strategies:
Side of trade taken is independent of the prevailing long or short term trends.
Short-term trade-duration contrasts with long-term trend-following scope.
Features a special component that has the ability to make profits in situations of violent trend reversals.
Perfect addition to trend following systems and for stock and bond portfolios.
FUNCTIONALITY OF MF PLUS