I am interested in the report you mentioned on Bernard Drury. Can you pass it along? I really enjoyed this episode because I have done similar work. About a year ago to take my investing to the next level, I coded a “system of systems” that rebalances allocations across the systems. For instance, 20% in one system, X% in another, etc, and ran this on data as far back as I could get. I used the BTOP50 to estimate trend following going back even further (not perfect, but I felt a decent proxy). With a combination of my own systems backtest data and other trend followers as well as some other more traditional investments, I was able to come up with a pretty impressive overall performance with low standard deviation and minimal drawdown, yet very nice annual returns. I’ve been trading this balance for about a year now and am very pleased with it. It lets me trade my own systems with confidence because I know it’s not the “only” thing I am doing and the performance is actually better that way than any of the systems completely alone! Plus, I can play with allocations to see how the risk/reward profile changes. Very interesting stuff, especially when you also consider how easy it is to now diversify across trend followers with mutual funds. For instance, you could get exposure to Jerry Parker with EQCHX while also having an allocation to your own systems or even a few more other trend following funds.
For everyone else if you want the PDF drop me an email.