The Trend Following Library

Michael W. Covel · 2017

The opening pages of the 5th edition of Trend Following: the praise, the preface and the case for the strategy.

Interview with Michael Covel by Marko Graenitz · 2014

Michael explains, in a long magazine interview, why nothing in markets can be predicted and what to do about it.

Stanley W. Angrist · 1989

The 1989 Wall Street Journal article that first told the story of Richard Dennis and the Turtles.

Michael W. Covel · 2017

A long, free excerpt from the 5th edition of Trend Following: 161 pages of principles, traders and data.

Michael W. Covel · 2011

The opening of Trend Commandments, Michael’s short, punchy book on trading and life.

Michael W. Covel · 2011

Performance charts from Trend Commandments, starting with Bill Dunn’s record and every drawdown along the way.

Michael W. Covel · 2017

Michael on trend following, his books and the traders who have quietly made fortunes for seven decades.

Victor Niederhoffer · 2004

Speculator Victor Niederhoffer’s 2004 review of the first edition of Trend Following.

Michael W. Covel · 2004

The book that put trend following in front of a wide audience: the traders, the data and the rules behind decades of profits.

Michael W. Covel · 2007

The true story of Richard Dennis’s experiment: novices taught to trade in two weeks, and the fortunes they went on to make.

Michael W. Covel · 2021

Michael’s conversations with Tom Basso, the calm, systematic trader Jack Schwager called “Mr. Serenity.”

Michael W. Covel · 2011

Michael’s compact guide to how trend followers think, and why they win in markets that wreck everyone else.

Michael W. Covel · 2004

An early one-page biography of Michael from around 2004.

Michael’s podcast, 1,400+ episodes.

Michael’s story.

How Michael researches the field.

Brian Hurst, Yao Hua Ooi and Lasse H. Pedersen · 2014

AQR tests trend following across global markets back to 1880 and finds strong returns and low correlation for over a century.

Y. Lempérière, C. Deremble, P. Seager, M. Potters and J. P. Bouchaud · 2014

Capital Fund Management finds trend-following excess returns in four asset classes going back to 1800.

Tobias J. Moskowitz, Yao Hua Ooi and Lasse Heje Pedersen · 2012

The academic paper that named and measured trend following across 58 futures markets.

Jonathan Duke, David Harding and Kate Land · 2013

Winton measures trend following on large futures markets since the mid-1980s and asks whether trading speed matters.

William Fung and David A. Hsieh · 2001

Fung and Hsieh show trend-following returns behave like options, and model them as lookback straddles.

Bob Murray · 2009

Graham Capital’s presentation on systematic global macro and the risk and return of trend following.

David Harding · 1994

David Harding’s 1994 Royal Society paper laying out the scientific approach that later built Winton.

Paul Mulvaney

Paul Mulvaney’s one-page explanation of why running profits and cutting losses creates option-like returns.

Interview by Kenneth Durr · 2013

Winton founder David Harding’s long oral-history interview on his life, career and trend following.

Financial Times Magazine · 2016

The Financial Times profiles David Harding, from his 1994 Royal Society paper to Winton.

Mebane T. Faber · 2006

Meb Faber’s widely read paper: a simple trend rule that improves risk-adjusted returns across asset classes.

Dr. Jessica James · 2005

Citigroup’s currency research team tests whether simple trend models hold up over time.

Nigol Koulajian and Paul Czkwianianc · 2013

Quest Partners on how trend following can do more than diversify a stock portfolio: it can hedge it.

Jason Russell and Nicholas Markos · 2010

After 2008, why systematic trading delivered the diversification that funds and ETFs did not.

Al Abaroa · 2013

A chief investment strategist’s practical case for trend following after reviewing many managers.

R. McFall Lamm, Jr. · 2004

Deutsche Bank’s chief investment strategist on where long/short equity funds fit in a portfolio.

An overview on this site.

Charles Mackay · 1841

Mackay’s classic study of manias and crowds, from tulips to the South Sea Bubble. First edition, volume one.

Charles Mackay · 1852

The illustrated 1852 second edition of Mackay’s famous book on manias, bubbles and crowd behavior.

Dickson G. Watts · 1880s

A former president of the New York Cotton Exchange sets out the laws of speculation in a few short pages.

Henry Clews · 1908

Banker Henry Clews’s memoir of half a century of panics, booms and personalities on Wall Street.

Henry Clews · 1887

The earlier edition of Clews’s memoir, revised to cover 43 years in Wall Street.

Jesse L. Livermore · 1940

Jesse Livermore’s only book, published in 1940, on combining price and time to trade the big moves.

Humphrey B. Neill · 1931

Humphrey Neill’s 1931 guide to reading price and volume, dedicated “to my losses.”

Gerald M. Loeb · 1935

Gerald Loeb’s blunt classic on speculation, cutting losses and protecting capital.

Arthur W. Cutten · 1932

Grain speculator Arthur Cutten’s memoir of triumph and disaster at the Chicago Board of Trade.

Nicolas Darvas · 1960

A professional dancer with no market experience turns trend follower and makes a fortune. His famous rule: buy only because the price is rising.

Edited by David Chambers and Elroy Dimson · 2016

Leading economic historians on what centuries of market data teach investors today.

2017

Every S&P 500 bull and bear market since 1926 on one chart, with length and returns.

Kevin Dowd · 1999

Why the 1998 rescue of Long-Term Capital Management was a mistake, from the Cato Institute.

Buttonwood · 2011

The Economist on how much of finance runs on faith and forecasts.

David Harding · 2016

David Harding argues the efficient market idea shaped decades of policy, and failed.

Jean-Philippe Bouchaud · 2008

A physicist argues economics failed to predict the crisis because it trusts models over data.

Charles D. Ellis · 1975

Charles Ellis’s classic: professional investing became a game won by avoiding mistakes.

Kieron Nutbrown · 2016

Market prices from the 1500s to 2016 on one chart, with wars, depressions and bubbles marked.

2017

Every S&P 500 correction and bear market since 1928, with dates, prices and length.

2008

The S&P 500’s worst drawdowns since 1929, with how long they took to recover.

Michael Lewis · 1992

Michael Lewis’s skeptical look at Warren Buffett, written after Buffett rescued Salomon Brothers.

U.S. Senate Permanent Subcommittee on Investigations · 2013

The Senate’s exhibits on JPMorgan’s “London Whale” derivatives losses.

The documentary on Long-Term Capital Management.

Ed Seykota and Dave Druz · 1993

Ed Seykota and Dave Druz on how much to risk per trade: bet too little and you win little, too much and you go broke.

Gibbons Burke · 2000

Gibbons Burke on the part of trading few people talk about: how much to put on each position.

J. L. Kelly Jr. · 1956

The original 1956 paper behind the Kelly criterion for sizing bets.

Michael J. Mauboussin and Kristen Bartholdson · 2002

Why how much you make when right matters more than how often you are right.

Michael J. Mauboussin and Kristen Bartholdson · 2002

Markets have fat tails: extreme moves happen far more often than standard models assume.

Robert C. Hannum · 2003

How casinos make money: house advantage, volatility and the law of large numbers, explained plainly.

Guy Bower · 2002

An introduction to money management, the common thread among the Market Wizards.

Cary Frydman and Colin F. Camerer · 2016

A review of why people make poor financial decisions, from cognitive science and brain research.

Charles Roxburgh · 2003

How the biases built into the human brain lead smart executives to bad strategies.

Michael J. Mauboussin · 2010

Mauboussin on separating skill from luck in sports, business and investing.

Michael J. Mauboussin · 2007

When crowds are smart, when they fail, and why diversity is the key.

Michael J. Mauboussin · 2012

The question that bears repeating: what is already priced in?

James Montier · 2005

James Montier’s presentation on the irrational minds behind markets.

A trader’s blunt personal rules for sticking to a tested system. Strong language.

Shawn Tully · 1981

Fortune on Commodities Corp., the Princeton firm that trained some of the greatest traders.

Stephanie Baker and Tom Cahill · 2010

Bloomberg Markets on Michael Platt and BlueCrest’s 41% return in 2009.

Interview by Art Collins

System developer Robert Pardo on testing and building trading systems that hold up.

Interview with Paul Mulvaney · 2004

Paul Mulvaney explains the worldview behind his trend-following system.

Holly Clanahan · 2004

A profile of the Abraham family of Canadian, Texas, including trend follower Salem Abraham’s roots.

Lawrence Harris · 1993

Who wins and who loses in trading, and why every profit is someone else’s loss.

Robert L. Lerner, edited by Timothy J. Rudderow · 2000

A plain-English guide to how futures markets work: exchanges, clearing, hedging, short sales and margin.

The basic arithmetic of futures: daily settlement, gains, losses and margin.

The Chicago Board of Trade’s introduction to smaller futures contracts for individual traders.