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SD6A2606smallThis site is maintained by Andreas F. Clenow, Chief Investment Officer of ACIES Asset Management AG.

A Swedish national based in Zurich, Switzerland, I have had the pleasure of taking part in several hedge fund enterprises. Having been a co-founder and partner of both onshore and offshore hedge funds, I’ve had quite an interesting ride so far. With a grounding both in trading, quant modelling and programming, my core strength lay within cross asset quantitative trading.

Located in Switzerland since 2002, I’m currently trading futures and equities for individual accounts as well as hedge funds. My career started out as a magazine salesman at age ten and continued with my first company start-up as a teenager, where I provided consultancy services in computer security solutions, enterprise networking and programming during my university studies.

I later joined Reuters Consulting in Stockholm as Nordic Manager for Analytics Consulting division, covering Sweden, Norway, Denmark, Finland, Iceland and the Baltics. After an offer from the Reuters European HQ, I moved to Geneva as Global Head of Equity and Commodity Analytics Modelling and later Global Head of Institutional Charting and Technical Analysis before I left to start up my first small hedge fund with initial seed money of around 30 million dollars and I have been expanding in the hedge fund space ever since.

My first book, Following the Trend, quickly became an international best seller.

This website will host information and resources related to cross asset trend following futures trading, a subject I believe myself to know a little bit about. It’s my intention that it be a no hype, honest look at how this segment of the market really works.

Nothing on this website is meant as offer or advice to buy or sell any securities. This site is explaining quantitative financial ideas, concepts, models and approaches, and no recommendations of any kind are made, explicit or implied.


  1. Andreas, I just discovered your articles on, great content really! May we republish the article “Why Technical Analysis is Shunned by Professionals” in our Magazine (both English and German)? We’d include your bio, photo, and link to your website, of course. If it works well for both sides, we could run articles. Thanks, Marko

  2. Hello,

    A few months ago you advised me to trade CFDs on futures markets (as opposed to options/LEAPS on ETFs or stocks). To do that what charting software should I use? I am not interested in backtesting as much as I need charts, watchlists, indicators, being able to rank watchlist items, term structure, etc. Pls recommend more than one alternative.

    Thank you for your guidance. Its very helpful.


    • Shehzad,

      It’s important first to understand what a CFD is. That will answer your questions as well as point out the obvious pros and cons.

      A CFD is an OTC derivative, created by a broker. The broker lets you “trade futures at smaller size than the futures contract”. The CFDs will behave like the futures, but with a wider spread. The spread is the fee you pay to the broker. The broker will of course hedge as much as possible with actual futures.

      The good part here is that you can treat the CFDs as futures, in terms of analysis. Look at the futures charts, look at the futures term structures. Just keep in mind the trading cost, which won’t be a normal commission, but rather a spread.

      The bad part, asides from the obviously higher spread costs, is that this is an OTC instrument. It’s not exchange traded. Your counterpart is the broker. I cannot stress enough how important this is. There is no clearing house involved.

      So you have to ask yourself if you trust your broker. If you trade stocks or futures, a good broker is important, but if you trade OTC, the broker is absolute paramount. Chose your broker very carefully.

      For CFDs, the only broker I know enough to trust is Saxo Bank. There may very well be others out there who are stable enough of course, but this is the only one I’ve got direct experience with. Disclaimer: I work with Saxo in several areas, both as a customer and as a consultant for them for various projects.

      As for Dukascopy. I’ve worked in Swiss finance for 15 years or so and I’ve never heard of them.

  3. Hi Andreas,

    I’ve read your book twice. I’m curious how a CTA can buy govies with say 2-year expiration. What if his or her customers need to withdraw some money which are unfortunately blocked in govies? I know that we can sell the govies prior their expiration, however, for a lower price or higher, but let’s work with the lower one. Then I see a possibility to hedge with futures contracts. Will it work? I would appreciate it if you could write some practical article about it. I love your articles because I’m an aspiring CTA. Would you recommend some book about bonds that is not for rocket scientists?

    Thanks in advance for your reply!


    • Hi Tom,

      In reality, you’d have to do some liquidity planning and probably make a basket of fixed income and money market placements. Of course, with current yields you could question if it’s really worth the hassle, as opposed to just using near term money market papers.

      You’re right with the bonds of course. Even though they can be sold at any time, you don’t really want to take any risk with these investments. In a high yield environment, perhaps you’d accept some risk but definitely not for current yields. Right now, it’s quite simple.

      Your goal is to safeguard excess capital, nothing else. That means having a minimum amount of cash with any bank or broker. Depending on your m/e and fund redemption terms, you’ll need some cash at hand of course. Just keep in mind that if your custodian goes belly up, your cash goes down the drain with it.

      I haven’t actually read any bond books since I did the old ISMA certification as a junior. I think it’s renamed to the Fixed Income and Derivative Certification by now… Bond math isn’t very fun, but it’s good to have a general understanding of the mechanics.

      Don’t try to hedge with futures. That’ll both get very messy and near impossible to do well. The futures are based on the CTD, which is not likely to be the issue you’re holding anyhow. Go with money market instead of FI if you’re worried about liquidity.

      Also, watch your trading terms. These days, commissions can eat up the yield and then some, if you’re not careful. Negotiate with your broker.

      • Hi Andreas,

        I thank you for your reply! I have a trading account at Interactive Brokers, which seems to me quite safe and SIPC protects your money up to $250,000 for cash and $500,000 for securities. I probably stay with futures. How would you protect your excess money because of the leveraged nature of futures? I actually have a CTA license provided by the NFA.

        You’re a pioneer in this industry because you showed us how to become a CTA in your book. Nobody did it before you. As I see it, a lot CTAs wanted us to thing that being a CTA is something magic, but in fact it is quite simple. The systems have very similar performance, etc. But the worst thing is to find investors. How did you find them?



      • I’ve never used IB, but they seem ok. Of course, recent history has shown that no bank or broker is safe. The point about depositor guarantees is valid though. Just make sure it really covers you (and your legal structure) and that’s it’s really reliable. I don’t know the US version well enough to comment on that. As a professional, 250k cash is so tiny that it doesn’t really matter, but for retail investors it’s significant.

        I wouldn’t call myself a pioneer in the industry though. I wrote a book about things that are obvious and very well known to most people who are already in the business. The reason I did that was that I found that almost every trading book I’ve ever read was written by people who just didn’t know anything. By people who sell books, trading systems and mentoring for a living.

        Frankly, I had expected my book to be quickly dismissed with valid criticism like “It’s a 200 page research report!” and “You wrote a book about a single, basic trend model!” or even “You took a four page research report from Nigol Koulajian and turned into a 200 page book!”. Well, much to my surprise, people seem to like the book and so much the better.

        Finding investors is a whole other story. How I found my first 35 million dollars is actually a great story that’s never been told yet. It was an adventure that few would believe. One day I might write a book about that. It would make for a great novel, but risk burning some highly vindictive people with large pocket books. For now, let’s just chalk it up to luck.


  4. Hello Andreas,

    I do enjoy your posts here. Thank you.

    I’m looking for investment vechile for trend trading. Initial account would be around 20.000 usd, that is relatively small. Therefore I’m investigating CFDs and Futures.

    Even trading the e-minis one cannot have decent money management with 20.000 since full points are relatively expensive. After investigating CFDs… they seem to have competitive pricing but overnight interest eats up all profitable trades in the long run. Seems that CFDs work very fine as long as trades are short term i.e. up to 2 weeks. If they are 6-10 weeks then it becomes very very expensive.

    I would love to hear your opinion about it and is there a workaround.


    • Hi Arthur,

      CFDs on cash instruments tend to get a bit ridiculous for anything but intraday trading. For CFDs on futures however, there shouldn’t be any overnight interest at all. You pay in terms of the wider spreads, but there shouldn’t be any other fees, hidden or not.

      Despite sharing the term CFD, these instruments work very differently depending on if they’re based on cash instruments or derivatives.

      I’m running some live model portfolios for a European bank at the moment to test how well futures trading strategies can work on CFDs. So far so good.


      • Thank you for your prompt reply!

        I’m also running some algorithms on CFDs (futures strategy) but not for European Bank (some sarcasm here 🙂 and results are ok. Issue is to find brokers with quality CFD data that reflect the physical market. At some brokers 60% of CFD instrument data might be good though 40% does not reflect the physical market.

        So one might be trading Corn CFD but in fact it is Corn only 75% of the time :-)) So basically it is not Corn.

        Will read some more, seems you have an insightful website.


      • Hm… I’m a little confused about that last part. Granted that I’ve only got experience with one CFD broker, but I don’t really understand how a CFD can reflect the underlying 75% of the time.

        CFDs on futures are, or at least should be, very simple. The price should be the exact futures price at the time of execution, with an added spread. The bank/broker offsets the position with the futures, takes the risk on the last fraction of a contract and cashes in on the spread.

        So essentially, you can make a good-enough CFD model by using the actual futures price and assuming really, really bad executions. Just find out exactly how wide spread your broker takes. If they don’t want to tell you, don’t trade with them.

        I’ve only traded CFDs via Saxo Bank and so far I have a very positive experience. Full disclosure of course: I have significant business dealing with Saxo. That may mean that I’m not entirely partial, but then again, it may also mean that I’ve come to the conclusion that they’re pretty ok.

      • Particular broker is Oanda and their CFDs – cash market based.

      • Is it possible to implement diversified trend following strategy using Saxo Bank CFDs? I think they do not have all the necessary contracts. There is also one more important question about historical CFDs data. How to get them?

      • I’ve been experimenting a bit this year on that topic. So far, it seems to me that it’s possible to implement trend following futures models on CFDs.

        You have to adapt them a bit of course. You may find the coverage a little less than you’d wish for, but it should be good enough.

        Also, if you trade quite small, you’ll still have a bit of a problem with rebalancing. That can make some difference over time.

        All in all, it seems to work quite well though.

        Keep in mind that CFDs on futures are very different from CFDs on cash instruments, like stocks. The latter I’m not so sure about. CFDs on cash instruments have huge funding costs and I wouldn’t run long term models on those. Perhaps for intraday trading, but that’s not what I do.

        CFDs on futures are hedged with the actual futures by the broker. They’ll give you a wider spread but otherwise it’s the same. Therefore you don’t need historical cfd data. Just use the actual futures data, find out what spread your broker takes and add it to your models.

      • Hi Andreas,

        Do SAXO offer CFDs for all futures markets you mentioned in you book? Like bond futures? I couldn’t find them on their sites. I can only see a very limited number of markets…

        I thank you in advance for your reply!

        Tom C.

      • Hi Andreas,
        I’d like to ask about trend filtering methods.
        Do you think that applying method like Kalman filter, particle filter, support vector machine etc can give better results than moving averages? Maybe you have some experience with this kind of thing?

      • I have no idea what any of that is, but I’m pretty sure that I’ve seen a particle filter on Star Trek.

      • 🙂
        Anyway if you are interested:

        I gonna do some research on this topic and check if this can generate better results than using simplest methods like moving averages.

      • I’m not from

  5. Andreus, I’ve been using Saxo exactly as you decribe and have and the benefit of smaller position sizing cannot be underestimated when attempting to replicate what you do, but on a smaller capital scale. I’ve found them to be excellent and they’ve allowed me to trade in a way that wouldn’t have been possible had it not been for the CFD product. Its encouraging to hear you talk about Saxo and thier CFD products in such positive terms.

  6. Bryan McPherson

    Hi Andreas,

    I am very interested in trend following with stocks and have a trend following library. I have don’t trade nor know very much about futures. Although your book is on trading futures are your methodologies applicable to stocks as well. In a nutshell do you think I could find good value using your book for knowledge on how to make more money trading stocks? I thank for your time in replying.



    • Hi Bryan,

      Standard trend following does not work for stocks. People who claim that fall into one of three categories.

      1. They never tried and don’t know any better.
      2. They understand how trend following methods have to be changed to work on stocks, but chose to simplify the story by still calling it trend following.
      3. Or they are just selling ‘trading systems’ and don’t really care that most people who buy them will lose money.

      I’m almost done with a new book on the topic. In that, I’ll explain the difference and why traditional trend following fails spectacularly on stocks. I’ll also show how you can instead apply systematic momentum models to stocks with very strong results.

      The new book should be out this summer.


  7. Bryan McPherson

    Thanks Andreas. Look forward to your new book.

  8. Hello Andreas,
    Regarding the short, medium and long term trend designations you show for the various futures markets. Are these proprietary calculations or can you share how they’re calculated?
    Also, do these trend indications take into account that these futures prices series are likely non-stationary?


    • It’s all open, Robert. I’ve never been a fan of this black box nonsense.

      The trend indications are done with a bollinger band approach, using narrow bands. Long term trend is a 200 day BB with 0.5 stddev band. Positive trend if we’re above the upper band, negative if we’re below the lower and neutral between.

      Medium term trend is 50 days and short term 20 days, all with the same logic.

      Your last question: Do you mean that the vola isn’t stationary? The price series themselves are of course non-stationary, or they’d be stuck on the same level. The non-stationary vola is always a concern of course.

  9. Hello Andreas,
    I’ve seen it written and heard it said that futures spreads typically “behave” better than out right positions. The context in which the term “behave” is used implicitly and sometimes explicitly implies that spreads, in general, tend to trend better than outrights.

    Have you found that to be true?


    • I don’t really like fuzzy expression like ‘better behaved’. That can mean everything and nothing.

      Spreads can be useful, but they can also be very dangerous. You make some assumption about how two markets, or two deliveries, always move together. Then you leverage up massively, because else you won’t get any return from a spread. Then if there’s something odd happening, such as margin raised for one but not the other, and kaboom, you’re dead. Tread carefully in that space.

      Also remember that spreads are out of reach for most people, since most normal brokers simply add up the margins. If they don’t net the margins you won’t be able to take on the kind of position sizes that you need for spreads to be interesting.

      • Thanks for your thoughts re trend calculation and spreads. I agree that the term “behave” is a bit murky.

        Re spread margins. I believe that today most futures brokers worth their salt will margin spreads using SPAN (Standardized Portfolio Analysis of Risk) margins thereby greatly decreasing the amount of margin required to put on a spread. Usually lower than the margin of either of the legs by them self. Not sure if SPAN margins apply only to exchange-supported spreads but I don’t think so – a good broker/clearing firm should support SPAN.

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  11. Dear Andreas,

    I have read your “Following the Trend” book and I’m very inspired by the concepts you shared there. I have a question that would really help me if you don’t mind answering.

    I’m from Indonesia and the markets that are available to trade here are not as diversified as in developed countries. I am unable to trade the following sectors since they are not available: rates and commodities (both agricultural and some non-agricultural).

    That leaves me with: currencies, gold, silver, natural gas, crude oil, and stock indices to trade. Is it possible to implement trend-following concepts with just that many markets because of the lack of availability of some market sectors? (i.e. will the markets available to trade be diversified enough to use a trend-following approach?)

    Thank you in advance for your reply.

    • Hi Alvin,

      Diversification is a key part of professional trend following. If you’re faced with limited markets, you need to do some detailed simulations to determine if your market set is broad enough or not.


  12. Hello Andreas,

    Chance brought me to your site and, at least this time, chance seems to benevolent.

    Could you tell me if you consider your “trend indicators” to have any predictive value? In other words, would it make sense for a hypothetical person to trade off of them? I’m specifically thinking of ES, the S&P e-mini.

    Thank you for making me think.


    • Hi Alex,

      Trading on the side of the trend usually gives slightly higher success probabilities. They are not meant as timing signals for entries and exits, but they do indicate what direction you want to be in. I see more value in using them as trend filters.


  13. Hi Andreas,
    Just read your ‘Stocks on the Move’ book, I really liked it. The whole strategy makes sense.

    I would like to start implementing it, do you know where I can find all the tools to build the ranking and start testing and using the methodology ?


    • I used RightEdge with data from QuoteQuote. It takes a bit of work to glue it all together, but the result is solid.

      For those who don’t want or can’t build their own ranking tables, I’m experimenting with an online version. There are still some bugs in there, but I’ve got a beta running here:

      If and when I get all this working well, I’ll probably start charging a small amount for accesss.

  14. Andreas, great book! I really enjoyed your “Stocks on the Move ” book and would like to test the strategy on Toronto Stock Exhange listings (and perhaps the S&P Midcap 400). I need clarification concerning the “15%” gap move filter.

    Over what period of time would you consider the move to be a “gap”? From a careful reading of the book it is not specified so I assume it is over the same period of 90 days that the other calculations are based on? But it seems to me that a 15% move over that time period doesn’t seem like a “Gap”?

    Please help clarify.

    • Yes, this one I should have explained much better… It’s the most common question I get on the book.

      What I did was to check the close to close percentage difference for any two consecutive days, in the past 90 day period. If the maximum was over 15%, I don’t want the stock.

      This is not a very important rule. It’s more of a comfort rule. The back test results won’t look much difference at all. It’s just there to avoid entering some scary situations that I wouldn’t feel comfortable with.

      If a trading model gives you signals that looks really scary, you’ll probably won’t follow it and you start slipping away from the rules. That’s why I put this rule in there. You can remove it or change it as it fits your own purposes.

  15. Andrea –

    Like the others, I enjoyed Stocks on the Move and have subscribed to the ranking service. One question – I notice a discrepancy between where the stock is ranked on the rankings page (or downloaded spreadsheet) and what shows up on the Chart and in your Portfolio. For example, on 11/10, UA is 110 in the rankings, but has a ranking of 134 in both the Portfolio and on the Chart. What am I missing?

    • Hi Blake,

      I just double checked a whole bunch of stocks and didn’t find any discrepancy. Perhaps it was a temporary database issue.

      For UA, I see a rank of 146 on all displays based on yesterday (Nov 10).

      If you see a discrepancy again, let me know and I’ll investigate.


    • Andreas –

      Interesting. I downloaded the spreadsheet again this morning from 11-10-15, and UA is listed as the 117th stock in the list (excluding the first column because it includes the headers). I ensured that the spreadsheet was sorting by adjusted slope, which the spreadsheet lists as 3.47 for UA.

      When I check the chart for UA, it again shows 146, but the spreadsheet itself, which is the only way I can tell to quickly check if the stock has remained in the top 100, has UA listed as the 118th stock.

      I can send a screenshot if you want to move this discussion to e-mail.

      I suppose I could click on the chart for each stock I own and check the accurate ranking that way.

    • Ah, now I understand. Yes, a couple of value look suspect. They’re all in the right order, but a numbers are skipped in one of the displays. It’s being fixed at the moment, Blake. I’ll drop you a mail when it’s updated.

      Thanks for the heads-up!

  16. Hi Andreas,

    Just purchased “Stocks on the Move” and have 2 quick questions, I apologize if they
    have been asked and answered already, perhaps repeatedly so.

    Briefly, does risk parity allocation as detailed in your book result in a substantially
    higher CAGR vs plain ol’ equal weight or do the benefits primarily have to do with lower volatility?

    Last, how significantly does the trading above the 100 day MA rule enhance profits and/or risk? Can one
    safely ignore this rule and just weed out the stuff which does not remain in the top x% every week?

    Thanks so much.

  17. Andreas

    I recently read Following the Trend and found it very informative. Having worked as a developer in finance for many years, but not in algorithmic trading, I’d assumed that any successful strategy would have to be far more complex than the example you presented. It inspired me to try to reproduce the results in R, the first cut is discussed here and on GitHub if anyone is interested:

    In the blog post I give certain details of the algorithm in the book away, can I just check this is OK? I’ll modify if not.


  18. Hi Andreas,

    I am very impressed with your site, thanks for making all your insights and data available. I have two questions though:

    1) In one of your posts you mention you’re working on seeing whether you can replicate the Futures-based trend strategies with CFDs at reasonable costs – any results yet?
    2) Regarding the Equity Momentum Strategy: I wonder how your regression slope relates to other measures of momentum, say Levy’s RSL. I understand the mathematical differences but given that the basic concept is key, would it be possible to realize comparable returns with other indicators? I’m asking mainly because other measures are readily available for other equity markets as well.

    Thanks for taking time to answer,

    • Hi Chris,

      CFD: It seems to work fine, though the return will of course go down slightly due to the spread cost of the CFDs. Seemms like a reasonable trade off.

      Comparing momentum analytics: I don’t know. I developed my own method to find stock situations that I like. I doubt that there will be a significant bottom line difference in the end. I like my method and find it very useful, but that doesn’t mean that other people’s methods aren’t good. I’d suggest doing some simulations and see how different the ranking lists would look. 🙂


  19. Andreas,

    thansk for the fast reply.

    I did some Momentum simulation (with RSL) and the list was actually very, very different, which may be caused by different timeframes: RSL was based on a 14-day frame. I haven’t gone through longer cycles yet but will do so. Also to simulate the rebalancing is still beyond me 😉

    All best

  20. Hi Andreas,

    first of all many thanks for your interesting and entertaining blog 🙂

    I’m quite interested on knowing your opinion about the managed futures ETFs out there (WDTI, FMF, FUTS) and their far from attractive returns since inception… do you think their strategies are far different from the futures strategies you suggest in your book? and half-joking half-serious, will we ever see a CLNW ticker? 😉

    Best regards,


    • Hi Daniel,

      To be honest, I haven’t looked into these managed futures ETFs enough to offer an intelligent opinion. I was contacted a couple of months ago by an ETF provider about a possible joint project in that space, but I haven’t really had time to go over it yet.

      Well, now you got me curious so I better go read up about these instruments. I’m not really clear about how they are structured, but I’m sure I’ll find some docs on that.

      I can offer you a CLNW fund next month! All you have to do is put up the initial $20M seed ticket, and I’m there! 🙂


  21. Hello,

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    For the clients attraction You can also use the information about our bonuses.

    If you are not interested, just tell me why. Any feedback from you is important to me to serve you better in the future.

    To discuss cooperation with licensed brokerage NewForex please contact me:
    skype: partnership.newforex

    • I’m going to leave this forex post here as an example of major red flags. I would advise anyone reading this to learn from such things and stay very far away from these so called forex brokers. Why anyone would want to do business with such firms is a complete mystery to me.

      If you want to participate in the financial markets, find a legitimate bank or broker to trade through. One regulated in a proper onshore jurisdiction, covered by depositor guarantees, minimum capital requirements and liability reserves.

      You may also want to be careful with these firms that operate like a pyramid scheme in this manner, getting unregulated strangers on the internet to sell for them.

      I wish Mr. Kovmal best of luck, but I strongly advise any of my readers to stay very far away from these kind of firms.

  22. Hello Andreas, I just finished your book “Following the Trend”. I first want to thank you for writing it. Almost ever other book I’ve read on the topic just scratched the surface and felt more like an advertisement for the author’s trading strategy than it did a true guide on the topic.

    Second, I’m now reading your book for the second time through and taking extensive notes and am wondering if you’d recommend your subscription for someone like me, an individual retail trader just getting into the futures space. I’ve spent 20+ years sporadically investing in stocks, but only stocks. And I only just recently discovered the world of futures. I’m not at all afraid of a little hard work, or even a lot of hard work, but I’d welcome your opinion on whether your report is too advanced for someone so new to the space. If you think it will prove to be a useful resource, even if it’s a bit over my heard for the short term, I’m happy to join.

    Thank you in advance for your time.




    Dear Andreas,
    I just finished a first reading of “Following the trend” and I was about to ask if we could replicate yours strategies on CFDs. I now discovered your blog and see that you answer to the question. I guess that when you speak of trading universe it means the different futures markets you spot to find the right entries for the strategies? There is a problem with cfds that are related to costs if a position is maintained more than one day and over weekends and these costs may destroy the strategies I guess. Another question why is it so impportant to code the strategies that are fairly simple?

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