A Universal trend-following Algorithm
La Cucaracha is a trend following systematic global macro strategy, which trade a large number of markets with a limited risk. All markets trades are chosen to have low mutual correlation. The program seeks to profit from long term trends in commodities, currencies and stocks, both up and down. Therefore both long and short position till be taken.
The model has no correlation with any market index; the outcome depends entirely on the manager’s ability to take advantage of uptrends and downtrends in commodities, currencies and equities.