Concretum Research reverse engineers Paul Mulvaney’s long term CTA strategy using 4,320 synthetic trend following programs. The best fit replicas explain much of Mulvaney’s return pattern, but the article emphasizes that discipline, drawdown tolerance, and capital scale are harder to replicate than the rules.
You Can Trade (Almost) Like Mulvaney
Research
18 Pages
Key Takeaways
Rules Look Simple: Best fit replicas used 6 month Donchian breakouts, equal market loss parity, pyramiding, and 24 to 48 hour execution lag.
Replication Worked Partly: Top synthetic CTAs achieved 0.71 to 0.73 R² and 0.84 to 0.85 correlations with Mulvaney’s monthly returns.
Discipline Still Dominates: Mulvaney spent about 82% of months in drawdown, with average underwater value near negative 15%.
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