Systematic Trading research and development, with a flavour of Trend Following
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Trend Following Wizards – October

November 29th, 2016 · Trend Following, Trend Following Wizards

The Wizards were well in the red last month, and two months before the end of the year, the YTD performance is negative too.

Another piece of news from last month was the closure of a Turtle trader fund Saxon Investment, as mentioned on their website. Saxon Investment was set up by Howard Seidler, part of the Turtle trading experiment.

Below are the full results as of end October 2016: [Read more →]

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State of Trend Following in October

November 7th, 2016 · the State of Trend Following, Trend Following

State of TF
 
The results from last month’s trend following index were only slightly negative, which is quite surprising as most of other indices were sharply down, including The Wisdom Trading State of Trend Following report, which I write as a version 2 of this report. The principles for the index are the same… Goes to show that portfolio selection can still have a big impact on the short-term performance.

As anywhere else, the performance for the year is clearly down. This election year is not a good year for trend following.

Please check below for more details. [Read more →]

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Trend Following Wizards – September

November 4th, 2016 · Trend Following, Trend Following Wizards

Apologies for the lateness of this report. These are the results for September for the Trend Following Wizards. I also help Wisdom Trading with their own version of a managed futures funds report (mostly based on trend following wizards too). It is published on a monthly basis and, like last month, can be published earlier, so a good alternative to this report to subscribe to (via link above).

Below are the full results as of end September 2016:

[Read more →]

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State of Trend Following in September

October 10th, 2016 · the State of Trend Following, Trend Following

State of TF
 

Another down month for the State of Trend Following report, taking the year in the red a bit further for 2016.

Please check below for more details. [Read more →]

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Trend Following Wizards in August

September 30th, 2016 · Trend Following, Trend Following Wizards

A full set of negative returns for the Trend Following Wizards last month (with delays in reporting due to some funds reporting later than usual), and a strong negative performance. The YTD performance is mixed, with a near-neutral average return.
Below are the full results as of end August 2016: : [Read more →]

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State of Trend Following in August: Sharply Down

September 1st, 2016 · the State of Trend Following, Trend Following

State of TF
 

It is Fall in Summer!… The trend following index had a big move to the downside last month, taking the YTD performance to a negative level as well.

The results are similar, over on the Wisdom State of Trend Following, a sort of version 2.0 of this report, which I write for them too.

Please check below for more details. [Read more →]

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Trend Following Wizards – July

August 19th, 2016 · Trend Following, Trend Following Wizards

Mixed results for the Trend Following Wizards with a slight bias towards positive results. The YTD performance is positive at +4.55%.

Full results below

[Read more →]

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Trend Following Wizards – June

July 25th, 2016 · Trend Following, Trend Following Wizards

June was a good month for the Trend Following Wizards, with all funds but one returning positive numbers, with a handful in double-digit territory, including a 27% return for the highest performance. The monthly return average over +5% takes the YTD figure back in the black.

Please see below for full results:

[Read more →]

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State of Trend Following in June

July 5th, 2016 · the State of Trend Following, Trend Following

State of TF
 

The month of June started positive for the trend following index, before a V-shaped movement pre/post-Brexit, that ended the month in positive territory. The YTD figure is still in the red.

Please check below for more details. [Read more →]

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Trend Following Wizards – May

June 16th, 2016 · Trend Following, Trend Following Wizards

The month of May was negative overall for the Wizards and turned the performance for the year in the red too.
Please find the full results below:

[Read more →]

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State of Trend Following in May

June 10th, 2016 · the State of Trend Following, Trend Following

State of TF
 

A strong down month in May for the state of trend following index, which solidifies the downtrend from the last two months and takes the YTD performance in the red, after the strong start to the year.

Please check below for more details. [Read more →]

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Trend Following Wizards – April

May 30th, 2016 · Trend Following, Trend Following Wizards

Both the year and the month of April for the Wizards is mixed. No big trend (with no pun intended). Some are up, some are down… April was generally negative while the year is overall positive (slightly only).

Full details below for each Wizard:

[Read more →]

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State of Trend Following in April

May 11th, 2016 · the State of Trend Following, Trend Following

State of TF
 

The state of trend following was negative last month, as it was in March. The index is now just above the zero-line for the year, back from nearly the +20% mark a month and a half ago.

Please check below for more details. [Read more →]

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Trend Following Wizards – March 2016

April 20th, 2016 · Trend Following, Trend Following Wizards

A lot of red in the March column for the Wizards, with a fairly strong negative average return. The YTD performance is still positive overall with just over a handful of funds being negative too.

Below are the full results as of end March 2016:
[Read more →]

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State of Trend Following in March

April 7th, 2016 · Books, the State of Trend Following, Trend Following

State of TF
 

Following two strong months to start the year, the index was down in March, but still positive overall for 2016.

Please check below for more details. [Read more →]

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Trend Following Wizards – February

March 21st, 2016 · Trend Following, Trend Following Wizards

February brought good results for the trend following wizards. Continuing the momentum initiated in January, the index is now up 6.49% for the year and nearly all funds show positive returns for the month.

Please find full results below:

[Read more →]

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State of Trend Following in February

March 8th, 2016 · the State of Trend Following, Trend Following

State of TF
 

The strong January start carries on into February for the State of TF Index. The performance is already in double-digit territory for the Year-To-Date.

Please check below for more details. [Read more →]

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Trend Following Wizards – January

February 19th, 2016 · Trend Following, Trend Following Wizards

The Trend Following Wizards started the year very well. Nearly all managers had a positive return for January and the overall result is fairly strong at +3.47% average.

Please find below the full results: [Read more →]

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State of Trend Following in January

February 3rd, 2016 · the State of Trend Following, Trend Following

State of TF
 

Strong start of the year for the State of Trend Following index, nearly closing the month with double-digit gains.

Please check below for more details. [Read more →]

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Trend Following Wizards – December

January 29th, 2016 · Trend Following, Trend Following Wizards

Negative 2015 year for our Trend Following Wizards collective. The month of December tipped the index in the red, as well as 5 wizards being in double-digit losses for the year.

Full results below:

[Read more →]

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