Systematic Trading research and development, with a flavour of Trend Following
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State of Trend Following in November

December 8th, 2017 · the State of Trend Following, Trend Following

November was down for the index, sitting just below the negative double-digit line before year-end. It looks like the State of TF will end in the red in 2017, unless a strong bitcoin-inspired December rally lifts the index back in the black.

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

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Trend Following Wizards – October 2017

November 28th, 2017 · Trend Following, Trend Following Wizards

October was a very good month for the Trend Following Wizards, with the average index back to levels close to break-even for the year.

I am available for projects

After being away for a while, I have relocated to London and am looking for new projects and opportunities based here. If you are interested in hiring me on a permanent employment, contracting or consulting basis for projects in the trend following, systematic trading, and managed futures space, please get in touch to start a discussion.

Feature your CTA/Managed Futures program in our Fund Spotlight

In the next few months, I will add a “spotlight feature” to this report to cover a lesser-known trend following fund/CTA. Ideally to get readers to discover new, smaller, younger innovative funds in the trend following space. If you are a fund/CTA and would like to find out more about this, please send me a note.

Below are the full results as of end October 2017: [Read more →]

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State of Trend Following in October

November 7th, 2017 · the State of Trend Following, Trend Following

State of TF
 

Last month saw a strong upwards performance from the State of Trend Following index, single-handedly reversing half the negative performance for the year, which still stands close to double-digit territory.

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

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Trend Following Wizards – September

October 24th, 2017 · Trend Following, Trend Following Wizards

September was negative across the board for most Wizards, with an overall performance fairly strongly on the downside, and so is the YTD performance.

Below are the full results as of end September 2017: [Read more →]

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State of Trend Following in September

October 10th, 2017 · the State of Trend Following, Trend Following

State of TF
 

The third quarter closed fairly lower for our State of Trend Following index. The YTD figure is now well in the double-digits red territory.

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

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Trend Following Wizards – August

October 2nd, 2017 · Trend Following, Trend Following Wizards

Positive end of Summer for the Wizards, but still down on the year for the average performance.

Below are the full results as of end August 2017: [Read more →]

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State of Trend Following in August

September 5th, 2017 · the State of Trend Following, Trend Following

State of TF
 

Slightly positive month for the State of Trend Following index but still negative Year-To-Date performance, in the double digits.

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

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Trend Following Wizards – July

August 22nd, 2017 · Trend Following, Trend Following Wizards

A mixed month of returns for our Trend Following Wizards, averaging on the positive side.

Below are the full results as of end July 2017: [Read more →]

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State of Trend Following in July

August 3rd, 2017 · the State of Trend Following, Trend Following

State of TF
 
July was another down month for the State of Trend Following, which broke through the double-digit level on the downside for the year.

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

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Trend Following Wizards – June 2017

July 17th, 2017 · Trend Following, Trend Following Wizards

The Wizards are down for the month of June and down for the year at the halfway point, fairly uniformly, with only a couple show positive YTD performance.

Below are the full results as of end June 2017: [Read more →]

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Trend Following Wizards – May

June 27th, 2017 · Trend Following, Trend Following Wizards

Mixed month but overall slightly negative result for the Trend Following Wizards. YTD figure is in the red too.
Below are the full results as of end May 2017: [Read more →]

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State of Trend Following in May

June 6th, 2017 · the State of Trend Following, Trend Following

State of TF
 

Negative month for the State of Trend Following report, putting the YTD well in the red.

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

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Trend Following Wizards – April 2017

May 22nd, 2017 · Trend Following, Trend Following Wizards

A nearly neutral month for the Trend Following Wizards, keeping the year slightly in the red.

Below are the full results as of end April 2017: [Read more →]

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State of Trend Following in April

May 11th, 2017 · the State of Trend Following, Trend Following

State of TF
 

A slight positive month for the Trend Following report, yet keeping the YTD performance well in the red.

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

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Trend Following Wizards – March 2017

April 21st, 2017 · Trend Following, Trend Following Wizards

Not many Wizards managed to return positive performance last month as can be seen in the array of red numbers below. The YTD figure is negative and roughly equal to March’s average performance.

Below are the full results as of end March 2017: [Read more →]

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State of Trend Following in March

April 11th, 2017 · the State of Trend Following, Trend Following

State of TF
 

Another negative month for this (delayed) State of Trend Following report. To say that the last 12 months have been far from the best performing period for the index seems an understatement. I also include in this month’s report (further below) the 12-month chart from the post I write for the Wisdom State of Trend Following for a longer-horizon picture.

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

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Trend Following Wizards – February

March 21st, 2017 · Trend Following, Trend Following Wizards

The Trend Following Wizards had a positive February and reversed the losses from January last month, with the YTD figure very slightly in the black.

Below are the full results as of end February 2017: [Read more →]

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Trend Following Wizards – January 2017

February 21st, 2017 · Trend Following, Trend Following Wizards

Negative start of the year for the Trend Following Wizards, with a few positive performance results but mostly all red. as can be seen in the table below. The average return is -1.88%.

Below are the full results as of end January 2017: [Read more →]

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State of Trend Following in January: Down

February 3rd, 2017 · the State of Trend Following, Trend Following

State of TF
 

Trend Following started the year with the same flavour as it ended 2016: down. The index posted a negative performance in January but is still slightly up since the low in October last year.

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

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Trend Following Wizards Down in 2016, Slightly Up in December

January 18th, 2017 · Trend Following, Trend Following Wizards

The Trend Following Wizards closed the year with small gain for December (+0.17%) but with an overall negative performance (-2.42%). The individual results show a wide dispersion, ranging from double-digit losses (worse at -27.50%) to double-digit gains (best at +11.57%).

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

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