Systematic Trading research and development, with a flavour of Trend Following
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Entries from June 25th, 2010

Weekend reading

June 25th, 2010 · 1 Comment · Trend Following

I have recently been browsing the great resource that is the SSRN (Social Science Research Network), looking for some Managed Futures/CTA/Trend Following papers. Here is a list of some I have bookmarked:

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Trend Following Wizards: negative month (May), 2010 now in the red…

June 16th, 2010 · 5 Comments · Trend Following, Trend Following Wizards

Not as volatile as some might have expected, the performances of the Trend Following Wizards are fairly heterogenous but mostly on the negative side with an average return of -3.99% and a couple of double-digit losses. This brings the average Year-To-Date to -0.66%. This contrasts with the +35% result found in some of the strategies [...]

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CSI Raw Contract Data Extractor

June 10th, 2010 · 15 Comments · Code, Data

I have mentioned before that I use CSI as my main provider for Futures data. Overall, I judge CSI’s service as good quality – however one drawback is the closed aspect of the data access. And I decided to write a utility to make it more “open”. To access the historical data, you have to [...]

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Crude Oil, Contango and Roll Yield for Commodity Trading

June 8th, 2010 · 2 Comments · Futures

We have already discussed how roll yield can negatively affect the overall return of a commodity holding The impact of contango or backwardation can be relatively large compared to the overall return. Petroleum has unfortunately been in the news lately. Nevertheless, Crude Oil performance last year gave us a good illustration of the impact that [...]

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May: +35% for some Trend Followers!

June 2nd, 2010 · No Comments · the State of Trend Following, Trend Following

    May has been quite “exciting” in the financial markets… And the results on the State of Trend Following and the Trend Following Wizards always promised to be interesting. Let’s check the Trend Following results in this report. No Report Changes Still in beta, this report is subject to modifications. This month however, the [...]

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