Welcome to my online repository of research and insights on automated trading system development
Not a very eventful report for this month and due to a fairly busy schedule this week, I will keep this short. Please find the report just below. Detailed Results The figures for the month are:
Entries from May 3rd, 2012
State of Trend Following in April
May 3rd, 2012 · No Comments · the State of Trend Following, Trend Following
Tags: report
Trend Following Wizards: New Top 25 – March’12
April 18th, 2012 · 8 Comments · Trend Following, Trend Following Wizards
I have been hinting at a review of the list of Trend Following Wizards for a few months. Well it’s here!
State of Trend Following in March
April 3rd, 2012 · 6 Comments · the State of Trend Following, Trend Following
As you can see more in details below, March was relatively flat for the State of Trend Following index, never going over +/- 2%, to finish the month slightly in the red and contribute some more to the current YTD loss. Please check below for more details.
Tags: report
Trend Following Wizards – February 2012
March 19th, 2012 · No Comments · Trend Following, Trend Following Wizards
Similarly to the State of Trend Following (yet again), the “Wizards index” has bounced back from the “January low”, but not enough to get out of the “red zone”, with the YTD performance still being negative. Please find below the full table:
Monthly vs. Daily Trading – updated
March 13th, 2012 · 5 Comments · Backtest, Equities, Futures, Strategies
2011 offered challenging market conditions for trend followers (as illustrated by both the State of Trend Following and the Trend Following Wizards reports). The second half of the year in particular threw a few “curve balls”, in the form of wild volatile moves with inter-market correlations spiking up. With this backdrop, I wanted to revisit [...]
Tags: monthly
State of Trend Following in February
March 5th, 2012 · 6 Comments · the State of Trend Following, Trend Following
A moderate February bounce reduces the YTD losses on the index. Not enough to bring the index back in the black. The results also show a fairly clear divide in the results per system timeframe. Please check below for more details.
Tags: report
Trend Following Wizards – January 2012
February 20th, 2012 · 6 Comments · Trend Following, Trend Following Wizards
It took a bit longer than expected to retrieve the performance updates for the Trend Following Wizards (all bar one) for this first report of 2012; but here it is. I am also reviewing its contents and will likely make adjustments to the list in 2012, so that it resembles more a “legendary traders’ league” [...]
State of Trend Following in January
February 7th, 2012 · 5 Comments · the State of Trend Following, Trend Following
Red and a bit late. This is how this State of Trend Following report is served this month, for the first edition of 2012. The negative momentum from 2011 seems to have carried over in the new year. One small modification to note regarding the report and its index: I have cut down on [...]
Tags: report
Trend Following Wizards – December 2011
January 18th, 2012 · 1 Comment · Trend Following, Trend Following Wizards
This report closes the year 2011 for the Trend Following Wizards, which ended up – not so surprisingly – on the negative side. The performance for December was virtually nil, leaving the composite index at -7.5% for the year. Apart from a handful of managers, most funds were in the red for 2011. Interestingly, the [...]
State of Trend Following in 2011
January 3rd, 2012 · 1 Comment · the State of Trend Following, Trend Following
Happy New Year to all readers of the blog! May 2012 bring you success and happiness in your trading (and other) endeavours. Looking back at the year just past, performance was just “not there” for Trend Following in general in 2011. A minor gain in December for the State of Trend Following index did [...]
Tags: report
