Systematic Trading research and development, with a flavour of Trend Following
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Entries Tagged as 'Trend Following'

Trend Following Wizards – October 14

November 18th, 2014 · No Comments · Trend Following, Trend Following Wizards

A mixed set of results for the Wizards in October. Slightly positive overall, the performance for the year is still quite strong.

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State of Trend Following – October 2014

November 3rd, 2014 · 2 Comments · the State of Trend Following, Trend Following

  The good streak shown by trend following and this index over the last few months did not persist in October. It actually started the month very well, registering over +5% by the 15th, but then quickly turned back down to reverse all of its gains and finish slightly negative for the month. The “trend” […]

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Trend Following Wizards – September 2014

October 20th, 2014 · 1 Comment · Trend Following, Trend Following Wizards

We suspected that the Trend Following Wizards would have a good month of September after seeing the State of Trend Following reports post their best performance of the year. The Wizards did not disappoint with an average return of 6.07% for the month and 11.64% YTD. Some of the more aggressive managers are now showing […]

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State of Trend Following in September

October 2nd, 2014 · No Comments · the State of Trend Following, Trend Following

  September is the strongest month of the year so far with the first double-digit return and a very healthy YTD performance over 30%. After a slow start, it seems that 2014 is the year of Trend Following return (from the grave? as we remember some people were bringing up the old “Trend Following is […]

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Trend Following Wizards – August 2014

September 17th, 2014 · No Comments · Trend Following, Trend Following Wizards

Strong results for the Trend Following Wizards in August with 100% of positive returns. The index consolidates its positive performance for the year with the YTD result now at +5.36%. August average return: +4.30% Full results below:

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State of Trend Following in August

September 3rd, 2014 · 3 Comments · the State of Trend Following, Trend Following

  Another good month takes the index further up for the year, firmly in positive territory. Please check below for more details.

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Trend Following Wizards in July

August 22nd, 2014 · No Comments · Trend Following, Trend Following Wizards

Summer Holiday season means the report is here a bit later than usual. I hope you all had a nice Summer (for those in the Northern hemisphere anyway). Autumn is quickly gaining the (early) fight over Summer here in London. The report for the Trend Following Wizards is mixed this month. July is overall positive […]

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State of Trend Following in July

August 6th, 2014 · No Comments · the State of Trend Following, Trend Following

  The index is showing positive performance for the third month in a row, taking it to new highs for the year. This is confirmed by the other State of Trend Following report I write, over at the Wisdom Trading blog, so it seems that trend following has “turned a corner”. Is it going to […]

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Trend Following Wizards – June 2014

July 21st, 2014 · No Comments · Trend Following, Trend Following Wizards

The Wizards index moves back into positive territory for the year, with a month of June that was positive overall – showing an average gain of +1.46% and only a handful of funds in the red. YTD performance just breaking above water at +0.41%. Please see full results below:

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State of Trend Following in June

July 2nd, 2014 · No Comments · the State of Trend Following, Trend Following

  A good month of June takes the State of Trend Following index to new highs for the year so far. With the trending activity picking up in the markets, this “breakout” could be a turning point for trend following. To be followed… Please check below for more details.

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Trend Following Wizards – May 2014

June 20th, 2014 · No Comments · Trend Following, Trend Following Wizards

A mixed bag for the Wizards last month. The index was positive overall last month but still slightly in the red for the year. Full results below: Organisation / Fund Return YTD * AUM ** Abraham Trading1 -0.34% 2.46% $160M Altis Partners2 -1.78% -10.40% $350M Aspect Capital3 2.39% -1.83% $4,824M Beach Horizon4 2.78% 5.35% $43M […]

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State of Trend Following in May 2014

June 3rd, 2014 · No Comments · the State of Trend Following, Trend Following

  A positive month for the State of Trend Following Index. The two-and-a-held percent gain in May pushes the index to +6% year-to-date. Please check below for more details.

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Trend Following Wizards – April 2014

May 21st, 2014 · No Comments · Trend Following, Trend Following Wizards

Positive month but negative year to date. In a few words, this is the status for the Trend Following Wizards four month into 2014. Please see full results below:

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State of Trend Following in April 2014

May 6th, 2014 · No Comments · the State of Trend Following, Trend Following

  A fairly flat month overall for the State of Trend Following index, with a slight positive return, both for the month and the year to date. Please check below for more details.

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Trend Following Wizards – March 2014

April 24th, 2014 · No Comments · Trend Following, Trend Following Wizards

A late report of the Trend Following Wizards performance for March shows a lot of red, both for the month and the year-to-date. Not a first good quarter for trend followers. The monthly aggregate return is -1.51% and less than a third of the Wizards are in the black for 2014, with an aggregate YTD […]

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State of Trend Following in March

April 3rd, 2014 · No Comments · the State of Trend Following, Trend Following

  Negative result for the month of March. The index stays positive over the first three months of the year. Please check below for more details.

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Trend Following Wizards – February 2014

March 18th, 2014 · No Comments · Trend Following, Trend Following Wizards

A globally positive month of February for the Wizards. Not enough to make up for the bad start in January: the YTD performance stays in the red. February average return: +1.76% YTD return: -1.61% Full results below:

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State of Trend Following in February

March 3rd, 2014 · 2 Comments · the State of Trend Following, Trend Following

  The month of February was a tale of two halves: a fairly clear leg down, followed by an even stronger leg back up. This closed the month in positive territory – the second time in as many months this year. Additionally, some markets have been showing some strong moves (coffee being the one that […]

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Trend Following Wizards: Difficult start of the year

February 21st, 2014 · No Comments · Trend Following, Trend Following Wizards

Tough start of the year for the trend following Wizards, with just two of them posting positive results.. As a result, lots of red in the table. Additions: New Wizards Thanks to all the readers who submitted suggestions for additions into the list. I added four new managers, taking the list to 30 constituents: Covenant […]

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State of Trend Following in January

February 4th, 2014 · No Comments · the State of Trend Following, Trend Following

  The slow bounce from October last year seems to continue with the index registering a small gain in January (+1.17%). Interesting to note that there was a bit less uniformity in the results of different systems/timeframes combinations, with notably the short Donchian showing strong performance. Please check below for more details.

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