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

Trend Following Wizards – July 2015

August 25th, 2015 · No Comments · Trend Following, Trend Following Wizards

A strong up month for the Trend Following Wizards, which would take the aggregate performance just above break-even for the year if it was not for a strong down performer. Check the detailed results below.

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State of Trend Following in July: UP

August 18th, 2015 · No Comments · the State of Trend Following, Trend Following

  July saw a bounce back up in the index after several months of downwards action. The YTD performance is still negative though. Please check below for more details.

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Trend Following Wizards – June ’15

July 20th, 2015 · No Comments · Trend Following, Trend Following Wizards

Big negative month for the Trend Following Wizards who posted a collective performance of -4.7%. The performance is now negative for 2015, at -3.85%. Please see full results below:

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State of Trend Following in June

July 3rd, 2015 · No Comments · the State of Trend Following, Trend Following

  Another down month for the State of Trend Following index. After a fairly good start to the year – until mid-March where the index registered its high for the year – the trend has been fairly clearly down. Possibly a drawdown phase following the very strong performance from 2014 and beginning 2015. Please check […]

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Trend Following Wizards – May

June 16th, 2015 · No Comments · Trend Following, Trend Following Wizards

Mixed results, slightly negative for the month but slightly positive for the year. This is, in a nutshell, the summary for the Wizards as of end of May. Detailed results below:

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State of Trend Following in May

June 2nd, 2015 · No Comments · the State of Trend Following, Trend Following

  Another successive down month for the index. Enough to take it into negative territory for the year. Please check below for more details.

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Trend Following Wizards – April

May 18th, 2015 · No Comments · Trend Following, Trend Following Wizards

Negative April across the board for all the Wizards but one. A fairly strong down month too at -4.23%, taking the YTD performance closer to neutral, but still positive at +1.33% Organisation / Fund Return YTD * AUM ** Abraham Trading1 -5.19% -0.50% $278M Altis Partners2 -3.87% 6.18% $306M Aspect Capital3 -9.69% -2.48% $4,800M Beach […]

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State of Trend Following in April

May 6th, 2015 · No Comments · the State of Trend Following, Trend Following

  A negative month in April for the State of Trend Following report, taking the performance below the break-even line for 2015. Please check below for more details.

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Trend Following Wizards in March: UP

April 22nd, 2015 · No Comments · Trend Following, Trend Following Wizards

A couple of late reporting funds this month, but here is the update for March’s Wizards performance. A fairly positive month to increase the yearly gains.

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State of Trend Following in March

April 2nd, 2015 · No Comments · the State of Trend Following, Trend Following

  The index registered a new yearly high last month, with a nice uptrend until mid-month (nearing +10% YTD), before settling back to a lower level. The year-to-date performance is still well in the black. Please check below for more details.

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Trend Following Wizards – February

March 27th, 2015 · No Comments · Trend Following, Trend Following Wizards

Not a great month. Neither for the Wizards or for this blog, with such a long delay publishing this month’s report. Apologies for reporting the February figures so close to… April. For various reasons I was unable to get to this earlier than now. Here it is finally. A negative return, but only slightly. This […]

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State of Trend Following in February

March 5th, 2015 · No Comments · the State of Trend Following, Trend Following

  After a strong string of positive performances, the State of TF index pulled back last month to post a negative return, still leaving 2015 in positive territory. Please check below for more details.

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Trend Following Wizards: Good January Start

February 20th, 2015 · 1 Comment · Trend Following, Trend Following Wizards

Good start of the year for the Wizards, who started the year with a collective +5.63% in January. Please see below for full individual results.

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State of Trend Following in January

February 4th, 2015 · 2 Comments · the State of Trend Following, Trend Following

  The year is starting as it ended for trend following: Very strong. The index posted a first good month (over +6%). Trend Following keeps on trending up! Please check below for more details.

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Trend Following Wizards close 2014 on a High

January 16th, 2015 · No Comments · Trend Following, Trend Following Wizards

Collectively, the Wizards added another good month to an already very good 2014 (the come-back year for trend following). A near-100% of positive results for the year, with an average just shy of +25% and a handful of strong performers. Average return for December: +3.56% Full results below:

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State of Trend Following in December 2014

January 6th, 2015 · 2 Comments · the State of Trend Following, Trend Following

  Happy New Year to all readers! The first post of the year looks back at the performance of the State of Trend Following index in 2014… And it’s been a great year! Trend Following really started to shine in the second half of the year and closed the year with a gain over 50%. […]

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Trend Following Wizards – Strong November, Strong 2014

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

One of the best months of the year for our Trend Following Wizards. Not so surprisingly after the strong performance of the State of Trend Following Index (nearing +10% return for November). The overall return for the Wizards was +6.80% for the month with the YTD performance just a fraction off the typical 20% threshold […]

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State of Trend Following in November 2014

December 3rd, 2014 · 1 Comment · the State of Trend Following, Trend Following

  The State of TF index closed the month with a big spike up, courtesy of large crude oil/energy moves to the downside. Most of the systems in the index had been short for a few months and benefited from this large move in the direction of the main trend. Unsurprisingly, the index registered a […]

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Trend Following Wizards – October 14

November 18th, 2014 · 1 Comment · 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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