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

Trend Following Wizards Down in 2016, Slightly Up in December

January 18th, 2017 · No Comments · 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:

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State of Trend Following in December

January 4th, 2017 · 2 Comments · the State of Trend Following, Trend Following

  Happy new year to all readers! With best wishes for your trading in the coming twelve months, which — I’m sure you’ll agree — will prove interesting from several perspectives. We start the year by looking back at the performance of trend following over the year just passed. Unsurprisingly the State of Trend Following […]

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Trend Following Wizards – November

December 22nd, 2016 · No Comments · Trend Following, Trend Following Wizards

The Trend Following Wizards had mixed results last month. Some large returns on the upside, some large returns on the downside and a whole range in between make for a more-than-usual scattered, non-uniform set of results. The result is a flat average performance, while the YTD is still negative going into the last month of […]

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State of Trend Following in November

December 6th, 2016 · 3 Comments · the State of Trend Following, Trend Following

  Not a great month again for trend following last month. The YTD points to a near-certain negative 2016 for trend following. Please check below for more details.

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Trend Following Wizards – October

November 29th, 2016 · No Comments · Trend Following, Trend Following Wizards

The Wizards were well in the red last month, and two months before the end of the year, the YTD performance is negative too. Another piece of news from last month was the closure of a Turtle trader fund Saxon Investment, as mentioned on their website. Saxon Investment was set up by Howard Seidler, part […]

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State of Trend Following in October

November 7th, 2016 · No Comments · the State of Trend Following, Trend Following

  The results from last month’s trend following index were only slightly negative, which is quite surprising as most of other indices were sharply down, including The Wisdom Trading State of Trend Following report, which I write as a version 2 of this report. The principles for the index are the same… Goes to show […]

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Trend Following Wizards – September

November 4th, 2016 · No Comments · Trend Following, Trend Following Wizards

Apologies for the lateness of this report. These are the results for September for the Trend Following Wizards. I also help Wisdom Trading with their own version of a managed futures funds report (mostly based on trend following wizards too). It is published on a monthly basis and, like last month, can be published earlier, […]

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State of Trend Following in September

October 10th, 2016 · No Comments · the State of Trend Following, Trend Following

  Another down month for the State of Trend Following report, taking the year in the red a bit further for 2016. Please check below for more details.

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Trend Following Wizards in August

September 30th, 2016 · No Comments · Trend Following, Trend Following Wizards

A full set of negative returns for the Trend Following Wizards last month (with delays in reporting due to some funds reporting later than usual), and a strong negative performance. The YTD performance is mixed, with a near-neutral average return. Below are the full results as of end August 2016: :

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State of Trend Following in August: Sharply Down

September 1st, 2016 · No Comments · the State of Trend Following, Trend Following

  It is Fall in Summer!… The trend following index had a big move to the downside last month, taking the YTD performance to a negative level as well. The results are similar, over on the Wisdom State of Trend Following, a sort of version 2.0 of this report, which I write for them too. […]

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Trend Following Wizards – July

August 19th, 2016 · No Comments · Trend Following, Trend Following Wizards

Mixed results for the Trend Following Wizards with a slight bias towards positive results. The YTD performance is positive at +4.55%. Full results below

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Trend Following Wizards – June

July 25th, 2016 · No Comments · Trend Following, Trend Following Wizards

June was a good month for the Trend Following Wizards, with all funds but one returning positive numbers, with a handful in double-digit territory, including a 27% return for the highest performance. The monthly return average over +5% takes the YTD figure back in the black. Please see below for full results:

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State of Trend Following in June

July 5th, 2016 · No Comments · the State of Trend Following, Trend Following

  The month of June started positive for the trend following index, before a V-shaped movement pre/post-Brexit, that ended the month in positive territory. The YTD figure is still in the red. Please check below for more details.

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Trend Following Wizards – May

June 16th, 2016 · No Comments · Trend Following, Trend Following Wizards

The month of May was negative overall for the Wizards and turned the performance for the year in the red too. Please find the full results below:

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State of Trend Following in May

June 10th, 2016 · No Comments · the State of Trend Following, Trend Following

  A strong down month in May for the state of trend following index, which solidifies the downtrend from the last two months and takes the YTD performance in the red, after the strong start to the year. Please check below for more details.

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Trend Following Wizards – April

May 30th, 2016 · No Comments · Trend Following, Trend Following Wizards

Both the year and the month of April for the Wizards is mixed. No big trend (with no pun intended). Some are up, some are down… April was generally negative while the year is overall positive (slightly only). Full details below for each Wizard:

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State of Trend Following in April

May 11th, 2016 · 1 Comment · the State of Trend Following, Trend Following

  The state of trend following was negative last month, as it was in March. The index is now just above the zero-line for the year, back from nearly the +20% mark a month and a half ago. Please check below for more details.

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Trend Following Wizards – March 2016

April 20th, 2016 · No Comments · Trend Following, Trend Following Wizards

A lot of red in the March column for the Wizards, with a fairly strong negative average return. The YTD performance is still positive overall with just over a handful of funds being negative too. Below are the full results as of end March 2016:

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State of Trend Following in March

April 7th, 2016 · No Comments · Books, the State of Trend Following, Trend Following

  Following two strong months to start the year, the index was down in March, but still positive overall for 2016. Please check below for more details.

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Trend Following Wizards – February

March 21st, 2016 · No Comments · Trend Following, Trend Following Wizards

February brought good results for the trend following wizards. Continuing the momentum initiated in January, the index is now up 6.49% for the year and nearly all funds show positive returns for the month. Please find full results below:

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