Welcome to my online repository of research and insights on automated trading system development
After the rather dramatic May-June move to the downside, the State of TF index is registering a small uptick for July. A Summer respite amongst the chaos in the financial markets that the US debt latest development seems to have created. One thing for sure is that this all strongly reinforces the point of [...]
Entries Tagged as 'Trend Following'
State of Trend Following in July
August 1st, 2011 · 5 Comments · the State of Trend Following, Trend Following
Tags: report
Trend Following Wizards: Red June
July 19th, 2011 · 10 Comments · Trend Following, Trend Following Wizards
Another monthly results column full of red for the Wizards in June: the Summer did not start all “sunny” for the CTAs tracked in this report. To keep with last month’s analogy, the yo-yo’s string seems to have now broken, with no bounce back up from last month’s negative results (after several months of strong [...]
Tags: wizards
State of Trend Following: sharply down
July 4th, 2011 · No Comments · the State of Trend Following, Trend Following
As there was no report last month, this month’s edition is a combined version for May and June. The Trend Following Wizards had a strong down month in May, and so did the index used for this State of Trend Following report. However the up-and-down “yo-yo” pattern seen every month from the beginning of [...]
Tags: report
May for Trend Following Wizards: Yo-yo back down
June 29th, 2011 · 4 Comments · Trend Following, Trend Following Wizards
+3.64% in February, -3.70% in March, 6.11% in April… And now -6.11% in May. The up-and-down performance of the Wizards for 2011 creates volatility but not much return with the YTD number currently standing at -1.46%. The month of May was strongly down with only negative postings, with the most aggressive ones in “red” double-digit [...]
Tags: wizards
April: Trend Following Wizards Bounced Up Too…
May 16th, 2011 · 3 Comments · Trend Following, Trend Following Wizards
Following the trend (no pun intended) of strong up-and-down months exhibited by the State of Trend Following, the Wizards also had a strong bounce back up in April. 100% of monthly returns were positive in April, showing an average over 6%, with only a few red marks in the YTD column, with an average over [...]
Tags: wizards
State of Trend Following: Strong April Rebound
May 2nd, 2011 · 8 Comments · the State of Trend Following, Trend Following
Another strong move follows that of last month, albeit in the opposite direction. Whereas March saw a drop of around 10% for the Trend Following index used in the report, April saw an equally sharp rebound of just under +10%, taking the index back in positive territory for the year at around +7%. Detailed [...]
Tags: report
One for the CTA Skeptics
April 20th, 2011 · 3 Comments · Trend Following
I mentioned, in a recent post, a paper by Newedge presenting a Trend Follower CTA sub-Index as well as a mechanical Trend Following benchmark (Newedge Trend Indicator). I recently found another paper taking the concept further: Fooling some of the People all of the time: The inefficient Performance and Persistence of CTAs. Abstract: Investors face [...]
Tags: cta
Trend Following Wizards – March 2011
April 18th, 2011 · 5 Comments · Trend Following, Trend Following Wizards
As suspected from the State of Trend Following report for March – which was heavily in the red – last month was not kind to Trend Followers. Most of the “Wizards” posted negative results – quite a few fairly large – with only Chesapeake and Winton showing a (modest) positive return. The average monthly return [...]
Tags: wizard
Eighteenth Century Trend Following and More History
April 11th, 2011 · 17 Comments · Trend Following
We have all heard the timeless adage “Cut your losses, let your winners run”, which forms the central tenet of Trend Following. Proverbs travel through generations and their origins get lost, so I was quite interested when I found out about an 1838 book, The Great Metropolis, Vol II by James Grant, tracing back the [...]
Tags: correlation·David Ricardo
State of Trend Following: a March Down
April 5th, 2011 · 7 Comments · the State of Trend Following, Trend Following
March has, unfortunately, been dramatic from a world news point of view. It seems that the negativity has rubbed off on the financial markets, and affected Trend Following: March has more than erased all the gains posted so far for the year. The State of Trend Following index now stands at -2.55% for 2011 [...]
Tags:
Trend Following Wizards – February 2011
March 16th, 2011 · 1 Comment · Trend Following Wizards
A fairly strong month of February for our Wizards, with most managers more than erasing their small losses from the beginning of the year. The YTD average performance is now +2.80%, thanks to an average return of +3.64% for the month of February. This month sees the addition of another Wizard: London-based CTA Beach Horizon. [...]
Tags: wizards
Trend Following Wizard Correlations Heatmap [Video]
March 10th, 2011 · No Comments · Data, Trend Following Wizards
One of my favourite non-trading-related blogs is FlowingData, a visualization and statistics site by Nathan Yau. I find Data visualization fascinating and inspiring. A good visualization usually “brings data to life” making it easier to understand. Most visualizations featured on FlowingData are very aesthetically pleasing, making the subject a sort of enjoyable and useful “geeky [...]
Tags: correlation·visualization·wizards
State of Trend Following: February still on the up
March 2nd, 2011 · 3 Comments · the State of Trend Following, Trend Following
The good period from the second half of 2010 (link to Dec-2010 report) seems to extend to the beginning of 2011, with the index now being up by over 30% since July 2010. February saw another good performance for the strategies tracked in this report, with an average return of +4.86%. The 2011 performance [...]
Tags:
New Year for the State of Trend Following report
February 1st, 2011 · No Comments · the State of Trend Following, Trend Following
The state of Trend Following report is now starting a new year with 2011. The principles stay the same though, and hopefully the index will keep doing a good job of representing Trend Following performance, including the Trend Following Wizards. The results for January have been mixed with a set of individual strategy returns [...]
Tags:
A Look back at Trend Following in 2010
January 26th, 2011 · 22 Comments · the State of Trend Following, Trend Following, Trend Following Wizards
2010 was a good year for Trend Following. The year closed on a high for both Trend Following Wizards and the Trend Following index of the simple strategies I track in the State of Trend Following report. Now that all results are in, it is a good time to look back at the results, crunch [...]
Tags: correlation·R·Trend Following
State of Trend Following: December, a sprint towards +50% for 2010
January 5th, 2011 · 14 Comments · the State of Trend Following, Trend Following
Firstly, I would like to wish a Happy New Year to all readers. May 2011 bring you desired success on the trading front – as well as in life in general. I would also like to take this opportunity to thank you all: silent readers, subscribers, commenters, or readers that I have had the [...]
Tags: report
Trend Following Wizards – November 2010
December 14th, 2010 · No Comments · Trend Following, Trend Following Wizards
In line with the State of Trend Following report, most of the Wizards have ended the month in the red in November The average monthly return stands at -3.3%, which brings the YTD performance to +8.41%. Here are the individual results for last month – only one positive number:
Tags:
State of Trend Following: November, Up-and-Down month
December 7th, 2010 · 2 Comments · the State of Trend Following, Trend Following
The headline figure for November (-3.66%) does not sound as dramatic as what happened during November for Trend Following. After a quick spike upwards at the beginning of the month, following the best month of the year so far, a sharp reversal took place taking all systems into the red (and most stayed in [...]
Tags: report
