Welcome to my online repository of research and insights on automated trading system development
Back to blogging with a new edition of the state of Trend Following report. August seems to have been pretty good to Trend Followers, with the composite index of the 12 “control” Trend Following systems included in this report showing a return of +8.08%, with most systems posting gains for the month. Detailed Results [...]
Entries Tagged as 'the State of Trend Following'
the State of Trend Following in August: good performance
September 6th, 2010 · 3 Comments · the State of Trend Following, Trend Following
Tags: report
the State of Trend Following in July
August 2nd, 2010 · 4 Comments · the State of Trend Following, Trend Following
The “Summer break” has not been very clement with Trend Following for this month of July 2010. The composite index of the 12 “control” Trend Following systems that I check in this report shows a performance of -4.3%, with a few systems posting losses around the 15% mark. Report Changes As discussed last month, [...]
Tags: report
the State of Trend Following in June
July 14th, 2010 · 6 Comments · the State of Trend Following, Trend Following
With some delay, here is the July update of the State of Trend Following report. With quite a few changes this month. Most systems use ATR-based stops/position sizing and most used to be set at 5x ATR – regardless of the timeframe of the signal (ie. 20 to 200 days) – which was not making [...]
Tags: report
May: +35% for some Trend Followers!
June 2nd, 2010 · No Comments · the State of Trend Following, Trend Following
May has been quite “exciting” in the financial markets… And the results on the State of Trend Following and the Trend Following Wizards always promised to be interesting. Let’s check the Trend Following results in this report. No Report Changes Still in beta, this report is subject to modifications. This month however, the [...]
Tags: report
April: a flat month for Trend Following
May 6th, 2010 · No Comments · the State of Trend Following, Trend Following
New month: new draft of the State of Trend Following report. April has been a slightly up-and-down month for Trend Following, and ended nearly flat. Let’s wait and see if this benchmark will keep in line with the Trend Following Wizards, as has been the case so far. Report Changes Still in beta, this report [...]
Tags: report
The State of Trend Following report – Draft V0.2
April 7th, 2010 · 10 Comments · the State of Trend Following, Trend Following
Another month brings you an updated version of the State of Trend Following draft report (V0.2) – in which we check a collection of standard Trend Following systems over a portfolio of diverse futures. The idea being to monitor how Trend Following is doing as a whole, as an alternative to tracking the Trend Following [...]
Tags: report
The State of Trend Following report – Draft V0.1
March 2nd, 2010 · 13 Comments · the State of Trend Following, Trend Following
I just have to get something out on this 1st beginning of March. I could keep polishing this report until Christmas… But instead here is a first draft. The State of Trend Following report will be published at the beginning of each month (expect it to be evolving for the first few months). The Concept [...]
Tags: CSI·report·Trading Blox·Trend Following
