Four years… The end of a 4-year cycle is next week.
No Olympics, US elections, World Cup or leap day (interesting how many things run in 4-year cycles… even stock markets, if you believe wikipedia that is).
No. Four years ago, on the 10th of September, a very minor event: I started this humble blog.
Excuse the cliché, but I cannot quite believe how time flies. I have to admit, in the last two years, the blog was left like an idling engine, running at minimum speed, with two recurring reports every month and not much else in the way of trading research.
It’s not that life got in the way, but sort of.
Leaving London and hitting the road traveling, consulting work and various other things meant I did not put as much effort in the blog as in the beginning.
But the end can feel like a new start; and this is exactly how it feels right now. A new cycle starts. I’m settling back to London and I’ll be rebooting the blog, along with my efforts to research, design and trade a trend following / mechanical system.
So expect more to come soon. Some updates on my trading plans and some new blog ideas and articles, even maybe a bit of a blog re-design.
Wisdom State of Trend Following Report
It is based on the same concept of trying to establish a mechanical trend following benchmark, using classic trend following systems over different timeframes and a global, diversified futures portfolio.
In a way it is a “State of Trend Following v2.0”, a bit different and in some areas better (and prettier too). Why better, you ask? Well, several reasons:
- The portfolio for the initial State of Trend Following was picked fairly liberally and randomly. This was intended to prevent any potential bias in portfolio selection but it could have been better balanced. That updated portfolio is better balanced.
- We did pay attention to making sure that the historical results (available when you subscribe) were in line with trend following’s performance. Nothing too scientific, as we did not want to fall into curve-fitting, but it’s a decent match and this should continue going forward.
- The way the report is run is more similar to a practical tradeable strategy: it is simply a suite of systems run in Trading Blox (no post-processing/aggregation like for this blog’s report index). Another big difference is the inclusion of trade friction parameters (slippage, commissions, etc.) to render the results more realistic.
- The formatting looks nicer too (I think) and there is more details to the report:
Differences with the AuTraSy State of Trend Following report
The aim of the initial State of Trend Following report was to set up a system made up of publicly available mechanical systems and see how well it would track trend following funds and CTAs (benchmarked with the Trend Following Wizards) in a live, forward-testing process.
I feel that’s worked out fairly well – at least empirically – over the last 3-4 years. There have been some tracking errors (it was never going to be a perfect correlation), but more so this year.
The AuTrasy “State of TF” is up (+2.54%), whereas the Wisdom report index is down (like the TF Wizards, but more so) at -11.84%. I have not looked in detail into the reasons for these differences but this is “in the plan” (portfolio selection is the largest changing variable between both systems/indices).
A few readers have asked me if I had longer historical results for the State of TF and if I could compare it with the TF Wizards performance. That’s a very interesting idea and I’ll be adding the Wisdom State of TF into the mix to run a 3-way comparison. Stay tuned.
In the meantime go and check out the new report, with all details of systems, portfolio/markets used and other assumptions (slippage, money management, etc.) and subscribe if you’d like to receive the monthly updates (going forward it will be published at the beginning of each month).
The report is brand new and could still be considered in “beta mode”. Improving it based on reader feedback is very much a possibility, so let me know what you think in the comments (here below or over there).