Systematic Trading research and development, with a flavour of Trend Following
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Trend Following Wizards: Difficult start of the year

February 21st, 2014 · Trend Following, Trend Following Wizards

Tough start of the year for the trend following Wizards, with just two of them posting positive results.. As a result, lots of red in the table.

Additions: New Wizards

Thanks to all the readers who submitted suggestions for additions into the list. I added four new managers, taking the list to 30 constituents:

  • Covenant Capital Management
  • Estlander & Partners
  • Lynx Asset Management
  • Quantica Asset Management

For each of these, I picked the most “trend-following” oriented program. I received several more suggestions that I checked; some were too “emerging” to be on the list but a good part of the established managers showed too little an allocation to trend following strategies. Some of the big ones having less than 50% allocated to trend following (it could be argued that this is the case for Lynx above, with an advertised allocation to trend following at 50% only, but I still decided to include them because of their very large size, and for a bit of “geographical diversification”).

Checking back the managers already on the list, I could see that this “trend” of adding extra strategies to a core trend following one has been growing and not all of the Wizards have a “good old” traditional 100% allocation to trend following like the Dunn, Chesapeake, Campbell, Mulvaney, etc. (for example, Abraham only lists trend following as 45% of their program – coincidentally they are one of the managers being up last month). As a reader was pointing out, this is probably a reason for the increased divergence in the Wizards performance. Something worth investigating when going over past performance of the Wizards.

Please find the full results for January 2014 below:
[Read more →]

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State of Trend Following in January

February 4th, 2014 · the State of Trend Following, Trend Following

State of TF
 
The slow bounce from October last year seems to continue with the index registering a small gain in January (+1.17%). Interesting to note that there was a bit less uniformity in the results of different systems/timeframes combinations, with notably the short Donchian showing strong performance.

Please check below for more details. [Read more →]

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AuTraSy vs Wisdom States of Trend Following

January 30th, 2014 · the State of Trend Following, Trend Following

2013′s over… Time for some reflection.

Last year, I started producing the Wisdom State of Trend Following report. The concept is very similar to the State of Trend Following report, which I’ve been running on this blog for a few years: take a diversified portfolio of futures markets, and run it through a mix of classic trend following systems over different timeframes to obtain a trend following composite index.

I worked with Shane at Wisdom Trading to make sure that the new index was closer to “real trading” than the index on this blog. In effect, we added trade friction parameters (slippage and commissions) and made sure that all products could be traded by US citizens/entities (Wisdom cover a very good range of markets but CFTC regulations prevent trading of markets such as Turkish Lira or OMX Helsinki 25).

In terms of sector balancing, my initial pick for the State of TF report was more “random”, so I made sure to have a more even split in the list of around 40 markets selected (details of individual markets and sectors can be found on Wisdom State of TF report posts, like the latest one from December and on the State of TF reports like this one for the AuTraSy version).

The end result was an index that reflected historical trend following performance fairly well in comparison to well-known benchmark indexes, but also to the actual real-life trading performance of trend following systems traded/executed by Wisdom Trading for their clients over the last one or two decades.

The Wisdom report was launched in August, but one thing puzzled me (along with some readers): despite applying very similar concepts, the YTD performance for both “State of TF” indexes showed a substantial difference. That difference lasted until the end of the year, as shown by these two charts:

StateTF YTD [Read more →]

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Trend Following Wizards – December 2013

January 20th, 2014 · Trend Following, Trend Following Wizards

We can say that 2013 was flat for our Trend Following Wizards: they closed the year by posting a minuscule collective yearly gain of +0.04% (with a December return of 0.64%). However, a closer inspection reveals a greater disparity than usual in the results. The standard deviation in the 2013 yearly performance is over 15%, with 4 double-digit gains and 6 double-digit losses. A good illustration that trend following is not just “one big trade” as some people are sometimes led to believe.

I’m looking at updating the list of Wizards for 2014, so please forward any suggestions you have. I do not have set criteria for CTA inclusion, just well-established trend following CTAs (and for which I can access performance information). I need to go back to a few reader emails to review their suggestions over the last year and I might borrow some ideas from this list from Andreas Clenow, author of Following the Trend (good book I still have to review on the blog).

So please send your ideas to improve the list for 2014. I already added Mulvaney Capital to the list this month. I believe they were on my initial list but I just could not find a reliable performance update for them at the time. Note that they were one of the most successful Trend Following Wizards in 2013, posting 43% for the year. The collective results above did not include Mulvaney’s results in order not to skew the results for 2013 (you can see the difference it makes on the summary in the table below). [Read more →]

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Trend Following Wizards

January 20th, 2014 · Fund Review, Trend Following, Trend Following Wizards

—- Latest Results further below —-

On this page I track the monthly results of the top CTAs/Managed Futures funds in the Trend Following space:

  • Decades of successful track records (some managers approaching half a century such as Millburn or Campbell, founded in 1971 and 1972 respectively, with other pioneers following suit a few years later: Sunrise, Dunn, etc.)
  • Legendary stories and experience: the most famous of them being the Turtle Traders experiment led by Richard Dennis in the eighties. Nearly a third of the list originate from or were associated with the Turtles (Liz Cheval, Jerry Parker, Bill Eckhardt and more – check the foot notes for details). Also in the list is David Druz, an early “disciple” of computerized trend following pioneer Ed Seykota.
  • Billions of Assets under management: the list captures most if not all of the top Trend Following managers in terms of AUM, including the “super-large” that are Winton, Man AHL, BlueTrend or Transtrend. Collectively, the Trend Following Wizards manage close to $100 Billion.

Keeping updated

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Latest Results (November ’14)

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 for “bull market” definition. With some big moves in commodities, the weighing of these markets in the CTAs’ portfolios might be the main source of difference between “good” and “very good” performances.

Full table further below, with an overwhelming number of black numbers — only one spot of red preventing a perfect 100%. [Read more →]

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State of Trend Following in 2013

January 2nd, 2014 · the State of Trend Following, Trend Following

State of TF
 

The year came to a close to see the State of TF index register a last “mini-rally” and finish 2013 by posting a small gain, after a roller-coaster up-and-down through the last 12 months.

Interestingly, the new index I created for Wisdom Trading finished the year fairly substantially down, despite having very similar principles (diversified portfolio traded using public domain trend following systems over different timeframes). I’ll look into the reasons why in a next post.

Please check below for more details… And Happy New Year to all readers! [Read more →]

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Trend Following Wizards – November

December 18th, 2013 · Trend Following, Trend Following Wizards

November saw the Wizards post a fairly strong positive result and coming close to break-even on a Year-To-Date basis. One month left to finish the year in the black… Unfortunately, it does not look like it’s headed that way. Peeking into the “future” by checking the current value of the Newedge Trend index, which is a decent proxy for this index, December is already showing a fairly strong down figure at -3.82% today (as of 16-Dec – source: Newedge).

The figures for the Wizards are +1.88% for the month and -0.66% for 2013 (to date). See full results below. [Read more →]

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State of Trend Following in November

December 3rd, 2013 · the State of Trend Following, Trend Following

State of TF
 
The State of TF index registered a very small gain last month and (barely) comes back out into positive territory for the year.
Please check below for more details. [Read more →]

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Trend Following Wizards – October ’13

November 18th, 2013 · Trend Following, Trend Following Wizards

A positive October for the Trend Following Wizards. Still in the red year-to-date though.

See full results below:

[Read more →]

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State of Trend Following in October (UP at last)

November 4th, 2013 · the State of Trend Following, Trend Following

State of TF
 
A slight positive result in October to stop the “bleeding” since the “June High” posted by the index. This renders the Year-To-Date performance only very slightly in the red. Start of a bounce or a simple “breather” on the way down..?

Please check below for more details. [Read more →]

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Trend Following Wizards – September 2013

October 18th, 2013 · Trend Following, Trend Following Wizards

Another month (unsurprisingly) dominated by the colour red (unsurprising as the State of Trend Following reports, both on this site and Wisdom Trading’s site, indicated a down trend relatively clearly).

Please check the full results below, with a few funds still managing to post positive results for the year. [Read more →]

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State of Trend Following in September: Down (again)

October 3rd, 2013 · the State of Trend Following, Trend Following

State of TF
 
Pretty much the same story as the last few months: fairly uniform and strong negative performance. The index closes below 0 for the first time this year (in a way correcting an anomaly compared to the rest of the trend following space, which has been down for a good part of the year). Questions such as “Is trend following dead?” are doing the rounds again… (as they were last year). Interesting times to say the least.

Please check below for more details. [Read more →]

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Trend Following Wizards – August

September 19th, 2013 · Trend Following, Trend Following Wizards

+0.66% is the only positive return for this month’s report. The rest of the Wizards are down, as illustrated by the near-uniform shade of red in the August return column in the table below (the YTD column is not that much better).

The composite return of the index is -2.13% for the month and -3.17% YTD, with full results further below.

A Note on Sunrise

The reporting on this blog is only as good as the sources that I check for performance updates. In the case of Sunrise, the info reported has not been consistent and I’ve had a few readers enquire about Sunrise in the last few months. I hope this clarifies things:

I got confirmation and clarification of the situation directly from Sunrise. They are basically closing their original Flagship “Expanded Diversified” Program (which I have been reporting here, up to a few months ago) and replacing it with their [Read more →]

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Four-year Cycle and the Wisdom State of TF

September 5th, 2013 · Blog, the State of Trend Following, Trend Following

Yamanote-Four
 
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.

Rest assured, I’ll keep writing the Trend Following Wizards and the State of Trend Following report updates as well.

Wisdom State of Trend Following Report


 
Talking about the State of Trend Following, I wanted to introduce another version of the report I have developed in collaboration with Wisdom Trading: the 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:
[Read more →]

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State of Trend Following in August

September 3rd, 2013 · the State of Trend Following, Trend Following

State of TF
 
Another negative month for the State of Trend Following report, bringing the index very close to zero for 2013. We have not been this low since January. And the index was flirting the +15% level a couple of months of ago.

Please check below for more details. [Read more →]

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Trend Following Wizards – July 2013

August 26th, 2013 · Trend Following, Trend Following Wizards

Back in the red overall for 2013 (only slightly) with a negative month of July for the Trend Following Wizards.
Please find the full results further below. [Read more →]

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State of Trend Following in July

August 2nd, 2013 · the State of Trend Following, Trend Following

State of TF
 
Last month, the State of TF index was showing a bit of divergence compared to the Trend Following Wizards on a YTD basis (+10% vs. flat). Not sure if is “gravity pull” at play… but the index for the State of Trend Following report just posted a strong down month. Let’s wait and see how this compares to the Wizards when the results are posted later this month.

Please check below for more details. [Read more →]

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Trend Following Wizards – June ’13

July 18th, 2013 · Trend Following, Trend Following Wizards

After a mostly positive start of the year, June brings the second consecutive negative month for the Trend Following Wizards. The YTD performance for the aggregate index is now also in the red at the half-year mark.

Also just a reminder that I rely on various free third-party sources to publish these numbers and I cannot guarantee their accuracy (unfortunately). They are correct to the best of my knowledge. A couple of readers have emailed me last month to discuss this and possible discrepancies. It could very well happen that past results get updated after I publish them here and there might be some discrepancies between the individual YTD figures published month after month vs. the YTD figure computed from the individual monthly returns (it seems that Bluetrend got slightly out of line for example).
Just something to bear in mind if you want to drill down in the data. However, the main goal of this report was to measure how the Wizards perform as a group, and this does the job pretty well I think.

Also note that I was not able to locate Sunrise’s performance this month as they gradually dropped of all the sources I check for them. If any reader has a place to find their performance on a regular basis, please let me know.
I’ve updated the results below with the performance of the new Sunrise program: Sunrise Evolution, after having been advised by Sunrise themselves that “the Sunrise Expanded Diversified Program as it is now closed and has ceased trading as a stand-alone investment program”. They are actually showing a strong positive performance YTD (+14%), strong enough to actually push the index back in the black!

Please find the detailed results below for June 2013. [Read more →]

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State of Trend Following in June

July 2nd, 2013 · the State of Trend Following, Trend Following

State of TF
 
Another overall “flat” month for the index of this State of Trend Following, which is still maintaining itself on a “positive plateau”. Indeed, if you take a look at the Year-To-Date chart further below, you’ll see that the index was at the same level in February after a strong push at the beginning of the year. Since then it seems to have simply been hovering up-and-down around these levels.

Please check below for more details. [Read more →]

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Trend Following Wizards – May

June 24th, 2013 · Trend Following, Trend Following Wizards

Sharp reversal in this past month of May for the Trend Following Wizards. Quite a few funds posted strong negative figures to reverse all of this year’s gains.
The aggregate figure is still in the black year-to-date, standing at +1.73% but the collective figure for the month of May is sharply down at -3.52%.

Please check below for the full results. [Read more →]

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