Systematic Trading research and development, with a flavour of Trend Following
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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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State of Trend Following in May

June 5th, 2013 · the State of Trend Following, Trend Following

State of TF
 
May brought a slight positive uptick to the index, to counter-balance the negative result from the month previous. Overall the index is still in a “plateauing phase” after a good start to the year.
Please check below for more details. [Read more →]

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Trend Following Wizards – April 2013

June 4th, 2013 · Trend Following, Trend Following Wizards

It’s already June and May’s already closed; but this report is for the performance of the Trend Following Wizards in April. Sorry for the confusion (and delay). Please find the full results further below.

It was a good month, with the large majority posting positive monthly performances; and very similar for the YTD situation. May did not look so bright though, from some numbers I could already see reported. As always, the state of trend following should give us a sneak peek into it. The May report will probably be up tomorrow. [Read more →]

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State of Trend Following in April

May 7th, 2013 · the State of Trend Following, Trend Following

State of TF
 
Slightly negative performance in April for the state of trend following report. The overall YTD return is still nicely in the black though
Please check below for more details. [Read more →]

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Trend Following Wizards – March

April 22nd, 2013 · Trend Following, Trend Following Wizards

A very decent month for the Wizards: Only 6 negative returns with only one at less than -1%. The rest of the group posted positive results up to +3.22% for an average of 1.36% for the month of March. Only a handful of managers are in the red so far in 2013.

Please find the full results below [Read more →]

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A new traders place

April 11th, 2013 · Blog

Traders Place
A good replacement for the TB forum?
 
Finding a good place online to interact and exchange with like-minded people is not necessarily easy. When it comes to trading discussions, the Trading Blox forum was an island of its own, in a sea of less interesting, less civil, more day-trading-oriented forums.

Unfortunately, the Trading Blox forum closed its doors to non-customers a while ago, leaving a good chunk of people and readers of this blog orphans: you really do not want to spend too much time on Elite Trader in my opinion; and there are lots of interesting high-quality blogs, but the discussion is obviously more one-sided there.

So there was a gap… [Read more →]

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State of Trend Following in March

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

State of TF
 
March is more or less a repeat of February: a modest gain with some volatility. The index closed shy of +2% for the month, closing above the +10% mark for 2013, with 3 straight winning months.
Could be worse.

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

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Trend Following Wizards – February

March 20th, 2013 · Trend Following, Trend Following Wizards

Unfortunately, this month’s (negative) results are overshadowed by the sad news of Liz Cheval’s recent passing.

Liz Cheval

Liz Cheval

A former turtle trader, she had a very successful trading career with an extraordinary performance track record.
While I did not know Liz Cheval personally, I had the chance to communicate with her via email and this was enough to witness her generous and friendly side, which has been underlined by many others.
She will surely be deeply missed.
My thoughts go out to Liz’s family.

Please find below the full report figures for the month of February: [Read more →]

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