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

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

State of TF
 

2013 is starting well for trend following: another positive month for the index, which posted a 2% gain with a bit more volatility during the month of February.

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

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Trend Following Wizards – beginning of 2013

February 28th, 2013 · Trend Following, Trend Following Wizards

Apologies for the later-than-usual timing of this report. A busy schedule with lot of traveling and other projects have forced me to delay this until now.

Here it is, and we can see that the Wizards are having a good start of the year with mostly positive performance. A nice change from 2012 – for now.

Note that I did a little bit of cleaning to the list, by removing John W. Henry. I replaced their entry with ISAM. Of several managers that have been kindly suggested as potential additions to this list, I picked what seems the most obvious choice. It seems quite fitting to have Larry Hite (and Stanley Fink) as part of the Trend Following Wizards.

Please see the full results below. [Read more →]

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Good start of the year for Trend Following

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

State of TF

The year 2012 needed just one more month to close in the black…

January was a strong month for the State to Trend Following report. Last month’s return takes us back above last year’s starting level. The index posted a performance of +6.27%, and you can see on the chart further below that it was enough to recoup the losses from 2012. It’s way too early to give a verdict as to whether this is the beginning of a new period or just more zags following even more zigs towards the way down. After all trend following has done a lot of this in the most recent past.

Some analysts were calling for a rebound and the start of a strong phase after a “typical” period of “is trend following dead?” making the rounds. Let’s wait and see if this performance at the beginning of 2013 is an auspicious sign…

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

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Trend Following Wizards – Close of 2012

January 16th, 2013 · Trend Following, Trend Following Wizards

To avoid a negative 2012 year, it would have taken the trend following Wizards a “December home-run” (or rather – from the cricket equivalent – “hitting for six“; quite litteraly as six is amount of percentage points by which the virtual index is in the red).

Instead the performance for the last month of the year was only slightly positive and only a few funds are posting gains for 2012.

This confirms one and for all that, for trend following, 2012 was “not the greatest year” (an understatement for many). Both this report and the state of Trend Following posted negative results and one of the heavyweights in the industry that is John W Henry shut his fund in October. Note that I have left some numbers for JWH (as of the last reporting date) to include them in the end-of-year performance number. I’ll drop them for 2013, along with some potential update in that list (again).

Let 2013 be more successful!
Please see the full figures/results below:
[Read more →]

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State of Trend Following in December

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

State of TF
 
The year 2012 ended more or less as it started: down. Forget the intra-year peaks at +15%, these were all erased in the closing months of the year. A big up-and-down.
Happy New Year to all readers! Hopefully 2013 will bring better times for trend following…

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

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Trend Following Wizards – November 2012

December 17th, 2012 · Trend Following, Trend Following Wizards

Mixed results for the penultimate month of the year with a slight bias to the downside (-0.61%). The index now stands at -6.64% YTD. It would take a very strong December to get the performance back in the black for 2012.

Note that I have not updated the list components, still showing JWH as N/A. Will probably tidy the list up (again) for the new year..

Full figures below…

[Read more →]

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State of Trend Following in November

December 3rd, 2012 · the State of Trend Following, Trend Following

State of TF
 

The downwards slide keeps going, with the index being now near the lowest levels of the year at nearly -5%. Only Two and a half months ago, the index was hitting +15%…

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

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Trend Following Wizards – October

November 19th, 2012 · Trend Following, Trend Following Wizards

Red October

Most of you probably heard about John W. Henry exiting the CTA business by now (articles from wsj and futures mag). It was unlikely triggered by JWH October’s performance (the road to the demise has been quite longer than this: AUM had shrunk by 95% to $100M since 2006) but looking at the report for all other wizards, there sure was little reassurance there.

Rumours and noises about trend following being dead are even resurfacing, and this October report (although one anecdotal point in history) is no exception to this “trend” of negativity. It will be interesting to see if/when there is light at the end of the tunnel. But the walls have been painted bright red for October.

The full detailed results (excluding JWH) are below. They are all negative for the month with an average of -5.21% and nearly all of them in the same position year-to-date (average YTD: -6.07%). [Read more →]

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State of Trend Following in October

November 2nd, 2012 · the State of Trend Following, Trend Following

State of TF
 

Not the worst month of the year… but not far for the trend following strategies in this month’s report. The direct result is the index closing in the red for the year for the first time since May.

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

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Trend Following Wizards – September 2012

October 17th, 2012 · Trend Following, Trend Following Wizards

Please find below the full details for the trend following wizards performance in September. Overall, a similar month to the previous one: on the negative side (a bit worse).
Most managers are in the red with an average return of -2.88%  -2.83%, taking the YTD figure back in the red too (-1.85%  -1.62%).

[Read more →]

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Managed Futures: still the Better Diversifier?

October 7th, 2012 · Equities, Futures, Trend Following

StdDev vs MF+HF  Rollinger

A decade ago, Cass Business School Professor Harry M. Kat wrote a paper entitled Managed Futures and Hedge Funds: A Match Made in Heaven. In the paper Kat studied the impact of adding managed futures to traditional bond/stock portfolio allocations.
In comparison to hedge funds, Kat found that:

Apart from their lower expected returns, managed futures appear to be more effective diversifiers than hedge funds.

This is obviously an interesting paper but it starts to date; and blog reader Tom Rollinger from Sunrise Capital had the good idea to update the numbers in his paper entitled Revisiting Kat’s Managed Futures and Hedge Funds: A Match Made in Heaven.

Quite a lot has happened since 2002. In the markets in general and the alternative investment space in particular. So checking how Kat’s findings have held up was an obviously interesting follow-up. A sort of “out-of-sample” testing. [Read more →]

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State of Trend Following in September

October 2nd, 2012 · the State of Trend Following, Trend Following

State of TF
 
The more extreme and diverging readings from the middle of last month (from the different strategies/timeframes tracked) have “reverted to the mean” and converged to close September more uniformly and went on to post small losses for the month, while still keeping the YTD performance of this State of trend following report positive.

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

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Trend Following Wizards – August

September 17th, 2012 · Trend Following, Trend Following Wizards

Please find below the full details for the trend following wizards performance in August. Overall, a negative month with most in the red and an average return of -1.68%.

[Read more →]

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State of Trend Following in August: Summer lull

September 3rd, 2012 · the State of Trend Following, Trend Following

State of TF
 

Not too much to report this month.

It seems that the Trend Following strategies used in this report have taken a “bit of a breather” in August. The composite index stayed mostly flat during the whole month with all strategies showing less volatility than in the last few months

At least, the YTD performance still stands in positive territory so far.

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

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Trend Following Wizards – July 2012

August 16th, 2012 · Trend Following, Trend Following Wizards

Nice start to the second half of the year…
A left column full of black: a strong July for Trend Following Wizards who post a collective performance over 5% last month to get back in positive territory year-to-date.

See full results below:
[Read more →]

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State of Trend Following: July rebound

August 3rd, 2012 · the State of Trend Following, Trend Following

State of TF
 

The yo-yo is definitely back! May, June, July have started a new “trend” of a seesawing equity curve for the index – with relatively strong moves. This July rebound means that the index is now back in the “fairly comfortable” positive territory, although it will be interesting to see what August has got in store – especially since the equity curve seems to show signs of turning back down at the end of last month.

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

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Trend Following Wizards – June ’12

July 18th, 2012 · Trend Following, Trend Following Wizards

As expected (from the June state of trend following report), June proved to be a bad month for Trend Following Wizards. Check the left column of the table below: all red except for Saxon Investment who posted a 0% monthly performance as they seem to have triggered another high volatility “trading pause” (as they did last year when they side-stepped the markets for a few months).

This strong down month also leaves the Wizards in the red at the half-way point in 2012 with YTP performance slightly under -2%.
Please check full results below:
[Read more →]

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