Au.Tra.Sy blog – Automated Trading System

 
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
Below is the [...]

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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, the system performances [...]

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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 [...]

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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 report has not been changed.
The same [...]

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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 is gradually [...]

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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 [...]

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