Systematic Trading research and development, with a flavour of Trend Following
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Entries Tagged as 'report'

State of Trend Following in March

April 3rd, 2014 · No Comments · the State of Trend Following, Trend Following

  Negative result for the month of March. The index stays positive over the first three months of the year. Please check below for more details.

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Trend Following Wizards – February 2014

March 18th, 2014 · No Comments · Trend Following, Trend Following Wizards

A globally positive month of February for the Wizards. Not enough to make up for the bad start in January: the YTD performance stays in the red. February average return: +1.76% YTD return: -1.61% Full results below:

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State of Trend Following in February

March 3rd, 2014 · 2 Comments · the State of Trend Following, Trend Following

  The month of February was a tale of two halves: a fairly clear leg down, followed by an even stronger leg back up. This closed the month in positive territory – the second time in as many months this year. Additionally, some markets have been showing some strong moves (coffee being the one that […]

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Trend Following Wizards: Difficult start of the year

February 21st, 2014 · No Comments · 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 […]

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State of Trend Following in January

February 4th, 2014 · No Comments · the State of Trend Following, Trend Following

  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.

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AuTraSy vs Wisdom States of Trend Following

January 30th, 2014 · 4 Comments · 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 […]

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Trend Following Wizards – December 2013

January 20th, 2014 · 2 Comments · 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%, […]

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Trend Following Wizards

January 20th, 2014 · No Comments · 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 […]

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State of Trend Following in 2013

January 2nd, 2014 · No Comments · the State of Trend Following, Trend Following

  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 […]

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Trend Following Wizards – November

December 18th, 2013 · 1 Comment · 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 […]

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State of Trend Following in November

December 3rd, 2013 · No Comments · the State of Trend Following, Trend Following

  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.

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Trend Following Wizards – October ’13

November 18th, 2013 · No Comments · 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:

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State of Trend Following in October (UP at last)

November 4th, 2013 · 1 Comment · the State of Trend Following, Trend Following

  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.

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Trend Following Wizards – September 2013

October 18th, 2013 · 2 Comments · 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.

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State of Trend Following in September: Down (again)

October 3rd, 2013 · 4 Comments · the State of Trend Following, Trend Following

  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 […]

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Trend Following Wizards – August

September 19th, 2013 · 14 Comments · 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% […]

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Four-year Cycle and the Wisdom State of TF

September 5th, 2013 · 11 Comments · Blog, the State of Trend Following, Trend Following

  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 […]

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State of Trend Following in August

September 3rd, 2013 · 11 Comments · the State of Trend Following, Trend Following

  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.

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Trend Following Wizards – July 2013

August 26th, 2013 · 5 Comments · 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.

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State of Trend Following in July

August 2nd, 2013 · No Comments · the State of Trend Following, Trend Following

  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 […]

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