Au.Tra.Sy blog – Automated trading


 

July was another down month for the State of Trend Following, which broke through the double-digit level on the downside for the year.

Covering over 50 instruments across Equities, Interest Rates, Currencies, Agriculturals, Metals and Energies, from around the world, the portfolio contains the following futures (CSI Symbols): AD, BP, C, CC, CD, CFC, CL2, CT, CU, EBL, EBM, EBS, ED, EOX, ESM, FC, FEI, FFI, GC, HG, ICL, IND, JK2, JP2, JP6, JR2, JRB, JTI, JY, KC, KPO, KTB, LC, LGO, LH, MFX, MP, NG2, RA, RS, S, SB, SF, SI, STW, SXE, TRY, US, W, YM, YTC .

applied atr moving performance position rules sizes stops system trade

 

The Wizards are down for the month of June and down for the year at the halfway point, fairly uniformly, with only a couple show positive YTD performance.

The figures referenced in the performance table are not provided by Altis Partners and no reliance should be taken as to their accuracy, and as a consequence the figures may not be in accordance with any CFTC / NFA performance reporting requirements.

AHL commodity diversified figures global Man performance portfolio tracked trend

 

A nearly neutral month for the Trend Following Wizards, keeping the year slightly in the red.

He is considered as a “second-generation” Turtle.Program tracked: Diversified Program.

acquires AHL division gradually Man Subsequently systematic trading

 

Not many Wizards managed to return positive performance last month as can be seen in the array of red numbers below.

He is considered as a “second-generation” Turtle.Program tracked: Diversified Program.

acquires AHL equal gradually Man negative performance roughly Subsequently YTD

 

Another negative month for this (delayed) State of Trend Following report.

All the systems were tested with the same simple position sizing rules of 1% per new trade.

applied atr index month performing position sizes stops system understatement

 

The Trend Following Wizards had a positive February and reversed the losses from January last month, with the YTD figure very slightly in the black.

He is considered as a “second-generation” Turtle.Program tracked: Diversified Program.

acquires AHL division gradually Man Subsequently systematic trading

 

Negative start of the year for the Trend Following Wizards, with a few positive performance results but mostly all red.

He is considered as a “second-generation” Turtle.Program tracked: Diversified Program.

acquires AHL division gradually Man Subsequently systematic trading

 

Trend Following started the year with the same flavour as it ended 2016: down.

All the systems were tested with the same simple position sizing rules of 1% per new trade.

applied atr index negative performance position posted sizes stops system

 

The Trend Following Wizards closed the year with small gain for December (+0.17%) but with an overall negative performance (-2.42%).

He is considered as a “second-generation” Turtle.Program tracked: Diversified Program.

AHL digit dispersion double losses Man ranging results wide worse

 

With best wishes for your trading in the coming twelve months, which — I’m sure you’ll agree — will prove interesting from several perspectives.

All the systems were tested with the same simple position sizing rules of 1% per new trade.

applied atr index passed performance position sizes stops system trend

 

The Trend Following Wizards had mixed results last month.

He is considered as a “second-generation” Turtle.Program tracked: Diversified Program.

AHL downside Man more non returns scattered than upside usual

 

Not a great month again for trend following last month.

Not a pretty picture..

All the systems were tested with the same simple position sizing rules of 1% per new trade.

applied atr certain near negative position sizes stops system YTD

 

The Wizards were well in the red last month, and two months before the end of the year, the YTD performance is negative too.

He is considered as a “second-generation” Turtle.Program tracked: Diversified Program.

AHL experiment Howard investment Man Saxon Seidler Subsequently trading Turtle

 

The results from last month’s trend following index were only slightly negative, which is quite surprising as most of other indices were sharply down, including The Wisdom Trading State of Trend Following report, which I write as a version 2 of this report.

All the systems were tested with the same simple position sizing rules of 1% per new trade.

applied atr index performance position principles same sizes stops system

 

Apologies for the lateness of this report.

He is considered as a “second-generation” Turtle.Program tracked: Diversified Program.

AHL futures Man managed results september trading trend wisdom Wizards

 

Another down month for the State of Trend Following report, taking the year in the red a bit further for 2016.

All the systems were tested with the same simple position sizing rules of 1% per new trade.

/position sizes 5x atr applied atr management money position risk rules sizes stops system

 

A full set of negative returns for the Trend Following Wizards last month (with delays in reporting due to some funds reporting later than usual), and a strong negative performance.

He is considered as a “second-generation” Turtle.Program tracked: Diversified Program.

acquires AHL gradually Man mixed near neutral performance Subsequently tracked YTD

 

It is Fall in Summer!… The trend following index had a big move to the downside last month, taking the YTD performance to a negative level as well.

All the systems were tested with the same simple position sizing rules of 1% per new trade.

applied atr management money position risk rules sizes stops system

 

Mixed results for the Trend Following Wizards with a slight bias towards positive results.

He is considered as a “second-generation” Turtle.Program tracked: Diversified Program.

acquires AHL gradually Man performance positive Subsequently systematic trading YTD

 

June was a good month for the Trend Following Wizards, with all funds but one returning positive numbers, with a handful in double-digit territory, including a 27% return for the highest performance.

He is considered as a “second-generation” Turtle.Program tracked: Diversified Program.

acquires AHL division gradually Man Subsequently systematic takes trading YTD