Trend Follower Performance Data

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blinkybill
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Trend Follower Performance Data

Post by blinkybill » Sun Nov 04, 2012 9:29 pm

Does anyone know of the best place (publicly avaliable) to look at the performance data of the various Trend Following hedge fund managers?

I am just trying to compare my recent performance experience with that of the "superstars". My impression would be that it has been a very lean time for Trend Followers....

Thanks in Advance.

LeviF
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Post by LeviF » Sun Nov 04, 2012 10:04 pm

The "Trend Following Wizards" posts here may be helpful.

http://www.automated-trading-system.com/

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Post by Chris67 » Mon Nov 05, 2012 2:47 am

I do my monthly index too - let me know via a PM if you'd like to be put on the distribution list - its an index of about 30 TF's going back 30 years compared to various other indexes

Performance for Oct is looking horrendous - plenty of double digit losses out there for TF's

Oh Boy

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Post by Toosday » Mon Nov 05, 2012 9:39 am

This is not comprehensive but it helps:

http://www.iasg.com/

I don't think it was only October. Last Friday, Nov 2, was a terrible day for anyone "risk-on" long.

Rob@everTrend
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Trend Index

Post by Rob@everTrend » Mon Nov 05, 2012 12:04 pm

This index from IASG is based on actual performance:
http://www.iasg.com/cta-indexes/index/t ... wing-index
It's a good overview of trend following performance by managed funds.

Robert Robbins
@RobeverTrend

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Post by blinkybill » Mon Nov 05, 2012 4:01 pm

Thank you very much. These are all very helpful!

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Re: Trend Index

Post by rajivm » Mon Nov 05, 2012 9:48 pm

Rob@everTrend wrote:This index from IASG is based on actual performance:
http://www.iasg.com/cta-indexes/index/t ... wing-index
It's a good overview of trend following performance by managed funds.

Robert Robbins
@RobeverTrend
Look at the performance of Discretionary Trader index vs systematic Trader index...O m g - What a huge difference..So Discretionary traders are way smarter than system traders :(

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Post by bobsyd » Tue Nov 06, 2012 5:12 am

Hmmm. Any ideas on how to understand this better - other studies, could there be hidden biases (eg. survivorship differences), definitional issues (eg how many in "discretionarly" index might actually be primarily systematic with slight "discretionary overlay"), LTTF proportion of systematic or trend following indices (eg consistent with other anecdotal evidence on tough times for LTTF but not necessarily shorter timeframe approaches).

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Post by AFJ Garner » Tue Nov 06, 2012 6:59 am

bobsyd wrote:Hmmm. Any ideas on how to understand this better - other studies, could there be hidden biases (eg. survivorship differences), definitional issues (eg how many in "discretionarly" index might actually be primarily systematic with slight "discretionary overlay"), LTTF proportion of systematic or trend following indices (eg consistent with other anecdotal evidence on tough times for LTTF but not necessarily shorter timeframe approaches).
You are entirely correct to view with great caution any index which you have not thoroughly studied. When I was writing my book I downloaded the definitions and manuals for the indices I was particularly interested in and studied them in great depth. In particular the MSCI indices and some of the commodity and bond indices. It was enormously educational. I am afraid I have not bothered to look at the methodology or historic composition of the IASG indices and without doing so I would not wish to draw any conclusions whatsoever. I very much doubt they have anything like the sophistication or depth of the major stock indices but it may be worth you making some inquiries to see whether they can add any clarification.

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Post by AFJ Garner » Tue Nov 06, 2012 7:54 am

I tell you another thing for free: unless you have a skill for discretionary trading, why bother fretting about it or the wretched index. Or indeed unless you intend to invest with other discretionary traders.

I can't see the point in fretting about something you can't see, grasp or back test.

There again however, what does "discretionary" mean? Can there really be people out there who trade successfully and for long periods of time on "gut instinct"? I suspect not. I suspect that successful "discretionary" traders are the very opposite of gun-slingers and are probably in some very important respects following a "system". Value investing, growth investing, supply /demand overview in commodities - the whole gamut of trading and investing is based upon some view, some discipline which is rigorously believed in and followed. It so happens that entry and exit points in TF are provided by mathematical formulae, often very simple ones. By contrast a value investor may buy a share because its PE ratio meets his criterion, or its discount to net asset value or whatever. There are many aspects of "fundamental" investing which can actually be described to a computer and back tested.

Then again think of some of the discussions on this forum about random entries and exits. Look at the code, run a few back tests. You may find that trading in the direction of the trend, cutting losses and letting profits run means that you could actually use "discretion" as to you entry points and it wouldn't matter a damn.

Again however, whatever the past performance shows, the real importance is to make a reasoned judgement about the FUTURE of trading and investment and to decide which method you believe/judge will continue to meet with success. In that respect the current market conditions are no different from the past: it has NEVER been possible to extrapolate past performance into the future with any degree of accuracy or comfortable certainty. If you are a mechanical systems trader and trend follower you have to ask yourself each and every day, month and year: “is this method of trading and investment still valid and if so does my system/method/portfolio etc need any amendment?â€

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Post by bobsyd » Tue Nov 06, 2012 3:27 pm

Thanks AFJ - as always you have insightful/practical/thought provoking comments.

Rajivm’s post and the IASG indices triggered thinking about my own asset allocation/diversification approaches. I can’t imagine doing “discretionary tradingâ€

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Post by sunyata » Tue Nov 06, 2012 7:42 pm

Per AFJ's comments, here is the strategy used by Rosetta Capital Management, one of the components of IASG's Discretionary Index:

"The Program offered by RCM utilizes a technical system of trading that focuses on short and medium term price data in search of repetitive patterns that reflect trending markets. This Program was developed by RCM's principals and associates using their extensive futures and related backgrounds. They employ computerized rules which, among other things, determine when to enter and exit designated markets and set the optimum position size for a participating customer's account. Integral to RCM's market decisions is a risk management system that evaluates market volatility and other factors to help set maximum loss parameters. Components of RCM's Trading Systems: RCM's trading systems is discretionary but relies on fundamentals with technical overlays. RCM utilizes a technical system, in connection with the Program, which relies on data intrinsic to the market such as price action, volatility, breadth and volume. For example, RCM focuses on absolute price movement in the short and medium term in its efforts to identify market trends. In its evaluation of data, RCM uses analytical tools such as oscillators, moving averages and support and resistance levels. As a trend-follower, RCM seeks to identify a directional price movement of a minimum length or longer and then takes a position to capture this movement. While an early identification of a trend allows for greater profits, it also incurs a greater possibility of identifying false signals that are often generated in sideways or choppy markets. For this reason, trend-followers typically enter the market after the trend has been clearly discerned and exit when the conclusion of the trend has been clearly established. With this problem in mind, RCM has equipped its system with proprietary filters to lessen the likelihood of such false signals. The Program utilizes a number of trading rules, many of which are applied via computer. However, its system is not fully automated and is not totally mechanical."

Sounds pretty systematic to me. Nonetheless, they describe themselves as "100% Discretionary."

These guys only trade grains, cows, and pigs and have done really well this decade.

http://www.iasg.com/groups/group/rosett ... g_snapshot

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Re: Trend Index

Post by Aaron01 » Wed Nov 07, 2012 2:04 am

rajivm wrote: Look at the performance of Discretionary Trader index vs systematic Trader index...O m g - What a huge difference..So Discretionary traders are way smarter than system traders :(
Or more like for the current sample period the discretionary traders have performed better.

Different dates, different outcomes. Trying infer that 2012's performance is indicative of things writ large is misguided at best.

Then again, maybe I shouldn't argue with you as you are the richest man in the world

Image

viewtopic.php?p=53256&highlight=#53256

100000(1+2.9555)^30 = 8.242171852140261e+23 ($824,217,185,214,023,982,388,265)

Which may look confusing when combined with some of your discretionary calls
rajivm wrote:silver below 20 dollars ---
Gold below 1000
viewtopic.php?p=52549&highlight=#52549

But that's just a couple of instances and hardly enough to draw solid conclusions. Perhaps your other calls were more prescient.

So I will give all deference to you o great market wizard. Bestow upon us your wisdom, for if we are worthy, may we glean some tidings from you...

:roll:

PS. Thanks for wiping out the combined global debt of all nations :roll:

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Re: Trend Index

Post by rajivm » Wed Nov 07, 2012 8:00 pm

Aaron01 wrote:
Then again, maybe I shouldn't argue with you as you are the richest man in the world


PS. Thanks for wiping out the combined global debt of all nations :roll:
seems like all those drawdowns are making someone very cranky :D
Obama has won and promised MORE OF SAME for next 4 years...I guess 4 more years of same for the systems too... :lol:

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Re: Trend Index

Post by AFJ Garner » Thu Nov 08, 2012 5:25 am

rajivm wrote: seems like all those drawdowns are making someone very cranky :D
Obama has won and promised MORE OF SAME for next 4 years...I guess 4 more years of same for the systems too... :lol:
Hardly surprising given this month's new max DDs. Chesapeake now at 35%, Estlander Alpha Trend 22%, Mulvaney 44%,Hyman Beck 32%, Quicksilver 32%..and doubtless more to follow. It is hardly comforting.

As for politics I am a self confessed and totally impractical utopian with a deep distaste for the Darwninian brutality of competition and modern business. I didn't start out that way in life but the passing years of study and thought have led me to a position where I rejoice in the election of an afro american president from a party that seeks the good of all rather than the comfort of the voracious and the tough. I am well aware that many will strongly disagree and that indeed further government spending is hardly likely to prove beneficial in the long term unless the hideous deficits can be brought under control. I guess I only view life these days in an impractical haze of ethical puzzlement and sad concern.

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Post by Toosday » Thu Nov 08, 2012 9:01 am

AFJ,

Given your track record on this forum, your opinion is not taken lightly but I feel like I must point out a contradiction. You use the terms brutal and Darwinistic to describe "modern" business. I think this assumes that business has not always been Darwinistic or brutal. Take the factory conditions of the industrial age, slavery, the US War of Independence as examples of businessmen using brutal tactics to effect their will. Today they do it with bureaucracy and political connections instead of enforcers with guns.

The irony is that you are an author of a fine book regarding and a speculator in a method whose primary premise is that human nature does not change.

I am not intending to debate, I just thought your comments were contradictory.

As far as my comments on the election. Obama is a great orator who has many good intentions. IMHO where he falls short is on the outcome. His outcomes do not line up with his intentions. Many will talk about the obstructions he has, however, I believe this is something effective people overcome. True leaders overcoming opposition has occurred with regularity throughout history . . .much like the brutality of business ;)

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Post by AFJ Garner » Thu Nov 08, 2012 12:59 pm

Quite right of course, I stand corrected and withdraw the inappropriate use of the word “modernâ€

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