Thanks, but this is just another article repeating the same opinion with no supporting evidence. My trading is based on testing and data, and in some cases my results were very contrary to popular opinion, so I am very suspect of unsubstantiated opinion. An any case the answer is not relevant to my trading so not something I have tested for myself, and in a quick search on Google I don't find anything relevant.
Hi, I just read an article about CTA trend following calibration suggestoins. In the article a cross over moving average with 20 50 and 200 days was suggested. http://www.content4reprint.com/fina...o-find-global-macro-trading-opportunities.htm It seems logical to catch trends or momentum with this approach. However, I cannot possibly see how this approach can succeed in highly volatile markets where extreme trading days destroy the performance. The CTA based on the above numbers would just react too late. What are youre experiences? Thanks a again for any information sugoi1981
I dug out the Barclay Systematic CTA index from Bloomberg, they are still under water YTD. 3/10 8088.85 | 3/09 8228.04 | 3/08 7739.91 2/10 7960.35 | 2/09 8402.12 | 2/08 7830.78 1/10 7965.93 | 1/09 8424.47 | 1/08 7358.10 | | 12/09 8179.57 | 12/08 H8466.00 | 12/07 7164.64 11/09 8372.44 | 11/08 8329.02 | 11/07 7091.55 10/09 8149.55 | 10/08 8161.14 | 10/07 7027.07 | | 9/09 8271.10 | 9/08 7805.00 | 9/07 6860.75 8/09 8198.07 | 8/08 7674.07 | 8/07 6565.19 7/09 8138.43 | 7/08 7674.90 | 7/07 6706.77 | | 6/09 8170.82 | 6/08 7950.13 | 6/07 6784.36 5/09 8286.21 | 5/08 7773.77 | 5/07 6665.90 4/09 8113.76 | 4/08 7672.79 | 4/07 6571.72 | | The index data are monthly though. Any more thoughts?
These data are old. The largest trendfollowing CTA, a London-based firm, is up ~1% in May, ~7% YTD as of May mid-month. Similarly the other brand-name firms.
And also have a look at CS's managed futures index -- +4.03% ytd as of April. It's probably the most carefully constructed index in the industry. http://www.hedgeindex.com/hedgeindex/en/default.aspx?cy=USD
Thanks a lot for the pointers. Look great. However the managed futures may include discretionary trades, not systematic momentum/trend-following trades, right?
You are certainly right about the time frames. One question to think about may be, how long term are your charts? There has been a lot of trending going on the past couple of years. An example of a shitty year for trend traders would be 2005, the Year of Whipsawing.