Saturday, April 07, 2012

Trend following performance - Q1 2012

One of the many trend following sites I keep track of is Automated Trading System which amongst other things keeps a track of a number of different trend following models on a basket of futures contracts, including equities, interest rates, commodities etc. The performance of these systems is updated on a month-by-month basis. As you can see, all the trend following models tracked are currently showing a negative performance both for March and for the year to date, reflecting the non-trending nature of the markets that I have spoken about over the last few weeks.

This just proves the notion that, despite differing entry and exit parameters being used, along with to a degree differing expected timeframes for trades, trend followers as a group win together and lose together. At the end of the day, if the markets do not trend, then trend followers won't make money.

This has been reflected in the performance of my own standard system so far this year. Going forward, I will be utilising more my shorter term and longer term systems (which I have used VERY sparingly so far), the details of which are held in the members area, in an attempt to avoid this 'middle ground' and give me some diversification.

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