Diversified Trend Trading Approach

And Mr. Clenow suggests such authors to read:



Some ideas for mean reversion strats can be in this book:

https://www.amazon.com/Algorithmic-T...0529299&sr=1-1

"Using an excellent selection of mean reversion and momentum strategies, Ernie explains the rationale behind each one, shows how to test it, how to improve it, and discusses implementation issues. His book is a careful, detailed exposition of the scientific method applied to strategy development. For serious retail traders, I know of no other book that provides this range of examples and level of detail. His discussions of how regime changes affect strategies, and of risk management, are invaluable bonuses."
—Roger Hunter, Mathematician and Algorithmic Trader

You are a legend R. A great find. I am just listening to it now. This is where we should be focusing our attention R. Trading strategies....pffffttt. A dime a dozen. Sound portfolio management....well it really is a no brainer isn't it :-)

Curtis was left to hang out in the dry by the other Turtle traders. There was a bit of disharmony amongst the tribe. Whenever his name is mentioned.....there is a deafening silence. Not sure what the issue was about. Perhaps they didn't like him publicly releasing the strategy.

Thanks for the Ernie Chan ref. I have the book but must admit...haven't made the effort to dig deep into it yet. I have got to get out of my comfort zone again as I am getting a bit lazy. :-)

Integrating EDTT into the Monthly Performance Reporting for Diversified Systematic Trend Followers

Going forward in this thread I thought it might be a good time to start integrating the performance results of the EDTT into the monthly performance tracking of the CTA's.

We need to remember the following:
1. The EDTT is discretionary and not fully systematic like the majority of the CTA's I monitor on a monthly basis;
2. We only have backtest results that commence from 1 Jan 2010 whereas our monthly performance report of the CTA's commences 1 Jan 2000;
3. The CTA's report their results on Net profits after fees such as management fees, performance fees, administration fees (comprising audit, investor relations and custody fees).

I will continue to report on the monthly results of the CTA's post 1 Jan 2000 but as an additional regular reporting feature of this thread I will integrate the results of the EDTT backtest into the analytics with the following criterion to ensure we are comparing apples with apples:
1. Performance reporting will commence from 1 Jan 2010 for all FM's and the EDTT;
2. We will report results of the EDTT net of fees based on Net Asset value (NAV) with the following applied assumptions:

1. 1.5% of NAV PA Management Fee;
2. 15% of NAV performance fee (on high water mark);
3. 0.5%of NAV for fund administration

The reason for this additional reporting piece is that we will now be able to:

1. compare the performance of the EDTT directly against the professional fund management offerings of diversified trend following;
2. we can assess which of the professional funds have similar performance metrics to the EDTT;
3. we will be able to differentiate between performance results that apply to the entire trend following space versus those performance results that are unique to the EDTT; and last but not least;
4. we will be able to better assess the impacts of the choice of investment universe against the alternatives and also be in a position to test variants of the EDTT (such as watchlist rotational variants which has been discussed recently in the last few posts);
5. we will be able to see how the EDTT stacks up against it's competition. My gut tells me that it will perform very well....but now we will be able to quantify just how well.

Stay tuned as I have some work to do getting the reporting model up to speed.

Cheers

C

Dear C,

Yes. I understand all now.

Thanks very much.

Best Regards

Integrating EDTT into the Monthly Performance Reporting for Diversified Systematic Trend Followers

.....continued from post 2464.....

It's done. We now have the performance results of EDTT in Gross terms and also Net terms (after traditional fund management expenses) and can directly compare the results against the long term performers of the diversified trend following space......and it is with much euphoria that I can now categorically say that we are onto a very solid performer.

First let's look at raw CAGR over the period 1 Jan 2010 to 31 October 2017.



Salient features are as follows:
1. The EDTT Gross produced a CAGR of 28.34% which tops the list (almost double that of the S&P500TR Index);
2. The EDTT net of fees came in second with a CAGR of 28.12%
3. The 3rd spot goes to a simple buy and hold strategy in the S&P500. The S&P500 TR Index has produced a very handsome CAGR of 14.24% over the 7.7 year period;
4. The balance of the long term diversified Trend Following Funds underperformed the S&P500TR index demonstrating the tough market conditions that has been faced by trend following in general post 1 Jan 2010.

Great so far....now let's look at Maximum Drawdowns.



The EDTT Gross and EDTT Net compare favorable against the mix offering very respectable low drawdowns over the period of only 10.71% and 10.77% respectively.

Now to the MAR ratio (CAGR/Max Draw)....my favorite performance metric.....drum roll please.



The EDTT Gross and EDTT Net have blown the competition away offering a MAR ratio of 2.65 and 2.61. This result is over 2x better than the next closest performer. What this demonstrates is the efficiency of this momentum strategy and the tight control this strategy places on risk management.

Now onto the scatter plots.



The EDTT is in a class of it's own. Note where it lies in the scatter plot above in terms of CAGR and Max Drawdown. This is a fantastic result. Also note the very limited impact on overall performance associated with the drag resulting from fund management fees.

.....and now the equity curves.





Clearly the EDTT outstrips the competition in terms of both raw performance and risk-weighted performance. Note also how the EDTT is un-correlated with the S&P500TR Index at 0.01 and has a relatively low correlation with the Trend Following Index (TF Index) of 0.25. This clearly demonstrates that this little powerhouse is in a class of it's own.

We can't get too cocky however as we have not tested the EDTT over extremely volatile markets such as 2008....however having an understanding of how the strategy operates makes you realise that the EDTT would shine during these volatile periods.

Now that's something to bring a smile to the dial.

PS ...and something more to make that smile even broader. Have a close look at the results below. Whatchya Reckon?



Cheers

C

Typical sumo avoided on GU by a hair:

That was close. :-)

Now the easy thing.... find people with total of 100m USD... and set up fund in Cyprus for 40-45k EUR...

Yep. It has got me thinking that way. :-)

EUR AUD is about to move?

Is copper going somewhere?

That has some grunt behind it. Are you on it?

Nope, my pending orders are still higher:

Cheers guys....I will be away and out of reception till next week. Stay safe and have a great week. :-)

C

will be missing you....

That's why pending orders, unless one is watching screens at the open....

Vodafone:
Is this a bird or a sumo? We will see...

Always a good sight. Something starts happening after a dead week.

Sumo or bird?

Again something happened in Norway...

I hope it is not sumo flight.

Dax is playing pretty well with momentum strategy...