I-System: probably the best trend following model ever built

This is not a hollow boast. While I-System has generated superb performance over the years, the key reason for this claim reflects a higher-order quality of the model: I-System has the potential to entirely transcend uncertainty and largely replace the human factor in asset management. To earn profits, investors must take and manage risk. In … Continue reading I-System: probably the best trend following model ever built

Are treasury futures signaling a trend reversal?

Over the past few trading sessions, I-System strategies have gradually reversed from long to short positions on treasury futures (long gilt, German bund, US 30-yr T-Bond), with the exception of the 10-year T-Note where our positioning remains net long. This could be a significant development if we are looking at the beginning of a major … Continue reading Are treasury futures signaling a trend reversal?

I-System and the 2020 oil price roller-coaster…

Oil price has had a wild ride this year, crashing nearly 80% from January through April. I-System strategies navigated the event remarkably well, capturing more than $42/bbl in profits. At the time, I summarized this in my article, “With I-System through the storm… with flying colors!” But trend following does less well during trend reversals … Continue reading I-System and the 2020 oil price roller-coaster…

With I-System through the storm… with flying colors!

Recent weeks brought severe price shocks in many markets. Their timing and severity took most participants by surprise. In these circumstances, I-System strategies performed superbly well. As this post shows, a few strategies sustained negative results, but this is to be expected. This is why, rather than formulating a trading strategy, we built a stable … Continue reading With I-System through the storm… with flying colors!

How we knew yields would collapse?

While most market experts completely failed to predict this year’s [2019] collapse in interest rates (see the chart below), we traded the event profitably. In this article I summarize the the hows and the whys of our performance with I-System strategies. How did we know to short US T-Notes starting in Q4 2017, then reverse … Continue reading How we knew yields would collapse?