I-System trend following vs. unforeseen market events

One of the frequently voiced misgivings about systematic trading strategies usually goes like this: “yes, but your model can’t know if tomorrow XYZ happens and market prices go haywire…” The immediate aftermath of U.S. elections saw fairly volatile market reactions particularly in equities and treasuries. Both had previously turned slightly bearish but on November 4, … Continue reading I-System trend following vs. unforeseen market events

CTAs and the treasuries reversal: time to pay attention?

One thing I have learned over time is the best thing to do is let market price action guide your decision-making and then try to understand the fundamentals as they become more evident and comprehensible."Paul Tudor Jones, "The Great Monetary Inflation" - May, 2020 Institutions like Nomura, JPMorgan, Rabobank and others watch CTA hedge funds' … Continue reading CTAs and the treasuries reversal: time to pay attention?

How Stan Druckenmiller missed market top by an hour and lost half his fund

For indeed, the investor’s chief problem – and even his worst enemy – is likely to be himself.Benjamin Graham This is a rather spectacular story. It is 20 years old but it is as relevant today as it ever was for it sheds light on one of the key problems in investment speculation: human psychology. … Continue reading How Stan Druckenmiller missed market top by an hour and lost half his fund

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…

Market trends are the most potent driver of long-term investment performance

In my April report I suggested that effective trend following required discipline and a good deal of patience. In this report we discuss the strategy’s proper objective, which leads compellingly to the conclusion articulated in this article's title. We are after outsized, long-term windfalls Many individual traders obsess over short term gains or even day … Continue reading Market trends are the most potent driver of long-term investment performance

Trend following is the only valid answer to the problem of uncertainty

The most fundamental determining fact in connection with organization is the meeting of uncertainty. The responsible decisions in organized economic life are price decisions; others can be reduced to routineFrank Knight, "Risk, Uncertainty and Profit" Over the years I’d written many articles suggesting that price forecasting based on market fundamentals is a waste of time … Continue reading Trend following is the only valid answer to the problem of uncertainty

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?