Andrew Abraham

andy-0101 My name in Andrew Abraham. I have been investing in commodities and managed futures since 1994. I adhere to the philosophy of trend following. Trend following stresses a disciplined approach to commodity/ futures trading. Successful trend following and commodity futures investing requires patience, discipline and actively managing the risk. What sets me apart from other traders is that I am not only concerned about the return on investment but how much risk I will have to tolerate to achieve my goals.

Contact Details

If you are interested in contacting for speaking engagements. Please email me at Andrabr9@gmail.com or call 954 903 0638.

Books Worth Reading

Sponsored Listings

Risk Warning

Futures and commodity trading involve substantial risk. The evaluations of futures and commodities may fluctuate and as a result, clients may lose more than their original investment. In no event should the content of this website be construed as an express or an implied promise, guarantee or implication by, that you will profit, or that losses can or will be limited in any manner whatsoever. Past results are no indication of future performance. Information provided on this website is intended solely for informative purposes and is obtained from sources believed to be reliable. Information is in no way guaranteed. No guarantee of any kind is implied or possible, where projections of future conditions are attempted.

infolinks

Links

Trend Following CTA abraham investment management
Binary Options
Learn Forex Trading Online
Get a grip on forex trading with this free online course.
Tax Software

AUGUST 2016: TREND FOLLOWING DOWN -7.32%, YTD: -7.95%

It never gets easy trend following. There are lumpy returns. You have to go through tough times. The last couple years have been the toughest…Maybe all the low interest rates …whatever..who knows.

For trend following stocks, completely different story…very successful!!

I received this email and thought to share…

AUGUST 2016: TREND FOLLOWING DOWN -7.32%, YTD: -7.95%

August was mostly one-sided, sliding down to a strong negative performance, and taking with it the Year-To-Date performance to a similar level. Interesting to note the shorter timeframes weighing on the index while the longer timeframes are still positive/neutral on a 12-month horizon (we do offer trading systems with long-term timeframes).

Note the drawdown level as well, getting a little bit closer to the Max Drawdown (since the start date of the index in Jan-2000). These occasions have historically proven a good time to start investing in a trend following strategy. It will be interesting to monitor the evolution of the index over the last few months.

Despite this recent performance, the index is still well positive (+35%) since launch in live monitoring in 2013, which interestingly was at similar levels of drawdown. The performance since the start of the backtest in 2000 is still well in positive territory at +1,279% (total return), or +16.53% (Compound Annual Growth Rate).

Below is the full State of Trend Following report as of last month.
Performance is hypothetical. Chart for August:

Wisdom State of Trend Following – August 2016

And the 12-month chart:

Wisdom State of Trend Following 12 months – August 2016

HORIZON RETURN ANN. VOL.
Last month -7.32% 10.31%
Year To Date -7.95% 15.74%
Last 12 months -8.47% 16.23%
Last calendar year (2015) 7.57% 16.88%
Since Index Launch (08-13) 34.47% 14.58%
Current DD -20.55%
MaxDD (since 2000) -31.94%
Individual System Contribution

The index is composed of several systems, each traded over different time horizons (short, medium and long) with a diversified portfolio of futures.

We can measure the contribution of each system variation by charting the evolution of their respective performance attribution over the last month:

System Attribution August 2016

And further below, the performance attribution of each system over the last 12 months, sorted by ranking.

System Attribution-12 months August 2016

SYSTEM 12-MONTH LAST MONTH
BBB-S -1.87% -0.43%
BBB-M -0.39% -0.77%
BBB-L 0.24% -0.47%
DMA-S -1.67% -0.83%
DMA-M -1.13% -1.07%
DMA-L 0.21% -0.44%
DON-S -1.09% -0.22%
DON-M -0.59% -0.55%
DON-L -0.01% -0.36%
TMA-S -1.75% -1.17%
TMA-M -0.42% -0.81%
TMA-L 0.02% -0.2%
Index -8.47% -7.32%
Methodology

The index performance is simulated using Trading Blox and CSI data (back-adjusted contracts rolling on Open Interest). The performance of the index is directly derived from the performance of a Trading Blox simulation suite composed of each system component as a system part of that suite.

The simulation uses realistic trading friction parameters (slippage, commissions, interest as detailed aside).

The portfolio used in the simulation is a sample of the 300+ global markets accessible to Wisdom Trading clients. The portfolio selected for the index represents a diversified mix of over 40 global futures balanced across all sectors (check the exact portfolio here).

Please check the post on the blog (and subscribe if you haven’t yet) to check details on simulation assumptions (slippage, commissions) and more info on the systems used and their parameters.

Disclaimers

Material Assumptions

The test is set-up with an arbitrary starting capital of 1B, starting in 2000. As the test is intended to represent an hypothetical index, no liquidity/volume constraints are enforced, making the results less dependent on actual simulation capital.
Profits are compounded (assumed to be reinvested).
The purchase or sale price for each trade that generated the hypothetical results is based either on 1) open price, the day after the Buy or Sell signal for the Moving Average-based systems or 2) stop level set by the relevant indicator for the Bollinger or Donchian systems. The actual simulated fill price is obtained by calculating a slippage factor, which is added to (or subtracted from) the theoretical entry price. For a long entry, the slippage factor is calculated by measuring the range from the theoretical entry price to the day’s highest price, and multiplying that amount by the Slippage Percent. (For short entries, the slippage factor is calculated by measuring the range from the theoretical entry price to the low). The slippage factor is then added to, or subtracted from the theoretical entry price, to obtain the simulated fill price.

Risk Disclosures

Commodity Trading involves high risks and you can lose a significant amount of money. Commodity trading is not suitable for many investors. Any performance results listed in all marketing materials represents simulated computer results over past historical data, and not the results of an actual account. All opinions expressed anywhere on this website are only opinions of the author. The information contained here was gathered from sources deemed reliable, however, no claim is made as to its accuracy or content. Different testing platforms can produce slightly different results. Our systems are only recommended for well capitalized and experienced futures traders.

CFTC-required risk disclosure for hypothetical results:

Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.


Be Sociable, Share!
Add This! Blinkbits Blinklist Blogmarks BlogMemes BlueDot BlogLines co.mments Connotea del.icio.us de.lirio.us Digg Diigo DZone Facebook FeedMeLinks Folkd.com Fleck Furl Google Google Reader icio.de IndianPad Leonaut LinkaGoGo Linkarena Linkter Magnolia Mister Wong MyShare Ask.com MyStuff Ask.com Yahoo! MyWeb Netscape Netvouz Newsgator Newsvine Oneview.de RawSugar reddit Rojo Segnalo Shadows Simpy SlashDot Smarking Sphere Spurl Startaid StumbleUpon TailRank Technorati ThisNext yigg.de Webnews.de ReadMe.ru Dobavi.com Dao.bg Lubimi.com Ping.bg Pipe.bg Svejo.net Web-bg.com Plugin by Dichev.com

Leave a Reply

 

 

 

You can use these HTML tags

<a href="" title=""> <abbr title=""> <acronym title=""> <b> <blockquote cite=""> <cite> <code> <del datetime=""> <em> <i> <q cite=""> <s> <strike> <strong>