CTA Strategy Performances, July 2016
Positioning of Trend I (FX-only) Strategy
Following a relatively active period in June with the market impact of the Brexit vote, four currency crosses (GBPUSD, EURJPY, AUDUSD and USDTRY) were neutral during July waiting for entry signals. Of the seven remaining crosses only EURUSD continued a position which was held open since the previous month, and a EURGBP trade was initiated in the first week of July. Therefore the portfolio was inactive with only two open positions during the first half of the month. These were also the only two open EUR positions and they both contributed a slight positive to the month result.
A weakening in JPY against the majors resulted in two buy signals, one in USDJPY and the other in AUDJPY generating the majority of the portfolio’s profit for the month. However, a sell GBPJPY signal which was executed over the same period would have eroded some of the performance if not for a short USDCHF executed at the end of the month offsetting the negative impact. Together with a EURGBP and USDCAD trade, the USDCHF position is one of three trades that remained open past the end of month cut-off realizing a modest profit for the portfolio.
Positioning of Trend II (Diversified) Strategy
During the month of July, five of the markets which comprise of the twenty strong portfolio remained neutral. Surprisingly all three of the European bourses did not trigger any trade entry signals, instead the US and Asian bourses all contributed to the month’s positive result. Interest rate markets were only represented by German Bunds benefiting from a long position held since June, as US-T Bills were not traded in July. From the precious metals sector Silver was the strongest performer across all markets, and with no trading in Natural Gas a mid-month open position in US Oil was the contribution from the energy sector. Soft commodities were all represented in the portfolio as each market remarkably contributed positive results to the portfolio return.
A third of the portfolio was exposed since the previous month, and by mid-month around two thirds of all markets covered had active positions on. The only opened trade was executed towards the end of the month was in Cocoa, that remained open past the month-end cut off along with six other markets. This includes the three US bourses, Hang Seng, US Oil and Soya Bean.
CTA Trading Strategies
|Trend I (FX-only)||Trend Following||JAN-2010||11.45%||1.26%||-1.25%|
|Trend II (Diversified)||Trend Following||JAN-2013||20.39%||-0.31%||4.85%|
|FX Core||Multi Strategy||JAN-2010||19.45%||2.01%||0.78%|
|FX-DM Systematic||Systematic Trading||OCT-2014||53.17%||1.12%||3.10%|
|Intraday Trend - FX||Systematic Trading||MAR-2015||50.14%||4.87%||9.73%|
Note: Results of the Capricorn CTA Strategy Signals are calculated as of Friday 31st April, 2017
A comparative analysis can be made against the Newedge CTA Index as the performance benchmark.
Disclaimers and Risk Disclosures
Commodity Trading involves substantial risk of loss and is not suitable for all investors. Any CTA strategy performances 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 investors.
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 strategy.
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.