CTA strategy signals

CTA Strategy Signals, April 2017

CTA Strategy Signals

The major news that had a clear impact on the markets and opportunities for our CTA strategy signals was the outcome of the first round for the French presidential election. Business-friendly and pro-European Emmanuel Macro became the clear frontrunner as he looks poised to become France’s next president. This outcome has resulted in a measured reduction in the perceived risk in European assets, as investors now focus on the potential economic growth from the region as the political risk is allowed to subside. These risks however are not completely discounted by the markets as a shift in support towards the far-right party of Marine Le Pen could dampen investor confidence with concerns over support for the anti-Euro block stance.

The CTA strategy signals trading the currency markets were again challenged to find sustained price trending patterns throughout the month. As in the previous month shifts in trading patterns meant that the support and resistance price bands narrowed over time with break-outs following the release of market data, and a short-lived follow through. Markets typically retracted as prolonged trends were somewhat limited, benefiting the short-term trading strategies seeking pre-determined take profit levels. Trend strategies seeking a clear directional market bias were provide sufficient information to execute strategies, however profit was limited by the lack of market conviction to capture a new trend.

Trading the diversified markets provides CTA strategy signals greater depth and breadth due to the number of possible tradable markets. This increase market opportunity however did not translate effectively into profit seeking possibilities, as the gains experienced in a lift in risk sentiment for the equity markets were offset by softer market views when trading commodities. The shifting market sentiment from month-start to month-end experienced due to political factors challenged trend seeking strategies which had views reversed depending on the strength or momentum behind the market risk. Market volatility is present supporting the development of CTA strategy signals but narrowing trading bands limits trending opportunities.

CTA Trading Strategies

CTA Strategy Portfolio Inception Annual MTD YTD
fxST(Lev1) Overlay Strategy JAN-1999 5.42% 0.45% 1.48%
fxST(3x) Directional Strategy JAN-1999 16.26% 1.35% 4.47%
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.