ATS Program Performance– October 2019 – Apparently Nothing!!

Well now that October is over…time for the report. Some Programs went up and some Programs went down….and all together as a comprehensive diversified portfolio solution….not much happened at all. But while this may not be of interest to a general investor….you need to dig a bit deeper into this ‘nothingness’.

So here are the monthly results for the Aggressive Program that comprises 21 separate sub portfolios and  171 discreet Price Following systems, all designed to ‘cut losses short and let profits run’.

Let’s have a look at this table as it currently stands.

Quite a few red months including October and quite a few green months. That is pretty standard with respect to the long term track record of the trend following community.

But now let’s look at this table a slightly different way. In this example let’s assume we highlight those cells where the monthly result is greater than or less than than twice the average monthly result of the table which is approximately $1000. So 2 x the average monthly result of say +/- $2,000 gets highlighted in either Yellow for a +$2000 plus result or Purple for a -$2,000 result. This will reveal something in this general nothingness.

So now you can see lots of yellow months….but guess what?….there are no purple months to be seen. What was nothingness is all revealed.

You can see the central design of all our Programs showing through. They all cut losses short and let profits run….and sometimes….just sometimes we catch the huge outlier which positively skews overall long term results. Like the following beauties highlighted in Yellow again.

So there you have it. October was a pretty ‘nothing result’, but the nothingness was actually a something. Our systems all held up well in a pretty difficult month for the trend following community….and we avoided any purple months of death……so the story for this month was actually something. A story relating to a central feature of trend following programs. The moral of the tale is that the systems need to be robust and preserve capital during difficult months.

So for October we passed with flying colours.

Individual Market Contributions for the Month

All of the good coming from ATS 1008 GBPAUD H4 was pretty well offset by all the bad from ATS1009 XAUUSD H4. So you win some and then you lose some.

Combo Program (Portfolios) Performance for the Month

So overall for the Combo Programs……..apparently nothing again or a slight overall negative result which now that we know a bit more about the what we are seeking to achieve…… actually turns into a deeper something after all…..phew.

Trade well and prosper

The ATS mob


Before we go, the following is important and relates to our Program monthly reports which should not be compared to the regular monthly report we prepare for the long standing CTA’s.….Just because we undertake monthly reports on the CTA segment does not mean we are one. As much as we would like to stretch the bow we need to define what we are.

  1. We are not a Fund Manager. We are researchers, programmers and educators seeking to assist retail traders in expanding their horizons and learning the techniques of the professional Fund Managers. While we do track small nominal live accounts, we do this to validate our test results against live trading activities and also provide a degree of validity to interested members that we are prepared to back our theory with real results. We do personally trade the Programs we promote on our website…..but as we are not soliciting performance fees from our members nor are we providing signal services to our members…our private affairs can be kept just that…private. We need members to understand that a decision to trade any recommendation made on our website must be validated by each member themselves. We supply the robust methods and advice to upskill the capabilities of members to do this…but our primary aim as educators is to ensure that our members are equipped to take on the responsibility themselves.
  2. Our Programs are based on backtest results which we have clearly explained should not be used as a basis to project into the future. It is simply a means to evaluate whether your systems have been able to successfully navigate trending market conditions of the past, and even more importantly assess the degree to which your systems have been able to preserve capital and deal with unfavourable market conditions of the past.
  3. Yes our Programs (in particular our Portfolios) have fantastic looking backtests…..whoopee do…but that is simply a fact of the past. In fact if you don’t have a great looking backtest at the portfolio level, then that is a sure sign that you haven’t applied a sufficiently rigorous process to arrive at your result. There is still no guarantee however with a great looking backtest as it is so easy today with optimisation techniques and data mining to generate really swanky backtest results. The reason they look so good for us is that they are very diversified in terms of their individual system contributions. Each return stream has a very long out of sample horizon applied to it to eliminate any chance of curve fitting, and furthermore they have been mapped to the market condition to ensure that the individual return stream makes logical sense in terms of its performance against market conditions.  If you delve into each individual return stream of the composite, you will see a very different story. Volatility is naturally embedded in all our individual return streams. There is no risk warehousing going on and each system has strong positive skew. The reality is this, it is impossible at the single system level to have a nice linearly ascending equity curve for trend followers. You have no control over when the market trends or not… so do not expect an individual system to  deliver continuous growth…if it does….then welcome to curve fitting. Drawdowns are a natural symptom that occur when markets don’t trend….so expect them and learn to embrace them. Be worried if you don’t have them. Now while we can talk about this at the individual system level, it is the portfolios responsibility to address this volatility at a global level. This is where the degree of system diversification that we deploy delivers those great backtest results.
  4. We are not strongly diversified across asset classes but we are highly diversified across trend following systems and timeframes. Unfortunately as retail traders who do not have significant available capital for allocation across asset classes, our options are far more restricted in terms of  what we can diversify into. You will be told by every FM and their dog that the benefits of diversification cannot be delivered to the retail trader who does not have sufficient capital to allocate widely….however we are specifically here to tell you that in fact it is possible. Given that microlots have become available in the FX and CFD space….this opens up this world to opportunity. In fact our offering here at ATS is to teach retail traders how to engage the practices and principles of the professional FM’s, but apply it to the FX and CFD space. We just need to focus on achieving diversification through different methods that are not widely known or understood by many traditional FM’s. We do this through system design principles.,,,and then many would say….that FX doesn’t trend or FX is too correlated….so how are you achieving this level of diversification? That’s when we say….become a member and find out.
  5. We should use FM performance results as a method to gauge realistic expectations but never assume that we can compete with them. Remember this…..the CTA performance results that we track on a monthly basis comes from the best FM’s in the world with a stellar long term track record. The results from our Programs may be correlated to a degree, but do not enter this game with expectations that you will outperform them in the long term.  Let’s reserve any judgement about the future and see how we go. Who knows…..we may be more modest than we appear. ?
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