GR_TrendFollowing
Real - time results since January 2023
Daily updates | USD | by: Georg Reiter| Date | GR_Trendfollowing | DAX | SP500 |
|---|---|---|---|
| -0.07 % | -0.29 % | ||
| 1.22 % | 1.74 % | ||
| 22.35 % | 9.66 % | ||
| 74.95 % | 67.99 % |
Unlike most traditional strategies that are inherently short volatility and depend on rising stock prices for returns, TrendFollowing excels during market downturns. It provides genuine diversification by capitalizing on sustained market trends—both upward and downward—mitigating risk when traditional strategies falter and correlation patterns shift unexpectedly.
The TrendFollowing strategy makes up 30 % of GR_Strategies, a diversified multi - strategy approach built on uncorrelated investment strategies.
GR_TrendFollowing analysis since start
Performance table since start 2023 (USD):
| GR_TrendFollowing: 38.32 % |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | |||||||||||||
| 2024 | |||||||||||||
| 2025 |
Performance and Risk Metrics for GR_TrendFollowing
Performance Metrics
| GR_Trendfollowing | |
|---|---|
| Cumulative Return (%) | 38.32 |
| Ann. Return (%) | 12.72 |
| Ann. Sharpe Ratio | 0.81 |
| MAR Ratio | 0.82 |
Risk Metrics
| GR_Trendfollowing | |
|---|---|
| Ann. StdDev. (%) | 15.71 |
| SemiDeviation (%) | 0.76 |
| Max DrawDown (%) | 15.45 |
| Value-at-Risk (%) | -1.74 |
Daily Metrics
| daily metrics (%) | |
|---|---|
| Av. Return (%) | 0.05 |
| Best Day (%) | 4.70 |
| Worst Day (%) | -6.93 |
| Av. Up-Day (%) | 0.69 |
| Av. Down-Day (%) | -0.74 |
| Pct Up-Days (%) | 55.00 |
| Pct Down-Days (%) | 44.00 |
Monthly Metrics
| monthly metrics (%) | |
|---|---|
| Av. Return (%) | 1.14 |
| Best Month (%) | 12.74 |
| Worst Month (%) | -7.98 |
| Av. Up-Month (%) | 4.17 |
| Av. Down-Month (%) | -3.05 |
| Pct Up-Months (%) | 58.00 |
| Pct Down-Months (%) | 42.00 |
Drawdown Analysis in Days
| From | To | Depth | Length |
|---|---|---|---|
| 2024-04-25 | 2025-01-22 | -15.45 % | 194 |
| 2025-01-31 | In Progress | -14.61 % | 142 |
| 2023-03-09 | 2023-04-13 | -10.62 % | 26 |
| 2023-07-31 | 2024-01-24 | -6.24 % | 128 |
| 2023-06-16 | 2023-06-30 | -3.60 % | 11 |
Open position as of today (USD 5.000.000)
| ticker | market | contracts | position | sector |
|---|---|---|---|---|
| BL2 | Wheat Miling MATIF EURONEXT | 104 | Short | commodity |
| BO2 | Soybean Oil-CBT(Floor Trading Only) | 19 | Long | commodity |
| CT_ | Cotton #2-NYCE | 30 | Short | commodity |
| CU_ | FX-Euro(Floor Trading Only)-CME | 16 | Long | currency |
| DX_ | Index-U.S. Dollar-FINEX | 19 | Short | currency |
| GC2 | Gold-COMEX(Floor Trading Only) | 7 | Long | commodity |
| NQ_ | Nasdaq 100 Index x 10 MNQ | 4 | Long | index |
| PA2 | Palladium-NYMEX (Floor Trading Only) | 2 | Long | commodity |
| SB_ | Sugar #11World-CSCE (Floor Trading Only) | 53 | Short | commodity |
| SXE | Index-DJ Euro STOXX x 10 ESTX50 | 27 | Long | index |
GR TrendFollowing vs Other Asset Classes since start | S&P 500
| GR_Trend | TLT | VNQ | UUP | EFA | DBC | GLD | DAX | SPY | |
|---|---|---|---|---|---|---|---|---|---|
| Annualized Return | 12.7% | -1.5% | 7.1% | 3.3% | 16.7% | -0.9% | 24.5% | 22.9% | 22.7% |
| Annualized Std Dev | 15.7% | 15.5% | 18.1% | 7.0% | 14.5% | 15.0% | 15.1% | 14.5% | 15.6% |
| Annualized Sharpe | 0.81 | -0.10 | 0.39 | 0.48 | 1.15 | -0.06 | 1.62 | 1.58 | 1.46 |
| Worst Drawdown | 15.5% | 22.4% | 21.8% | 10.1% | 14.1% | 13.8% | 11.3% | 16.0% | 18.8% |
Rolling Correlation of GR TrendFolling vs. DAX | S&P 500
| GR_Trendfollowing | DAX | SP500 | |
|---|---|---|---|
| GR_Trendfollowing | 1.000 | 0.050 | 0.080 |
| DAX | 0.050 | 1.000 | 0.551 |
| SP500 | 0.080 | 0.551 | 1.000 |
More analysis for GR_TrendFollowing
Rolling 12-Month Window for Return & Stdv & Sharpe Ratio
Risk Analysis for GR TrendFollowing vs. DAX | S&P 500
GR TrendFollowing Return versus Other Asset Classes
Extended analysis dating back to 2011
| GR_Trend | TLT | VNQ | UUP | EFA | DBC | GLD | SPY | DAX | |
|---|---|---|---|---|---|---|---|---|---|
| Annualized Return | 20.6% | 2.1% | 7.2% | 2.2% | 6.1% | -0.7% | 5.4% | 13.3% | 8.7% |
| Annualized Std Dev | 16.7% | 14.9% | 19.8% | 7.1% | 17.7% | 16.7% | 15.3% | 17.0% | 19.4% |
| Annualized Sharpe | 1.23 | 0.14 | 0.36 | 0.31 | 0.34 | -0.04 | 0.35 | 0.79 | 0.45 |
| Worst Drawdown | 17.6% | 48.4% | 42.4% | 14.2% | 34.2% | 66.1% | 45.6% | 33.7% | 38.8% |
Longterm Return Table for GR_TrendFollowing
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2011 | |||||||||||||
| 2012 | |||||||||||||
| 2013 | |||||||||||||
| 2014 | |||||||||||||
| 2015 | |||||||||||||
| 2016 | |||||||||||||
| 2017 | |||||||||||||
| 2018 | |||||||||||||
| 2019 | |||||||||||||
| 2020 | |||||||||||||
| 2021 | |||||||||||||
| 2022 | |||||||||||||
| 2023 | |||||||||||||
| 2024 | |||||||||||||
| 2025 |
Some more information
Why CTA again?
Many investment strategies are inherently short volatility, relying heavily on rising stock prices to generate returns. However, their limitations become evident during market downturns, when the absence of meaningful diversification and unexpected correlation shifts expose vulnerabilities. In contrast, FrendFollowing strategies like GR_TrendFollowing, exemplified by Commodity Trading Advisors (CTAs), offer essential and authentic diversification within my portfolio—especially during periods of market instability. By capitalizing on sustained market trends, whether upward or downward, CTAs provide stability and adaptability when it matters most, proving their value during heightened market turbulence. The real-time results since January 2023 underscore the effectiveness and resilience of this approach.
Trading
The elegance of these strategies lies in their straightforward yet effective design. Each morning, data is carefully downloaded, and within 15 minutes, calculations ensure that theoretical models align seamlessly with practical execution. By evening, new orders are automatically dispatched to the exchange, just before the market closes. This approach is not a feat of magic, but rather a testament to disciplined craftsmanship. It guarantees that execution timing remains uninfluenced — an essential factor in maintaining the robustness and reliability of the strategy.
Data Used
Back-testing is often dismissed as mere theory or abstract mathematics. However, I recognize that the performance up to December 2022 reflects a combination of real - time trading outcomes and newly implemented systems. While historical achievements provide valuable insights, I find little satisfaction in endlessly revisiting past successes. My focus is clear and uncompromising — cutting through bureaucracy to channel my energy toward the present and future, where true progress is made.
Dedication
In collaboration with my dear friend and developer, Helmuth Vollmeier, in a fit of genius or maybe just sheer madness, we decided to hit the reset button on everything in 2022. It was like a software update for our lives — new and improved. Unfortunately, the joy of our new start was short - lived as Helmuth passed away suddenly in February 2023, leaving me deeply saddened. Despite facing phases of doubt and questioning the meaning of it all, I returned to my desk, immersing myself in learning once again, now without my dear friend Helmuth by my side! I dedicate this work to Helmuth Vollmeier, one of my best friends, my intellectual partner, my daily communicator, and companion!
Link to GR_Strategies in EUR and USD, which form the backbone of
diversification.