andrew@totemasset.com
www.totemasset.com
www.40in2out.com
Here is Some simple R code to go and fetch the latest returns from the SocGen Trend Indicator.
http://www.newedge.com/en/newedge-indices/ (Old website)
https://cib.societegenerale.com/en/sg-prime-services-indices/ (SocGen rebranded website)
The SG Trend Indicator is a market based performance indicator designed to have a high correlation to the returns of trend following strategies.
Bloomberg: NEIXTRND Index
Further reading: https://cib.societegenerale.com/fileadmin/indices_feeds/Two_Benchmarks_for_Momentum_Trading.pdf
# Simple R Code to fetch the latest SocGen Trend Indicator values
# by Andrew Strasman, Totem Asset Group
# andrew@totemasset.com
# free to use at your own risk!
# packages that may or may not be used (but you should have on hand)
library(Quandl)
library(dplyr)
# load the dataset
db <- read.csv("https://cib.societegenerale.com/fileadmin/indices_feeds/Trend_Indicator_Historical.xls", sep = "\t", header=FALSE)
# for kicks the SG CTA Index is here:
# https://cib.societegenerale.com/fileadmin/indices_feeds/CTA_Historical.xls
# and the new CTA Mutual Fund Index (launched 2016) is here:
# https://cib.societegenerale.com/fileadmin/indices_feeds/CTAM_Historical.xls
# drop the unnecessary last column
db <- subset(db, select = -c(V6))
# round the values to 4 decimal places
db[2] <- round(db[2], 0)
db[3] <- round(db[3], 4)
db[4] <- round(db[4], 4)
db[5] <- round(db[5], 4)
# rename the columns to something useful
names(db)[names(db)=="V1"] <- "tdate"
names(db)[names(db)=="V2"] <- "vami"
names(db)[names(db)=="V3"] <- "day"
names(db)[names(db)=="V4"] <- "mtd"
names(db)[names(db)=="V5"] <- "ytd"
# sort with convenient 'newest on top' format
db <- arrange(db, desc(tdate))
# view the dataset
head(db)## tdate vami day mtd ytd
## 1 2016/03/29 2230 0.0125 -0.0428 0.0048
## 2 2016/03/28 2202 -0.0005 NA NA
## 3 2016/03/25 2203 -0.0001 NA NA
## 4 2016/03/24 2204 -0.0013 NA NA
## 5 2016/03/23 2206 0.0020 NA NA
## 6 2016/03/22 2202 -0.0012 NA NA