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Michael,
Between Trend Following, Trend Commandments, and The Complete TurtleTrader, you made something uncomfortably clear to me: as a wealth management advisor at [name], I’ve spent years helping clients play a game that was never designed for the kind of returns systematic trend following has demonstrated across a century of market history. That realization didn’t just change how I think about markets — it changed what I’m building.
I now run a rules-based trend following program in live validation across 41 diversified futures markets — equity indices, fixed income, currencies, energies, metals, agriculture, softs, and livestock.
The architecture sits between classic Donchian breakout and the more filtered approaches of second-generation CTAs. Entries require a defined consolidation range to break, then directional confirmation before a position opens. Risk is sized at 1% of equity per trade via ATR, with graduated drawdown circuit breakers scaling exposure down as equity declines and a hard halt at 35%. Sector concentration caps and a forced MAE exit at 2% of NAV complete the framework.
Backtested on Norgate continuous contract data, 2007–2024:
CAGR: 10.95%
Sharpe: 1.12
Calmar: 2.28
Max Drawdown: -4.79%
Win Rate: 46% / Avg W/L: 6.45xThe one question I’d value your perspective on — having spoken with virtually every major trend following manager alive — is this: does this profile reflect a genuine edge, or does it look like a backtest that got fortunate on the 2008–2022 macro regime?
I’m not asking you to review code or strategy specifics. I’m asking whether this structure passes the pattern recognition of someone who has seen what real trend-following looks like over time — and what separates the managers who survive the hard years from those who don’t.
I’m an aspiring fund manager building this for institutional deployment, in a corner of the industry where people who look like me are rare. That context shapes why the rigor matters as much to me as the returns.
I’d welcome even a brief reply.
Respectfully,
[name]
Thanks for the nice words. Your results show a very small drawdown?
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