Top_Trend is a rule-based trend-following strategy that seeks to capture sustained market movements across multiple asset classes. Rather than predicting market turning points, the strategy follows established trends and adjusts exposure as trends evolve.
- Positions are taken in the direction of persistent market trends
- Exposure is reduced or closed as trends weaken or reverse
- All decisions are based on systematic, rule-driven signals
Top_Research represents the complete universe of rule-based trading strategies, which are systematically implemented within the GR_Strategies portfolios in both USD and EUR.
| Date | Top_Trend | DAX | SP500 |
|---|---|---|---|
| -0.02 % | -0.43 % | ||
| 3.04 % | -0.87 % | ||
| 3.24 % | 0.49 % | ||
| 81.59 % | 79.16 % | ||
| 20.07 % | 19.57 % | ||
| 1.42 | 1.34 |
How the strategy works
Top_Trend continuously
analyzes price behavior to determine whether markets are trending
upward, downward, or moving sideways. Positions are taken only when a
clear and persistent trend is identified.
Adjusting exposure
When trends are strong and
stable, the strategy maintains or increases exposure in the direction of
the trend. As trends weaken or reverse, positions are reduced or closed
systematically. This allows the strategy to stay aligned with prevailing
market direction while limiting exposure during uncertain phases.
Systematic and disciplined
Decisions are rule-based
and applied consistently across markets. The strategy does not rely on
forecasts, opinions, or discretionary judgment, but on predefined rules
that react to observable market behavior.
Objective
Top_Trend aims to participate in
prolonged market trends while avoiding extended exposure during
non-trending or highly erratic market conditions. The goal is to provide
diversification and resilience, particularly during periods when
traditional asset allocations struggle.
Performance table since start 2023 (USD):
| Top_Trend: 59.93 % |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | |||||||||||||
| 2024 | |||||||||||||
| 2025 | |||||||||||||
| 2026 |
Performance and Risk Metrics for Top_Trend
Performance Metrics
| Top_Trend | |
|---|---|
| Cumulative Return (%) | 59.93 |
| Ann. Return (%) | 15.48 |
| Ann. Sharpe Ratio | 0.99 |
| MAR Ratio | 1.00 |
Risk Metrics
| Top_Trend | |
|---|---|
| Ann. StdDev. (%) | 15.66 |
| SemiDeviation (%) | 0.76 |
| Max DrawDown (%) | 15.45 |
| Value-at-Risk (%) | -1.72 |
Daily Metrics
| daily metrics (%) | |
|---|---|
| Av. Return (%) | 0.06 |
| Best Day (%) | 4.70 |
| Worst Day (%) | -6.93 |
| Av. Up-Day (%) | 0.70 |
| Av. Down-Day (%) | -0.75 |
| Pct Up-Days (%) | 56.00 |
| Pct Down-Days (%) | 44.00 |
Monthly Metrics
| monthly metrics (%) | |
|---|---|
| Av. Return (%) | 1.36 |
| Best Month (%) | 12.74 |
| Worst Month (%) | -7.98 |
| Av. Up-Month (%) | 3.96 |
| Av. Down-Month (%) | -2.91 |
| Pct Up-Months (%) | 62.00 |
| Pct Down-Months (%) | 38.00 |
Drawdown Analysis of Top_Trend in Days
| From | To | Depth | Length |
|---|---|---|---|
| 2024-04-25 | 2025-01-22 | -15.45 % | 194 |
| 2025-01-31 | 2026-01-22 | -14.61 % | 254 |
| 2023-03-09 | 2023-04-13 | -10.62 % | 26 |
| 2023-07-31 | 2024-01-24 | -6.24 % | 128 |
| 2026-01-29 | In Progress | -4.36 % | 23 |
Open position Top_Trend as of today (USD 5.000.000)
| ticker | market | contracts | position | sector |
|---|---|---|---|---|
| BO2 | Soybean Oil-CBT(Floor Trading Only) | 24 | Long | commodity |
| CT_ | Cotton #2-NYCE | 28 | Short | commodity |
| CU_ | FX-Euro(Floor Trading Only)-CME | 20 | Long | currency |
| FLG | Gilt-Long(8.75-13yr)-EURONEXT(LIFFE) | 44 | Long | irate |
| FV_ | U.S. treasury 5 years-(ecbot) | 97 | Long | irate |
| GC2 | Gold-COMEX(Floor Trading Only | 3 | Long | commodity |
| HG2 | CopperHG-COMEX(MHG) | 43 | 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) | 58 | Short | commodity |
| SF_ | FX-Swiss Franc-CME(Floor Trading Only) | 14 | Long | currency |
| SXE | Index-DJ Euro STOXX x 10 ESTX50 | 26 | Long | index |
| YM_ | Dow Jones Industrial Index (CBT) x 10 MYM | 9 | Long | index |
Top_Trend vs Other Asset Classes since start | S&P 500
| GR_Trend | TLT | VNQ | UUP | EFA | DBC | GLD | DAX | SPY | |
|---|---|---|---|---|---|---|---|---|---|
| Annualized Return | 15.5% | 0.9% | 8.6% | 3.5% | 19.1% | 4.7% | 37.9% | 20.1% | 19.6% |
| Annualized Std Dev | 15.7% | 14.5% | 17.3% | 6.8% | 14.0% | 15.2% | 18.3% | 14.1% | 14.6% |
| Annualized Sharpe | 0.99 | 0.06 | 0.50 | 0.52 | 1.36 | 0.31 | 2.07 | 1.42 | 1.34 |
| Worst Drawdown | 15.5% | 22.4% | 21.8% | 10.1% | 14.1% | 13.8% | 13.9% | 16.0% | 18.9% |
Rolling Correlation of GR TrendFolling vs. DAX | S&P 500
| Top_Trend | DAX | SP500 | |
|---|---|---|---|
| Top_Trend | 1.000 | 0.056 | 0.091 |
| DAX | 0.056 | 1.000 | 0.550 |
| SP500 | 0.091 | 0.550 | 1.000 |
More analysis for Top_Trend
Rolling 12-Month Window for Return & Stdv & Sharpe Ratio
Risk Analysis for Top_Trend vs. DAX | S&P 500
Top_Trend Return versus Other Asset Classes
| GR_Trend | TLT | VNQ | UUP | EFA | DBC | GLD | SPY | DAX | |
|---|---|---|---|---|---|---|---|---|---|
| Annualized Return | 20.9% | 2.5% | 7.5% | 2.3% | 6.9% | 0.5% | 8.3% | 11.4% | 8.5% |
| Annualized Std Dev | 16.7% | 14.7% | 19.6% | 7.1% | 17.5% | 16.7% | 16.0% | 16.9% | 19.1% |
| Annualized Sharpe | 1.26 | 0.17 | 0.38 | 0.32 | 0.39 | 0.03 | 0.52 | 0.68 | 0.45 |
| Worst Drawdown | 17.6% | 48.4% | 42.4% | 14.2% | 34.2% | 66.1% | 45.6% | 33.9% | 38.8% |
Longterm Return Table for Top_Trend
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year | |
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My portfolio comprises:
- Top_Dual & Top_Target momentum and accumulation strategies, are focusing on harnessing and leveraging market trends for consistent and sustainable growth.
- Top_Switch, an Asset rotation strategy is dynamically reallocating capital across asset classes to optimize returns and mitigate risks.
- Top_Vola strategy, is tailored to capitalize on both sudden and sustained market fluctuations, enhancing risk - adjusted returns.
- Top_Rank, a systematic ranking strategy that continuously allocates capital to the strongest-performing assets, ensuring disciplined participation in prevailing market leadership.
- Top_Trend (=CTA) strategy, which forms the backbone of diversification with a 30 % allocation. This strategy excels in capturing trends and providing stability during market
- Additional advanced and highly specialized approaches, crafted to adapt seamlessly to complex and evolving market dynamics.
Together, these strategies create a robust and well - balanced portfolio framework. By blending simplicity with sophistication, the approach ensures adaptability, consistency, and long - term success, even in the face of unpredictable market conditions.
Uncorrelated Strategies
The cornerstone of success lies in the deliberate and precise integration of diverse, genuinely uncorrelated strategies, executed with unwavering discipline and emotional composure. My approach is devoid of the influence of greed or fear, guided instead by the principles of expertise and professionalism. Each decision is the product of meticulous analysis and a technically sound methodology, consciously avoiding impulsive or reactionary behavior. Furthermore, all decisions are grounded 100% in mathematical and statistical principles, ensuring objectivity and consistency. By consciously excluding any human influence, the process eliminates the risk of emotional bias or subjective judgment. This steadfast adherence to strategy allows me to navigate the complexities of the markets with confidence and consistency, maintaining an unyielding commitment to excellence.
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!