Last month, the State of TF index was showing a bit of divergence compared to the Trend Following Wizards on a YTD basis (+10% vs. flat). Not sure if is “gravity pull” at play… but the index for the State of Trend Following report just posted a strong down month. Let’s wait and see how this compares to the Wizards when the results are posted later this month.
Please check below for more details.
Detailed Results
The figures for the month are:
July return: -4.89%
YTD return: 4.95%
Below is the chart displaying individual system results throughout July:
And in tabular format:
| System | July Return | YTD Return |
|---|---|---|
| BBO-20 | -7.38% | 11.9% |
| Donchian-20 | -7.23% | 0.06% |
| MA-10-20 | -5.69% | 1.5% |
| TMA-10-20-50 | -9.03% | 4.64% |
| BBO-50 | -7.03% | 3.29% |
| Donchian-50 | -8.62% | -3.16% |
| MA-20-50 | -11.21% | -4.21% |
| TMA-20-50-200 | -4.71% | 7.19% |
| BBO-200 | -2.11% | 0.19% |
| Donchian-200 | -0.21% | 8.1% |
| MA-50-200 | 2.39% | 22.44% |
| TMA-50-200-800 | 2.18% | 7.43% |
| COMPOSITE | -4.89% | 4.95% |
Composite Index for 2013
Below is the performance of the average of all system/timeframe combinations used in the report for the year 2013:
Not looking so great after the last few months, but still up on the year overall…
Appendix: System Details
System Rules and Parameters
All the systems were tested with the same simple position sizing rules of 1% per new trade. No other Money/Risk Management rules were used. No trade friction (slippage or commission) was applied. No return on margin is added to the system performance
The system rules are detailed on the Trading Blox online documentation.
The MA Crossover system was used with moving average pairs of 10-20, 20-50 and 50-200 days. The stops/position sizes are set at 2x, 3x and 5x ATR respectively.
The Bollinger Band system is the classic use of the Bollinger Bands with entries taking place at Breakouts. The parameters used were 20, 50 and 200 days with 2 standard deviations.
The Triple moving Average system was used with moving average triplets of 10-20-50, 20-50-200 and 50-200-800 days. The stops/position sizes are set at 2x, 3x and 5x ATR respectively.
The Donchian System is a simple version (with no Trade Direction filter) with channel lengths of 20, 50 and 200 days for entries (and 10, 25, 100 for exit). The stops/position sizes are set at 2x, 3x and 5x ATR respectively.
Portfolio Instruments
Covering over 50 instruments across Equities, Interest Rates, Currencies, Agriculturals, Metals and Energies, from around the world, the portfolio contains the following futures (CSI Symbols): AD, BP, C, CC, CD, CFC, CL2, CT, CU, EBL, EBM, EBS, ED, EOX, ESM, FC, FEI, FFI, GC, HG, ICL, IND, JK2, JP2, JP6, JR2, JRB, JTI, JY, KC, KPO, KTB, LC, LGO, LH, MFX, MP, NG2, RA, RS, S, SB, SF, SI, STW, SXE, TRY, US, W, YM, YTC .
Click here for a tabular view with description and exchange information.
Result Normalization
The system performances are adjusted for volatility to normalize the results. The normalization applied “baselines” the Max drawdown of the systems to a common value, and derive the resulting performance for each system.
A table showing each system performance numbers from 1990 to 2009 can be found on this page. Two extra columns have been added to show the “normalized return” and the multiplier coefficient to obtain this return (the multiplier coefficient is itself calculated by dividing an arbitrary Max Drawdown figure of 25% by the actual system Max DD).
Au.Tra.Sy blog – Automated trading System
State of Trend Following in July is a post from: The Forex Trading System Blog
