New high for the year for the Trend Following index with another strong monthly performance of 9.52% for September at the back of last month’s +8.08%.
The YTD performance now stands at +7.43%.
Notice also how the trends on the different timeframes seem to be aligned together this month, with most equity curves displaying some “graphical correlation”.
And in tabular format:
Good month pretty much all round.
2010, through the Composite Index
This is a game won in the long run, but it is nice to see this month with the index curve pointing up to come out from underwater and draw a new high for the year. Will it be the same for the Wizards? And is it the start of a new Trend Following-friendly period in the markets?
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.
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, CC, C, CD, CFC, CL2, CT, CU, YM, EBL, EBM, EBS, ED, EOX, ESM, FC, FEI, FFI, GC, HG, ICL, IND, IRB, JK2, JP2, JP6, JR2, JRB, JSK, JTI, JY, KC, KPO, KTB, KWR, LC, LGO, LH, MFX, MP, NG2, RA, RS, SB, S, SF, SI, STW, SXE, TRY, US, W, YTC.
Click here for a tabular view with description and exchange information.
The system performances are adjusted for volatility to normalize the results. See why and how here.