Systematic Trading research and development, with a flavour of Trend Following
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September State of Trend Following report

October 5th, 2010 · 5 Comments · the State of Trend Following, Trend Following

State of TF
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%.

Detailed Results

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:

System Sept. Rtn
BBO-20 3.67%
Donchian-20 8.26%
MA-10-20 7.33%
TMA-10-20-50 10.51%
BBO-50 12.45%
Donchian-50 11.38%
MA-20-50 14.92%
TMA-20-50-200 18.67%
BBO-200 7.52%
Donchian-200 5.08%
MA-50-200 10.54%
TMA-50-200-800 3.92%

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.

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, 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.

Result Normalization

The system performances are adjusted for volatility to normalize the results. See why and how here.

Related Posts with Thumbnails


5 Comments so far ↓

  • Jeremy

    I am new to the blog, great stuff. Are all of your systems run on daily charts, or do you have any systems running intra-day? Thanks.

  • Jez Liberty

    Thanks Jeremy and welcome to the blog!
    Systems are nearly exclusively off EOD data for now…

  • lperepol

    Nice! I like the comparisons. Good work Jez.

  • bobsyd

    Thanks Jez, interesting as always. Any reason you don’t show YTD return by system? Thanks.

  • Jez Liberty

    No real reason – I wanted to streamline the report a bit and not give data overload…
    And I think the index is more representative of Trend Following in general (which is the goal of the report).

    Anyway, here are the YTD stats (normalized and base 100 at start of year):
    BBO-20 136.28
    BBO-200 103.3
    BBO-50 110.93
    Donchian-20 147.23
    Donchian-200 104.2
    Donchian-50 90.52
    MA-10-20 109.98
    MA-20-50 76.8
    MA-50-200 106.81
    TMA-10-20-50 100.02
    TMA-20-50-200 93.3
    TMA-50-200-800 109.79

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