Firstly, I would like to wish a Happy New Year to all readers. May 2011 bring you desired success on the trading front – as well as in life in general.
I would also like to take this opportunity to thank you all: silent readers, subscribers, commenters, or readers that I have had the chance to meet in person.
2010 was my first full year of blogging and it has been a very rewarding and interesting one. Blogging is a 2-way street and it would not happen without you. Thanks – and I hope you enjoy the ride in 2011!
The Report Results
The results for December have been quite astonishing and ensured that Trend Following ended 2010 with a bang. The return of the composite Trend Following index tracked by this report was 25.78% for December, which allowed to mark a new high and finish the year at +54.08%.
Please find below the detailed results for the strategies included in the report (strategy details can be found at the end of the post):
And in tabular format, showing the normalized returns for each strategy and the composite index:
Another fairly “correlated” month between all systems, but still showing results ranging from 11% to 36%.
2010, through the Composite Index
Below is the composite index’s performance for the whole of 2010:
The sharp drop seen in November has quickly been reversed. December only had one direction and it was up, with the composite index managing to overshoot the previous +50% high reached in November.
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, 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.
The system performances are adjusted for volatility to normalize the results. See why and how here.