Systematic Trading research and development, with a flavour of Trend Following
Au.Tra.Sy blog – Automated trading System header image 2

State of Trend Following: February still on the up

March 2nd, 2011 · 3 Comments · the State of Trend Following, Trend Following

State of TF
The good period from the second half of 2010 (link to Dec-2010 report) seems to extend to the beginning of 2011, with the index now being up by over 30% since July 2010. February saw another good performance for the strategies tracked in this report, with an average return of +4.86%.

The 2011 performance now stands at +8.19% YTD.

Detailed Results

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:

System February Return YTD Return
BBO-20 0.32% -1.26%
Donchian-20 1.43% -6.75%
MA-10-20 -3.57% 1.12%
TMA-10-20-50 2.57% 9.97%
BBO-50 -0.43% 7.62%
Donchian-50 -2.28% 3.95%
MA-20-50 1.69% 12.13%
TMA-20-50-200 9.86% 12.02%
BBO-200 13.77% 20.82%
Donchian-200 9.05% 15.14%
MA-50-200 14.58% 15.2%
TMA-50-200-800 11.32% 8.36%
COMPOSITE 4.86% 8.19%


Composite Index for 2011

The composite index tracks the average equity curves for all system/timeframe combinations used in the report. Here is how it now looks like since the beginning of 2011:

The quick dip at the start of the year was quickly reversed, with the index registering a year-high of nearly +15% before giving some back, to finish the year at over +8%.

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. See why and how here.

Related Posts with Thumbnails


3 Comments so far ↓

  • Paul

    Hi Jez,

    I came across your automated trading system blog yesterday and would like to say that the information published is brilliant. A very good source of trading information. Thank you.


  • hopewell

    Hi Jez:

    Is it easy for you to add YTD return next to each system in tabular format as well? Not easy to clearly see YTD# for each system in the chart. As usual, your blog is fantastic!

  • Jez Liberty

    hopewell – thanks.
    Good suggestion actually. I have added this to the template and the post above.

Leave a Comment