Systematic Trading research and development, with a flavour of Trend Following
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State of Trend Following in 2011

January 3rd, 2012 · 1 Comment · the State of Trend Following, Trend Following

State of TF

Happy New Year to all readers of the blog! May 2012 bring you success and happiness in your trading (and other) endeavours.

Looking back at the year just past, performance was just “not there” for Trend Following in general in 2011. A minor gain in December for the State of Trend Following index did not manage to lift the index from the lows it was experiencing since October. Ultimately, the volatility experienced all year weighed down the index to push it in the red.

It was probably a case of good bet/losing year; and hopefully 2012 marks a return to rewarding the “good bets” we place in the markets.

Without further ado, please check below for more details.

Detailed Results

The figures for the month are:
December return: +0.68%
YTD return: -15.58%

Below is the chart displaying individual system results throughout December:
StateTF December
And in tabular format:

System December Return YTD Return
BBO-20 -0.67% -46.87%
Donchian-20 -7.17% -37.77%
MA-10-20 -6.43% -25.2%
TMA-10-20-50 -2.99% -26.43%
BBO-50 -7.23% -23.52%
Donchian-50 -0.99% -29.45%
MA-20-50 7.76% -16.54%
TMA-20-50-200 7.43% -9.1%
BBO-200 6.22% 13.66%
Donchian-200 3.88% -6.21%
MA-50-200 5.72% 10.45%
TMA-50-200-800 2.6% 10%
COMPOSITE 0.68% -15.58%


Composite Index for 2011

Below is the performance of the average of all system/timeframe combinations used in the report for the year 2011:

Volatile… And trending towards the negative side.

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.

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