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

May 7th, 2013 · 3 Comments · the State of Trend Following, Trend Following

State of TF
 
Slightly negative performance in April for the state of trend following report. The overall YTD return is still nicely in the black though
Please check below for more details.

Detailed Results

The figures for the month are:
April return: -1.29%
YTD return: +8.72%

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

System April Return YTD Return
BBO-20 -6.05% 11.66%
Donchian-20 -9.34% 2.49%
MA-10-20 -4.82% 1.44%
TMA-10-20-50 1.03% 8.18%
BBO-50 -1.87% 9.35%
Donchian-50 -1.9% 7.39%
MA-20-50 -1.91% 6%
TMA-20-50-200 2.13% 14.25%
BBO-200 -0.5% 2.67%
Donchian-200 -0.42% 6.55%
MA-50-200 6.13% 24.76%
TMA-50-200-800 2.04% 9.96%
COMPOSITE -1.29% 8.72%

 

Composite Index for 2013

Below is the performance of the average of all system/timeframe combinations used in the report for the year 2013:
 
StateTF YTD

Plateauing a bit after a good start to the year.

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. The normalization applied “baselines” the Max drawdown of the systems to a common value, and derive the resulting performance for each system.

A table showing each system performance numbers from 1990 to 2009 can be found on this page. Two extra columns have been added to show the “normalized return” and the multiplier coefficient to obtain this return (the multiplier coefficient is itself calculated by dividing an arbitrary Max Drawdown figure of 25% by the actual system Max DD).

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3 Comments so far ↓

  • John Purdin

    I appreciate this blog very much, and have for some time. Thank you for the continuing monthly updates.

  • brian

    For Donchian-20 system how many days are used for the ATR stop calc for the default system. I understand the Blox program allows this to be modified, but for the system results that you report, what number of days are being used?

  • Jez Liberty

    Brian, the value for the ATR for the Donchian-20 is 39 days (which is equivalent to 20 days when using other formulas n vs. 2n – 1)

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