Welcome to my online repository of research and insights on automated trading system development
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:
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:
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).
I appreciate this blog very much, and have for some time. Thank you for the continuing monthly updates.
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?
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)