August – What a volatile month! Instead of the more usual quiet Summer market lull, markets got really nervous.
And this also shows in the results of the State of Trend Following – albeit with a positive outcome, completely opposite to “traditional investments”.
Let’s cut to the chase with this month’s results:
August return: +13.46%
YTD return: -6.71%
Despite a strong month, the report is still in the red for the year. Below are the more details results:
There is some very strong volatility from several systems – I will probably run a check on leverage levels at the end of the year to readjust them if needed (although the goal with this index is not to derive an absolute figure but rather get a feel for the general direction and relative volatility of a diversified trend following strategy).
And in tabular format, showing the normalized returns for each strategy and the composite index, as well as the YTD figures:
|System||August Return||YTD Return|
Composite Index for 2011
Still under-water, but a nice bounce from the lows experienced in July.
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.