After the rather dramatic May-June move to the downside, the State of TF index is registering a small uptick for July. A Summer respite amongst the chaos in the financial markets that the US debt latest development seems to have created. One thing for sure is that this all strongly reinforces the point of systematic trading (and trend following) and its advantages. How can you trade markets like this another way? Psychologically speaking it must be nerve-wrecking…
Back to the report and its numbers, the July performance was positive at 8.44% with the index still registering a loss (of nearly 17%) in 2011, now standing at 83.04 – from 100 at the beginning of the year.
Please find below the detailed results for the strategies included in the report (strategy details can be found at the end of the post) for July:
The chart shows that the positive performance mostly comes from the last few days of the month
And in tabular format, showing the normalized returns for each strategy and the composite index, as well as the YTD figures:
|System||July Return||YTD Return|
Composite Index for 2011
Below is the performance of the average of all system/timeframe combinations used in the report for the year 2011:
After registering a new bottom for the year, the index seems to be making its way back up. Only time will tell whether the worst is behind us for 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.
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.