The headline figure for November (-3.66%) does not sound as dramatic as what happened during November for Trend Following. After a quick spike upwards at the beginning of the month, following the best month of the year so far, a sharp reversal took place taking all systems into the red (and most stayed in the red until the end of the month).
Once again, it seems that most of the systems/timeframes/instruments moved in concert last month.
This still leaves the composite index at +22.92% for 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):
And in tabular format, showing the normalized returns for each strategy and the composite index:
2010, through the Composite Index
Below is the composite index’s performance through 2010:
As you can see above, November saw the index go from over +55% to nearly +15% in a short amount of time. Pretty sharp (and global) reversal. A more sophisticated approach with Money/Risk Management would have probably helped “soften the blow” (but this is not the goal of this index/report).
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.