The “winning streak” carries on and accelerates for the classic Trend Following strategies featured in this report.
The best monthly performance of the year – for the traditionally most-feared month for stock markets – has naturally taken the index to new high territories, closing the month at +27.68% YTD.
The performance for October alone is +18.98%.
Of course, the fact that Cotton, for example, which is currently trending in an accelerating (blow-off top?) fashion, was included in the portfolio did help most of the strategies (by 5 percentage points for the Donchian-50 system for example). But this should serve to illustrate the fact that having a large diversified portfolio is an excellent way to capture trends wherever they occur. This time it’s Cotton, next time it might be Crude Oil, who knows?…
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:
A slightly better “showing” from the intermediate-term systems, but fairly strong all round…
2010, through the Composite Index
The equity curve of the composite index is starting to look interesting, after a good few months languishing in low negative values:
Some might complain that this is not a smooth ride, but they just need to look at this equity curve for a reality check.
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.