Systematic Trading research and development, with a flavour of Trend Following
Au.Tra.Sy blog – Automated trading System header image 2

the State of Trend Following in July

August 2nd, 2010 · 4 Comments · the State of Trend Following, Trend Following

State of TF
The “Summer break” has not been very clement with Trend Following for this month of July 2010. The composite index of the 12 “control” Trend Following systems that I check in this report shows a performance of -4.3%, with a few systems posting losses around the 15% mark.

Report Changes

As discussed last month, the system performances are still adjusted for volatility to normalize the results.

The portfolio has been subject to a few amendments, mostly a cleansing operation to remove/update irrelevant instruments (eg. not trading any more, no/very low volume). The updated list can be found at the end of the post with system details. These changes did not impact past results much.

Results for July 2010

Below is the chart of each strategy over the month of July 2010, with the composite average of all systems:


And the results in tabular format:

System July Return
BBO-20 +9.72%
Donchian-20 +3.94%
MA-10-20 +4.65%
TMA-10-20-50 -8.95%
BBO-50 +2.62%
Donchian-50 +0.34%
MA-20-50 -17.27%
TMA-20-50-200 -14.17%
BBO-200 -8.88%
Donchian-200 -5.43%
MA-50-200 -12.39%
TMA-50-200-800 -5.79%


A bit of a better performance from the short-end side of systems but not so from the medium/long-term end of the scale.

2010, through the Composite Index

Below is how the composite index looks so far for 2010 (no rebalancing in the index):


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 slippage was considered and a $15 RT commission 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, CC, C, CD, CFC, CL2, CT, CU, YM, EBL, EBM, EBS, ED, EOX, ESM, FC, FEI, FFI, GC, HG, ICL, IND, IRB, JK2, JP2, JP6, JR2, JRB, JSK, JTI, JY, KC, KPO, KTB, KWR, LC, LGO, LH, MFX, MP, NG2, RA, RS, SB, S, SF, SI, STW, SXE, TRY, US, W, YTC.
Click here for a tabular view with description and exchange information.

This month’s amendments were:
– Replaced CL with CL2, DJ with YM.
– Removed ET, LAC, LZC, IRB, JSK, KWR, M10, NGV, SJG

Related Posts with Thumbnails


4 Comments so far ↓

  • RiskCog

    Haha, that is uncanny: the composite Index looks very much like the equity curve for a system I run!!

  • Jez

    What’s your experience with collective2 by the way? – I have been meaning to check it out along with some other similar platforms.

  • RiskCog

    C2 is a reasonably priced way to build an audited trade record. No major complaints so far. The main system developer is responsive to the community feedback.

  • Regime Switching System Using Volatility Forecast « Quantum Financier

    […] It is often discussed on the blogosphere that high volatility is good for daily MR, see previous editions of the state of short-term mean-reversion report by Michael over at MarketSci here and the moderator of daily follow-through MR series by David at CSS Analytics here and here. Concurrently, a low volatility environment is usually a good environment for trend following strategies; see Jez Liberty’s state of trend following report here. […]

Leave a Comment