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the State of Trend Following in August: good performance

September 6th, 2010 · 3 Comments · the State of Trend Following, Trend Following

State of TF
Back to blogging with a new edition of the state of Trend Following report. August seems to have been pretty good to Trend Followers, with the composite index of the 12 “control” Trend Following systems included in this report showing a return of +8.08%, with most systems posting gains for the month.

Detailed Results

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


And the results in tabular format:

System August Return
BBO-20 -7.3%
Donchian-20 10.05%
MA-10-20 5.43%
TMA-10-20-50 10.57%
BBO-50 -0.15%
Donchian-50 2.23%
MA-20-50 5.78%
TMA-20-50-200 14.85%
BBO-200 13.49%
Donchian-200 10.35%
MA-50-200 20.45%
TMA-50-200-800 11.22%

Apart from 2 Bollinger Breakout, most systems are showing a good performance for last month.

2010, through the Composite Index

The composite index just about breaks even for the year with this strong August performance:


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.

Result Normalization

The system performances are adjusted for volatility to normalize the results. See why and how here.

Related Posts with Thumbnails


3 Comments so far ↓

  • Roy

    Hi – great work in here.

    I have a question if you dont mind

    I noticed that you use a very specific set of futures, equitties, commodities, etc.

    I did try to replicate the results but only for all stocks in the SP500. The results using the 20/50. 50/200 and donchian channel does not come close to your testing.

    Do you think that the type of securities you use matters? Do we need to pick and choose the securities based on some sort of pattern or behaviour in the past?

    Your thoughts are appreciated

  • Jez Liberty

    Thanks again Roy.
    I am not too surprised that your results are different.
    The portfolio I am using is intended to reproduce a global diversified set of instruments – which is usually what the CTAs/Trend Following Wizards use. This is to benefit from diversification and try to get exposure to trends in multiple markets and regions, which should be uncorrelated.

    On the other hand, your portfolio composed only of stocks is likely to exhibit more correlation between each instrument – and in any case each different portfolio will give different results… i.e if I was to add/remove instruments from the portfolio, it is quite likely that the results would be different.

    Re: Trend Following on stocks, I have not looked at this too much, but I would suggest you take a look at the Capitalism Distribution doc from Blackstar fund. I believe they look at a very large universe (ie over 2,000 stocks) and buy on 2-3 year new highs, but with no specific patterns or behaviours.

  • September State of Trend Following report | Au.Tra.Sy blog - Automated trading System

    […] Trend Following index with another strong monthly performance of 9.52% for September at the back of last month’s +8.08%. The YTD performance now stands at […]

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