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