Mid-December 2015 Trend Following: UP +0.54% / YTD: +10.57%
The end of the year is near.
Before the holidays kick in, we wanted to run an update to take a sneak peek at our State of Trend Following index to get an idea of where trend following stood just before closing 2015. As the chart below shows, the year has been positive and apart from an exceptional negative run in the next couple of weeks, the strategy should post gains for 2015.
Below is the State of Trend Following index chart for 2015 (as of December 17th).
Performance is hypothetical.
Wisdom State of Trend Following – Monthly Report
Every month, we publish the Wisdom State of Trend Following, a report that evaluates the performance of trend following on a global portfolio of diversified futures.
Check our latest report for more information on how the report is compiled, or a historical run and subscribe to follow along and receive monthly updates of trend following performance. Simply fill in the form below to start receiving our updates:
The test is set-up with an arbitrary starting capital of 1B, starting in 2000. As the test is intended to represent an hypothetical index, no liquidity/volume constraints are enforced, making the results less dependent on actual simulation capital.
Profits are compounded (assumed to be reinvested).
The purchase or sale price for each trade that generated the hypothetical results is based either on 1) open price, the day after the Buy or Sell signal for the Moving Average-based systems or 2) stop level set by the relevant indicator for the Bollinger or Donchian systems. The actual simulated fill price is obtained by calculating a slippage factor, which is added to (or subtracted from) the theoretical entry price. For a long entry, the slippage factor is calculated by measuring the range from the theoretical entry price to the day’s highest price, and multiplying that amount by the Slippage Percent. (For short
entries, the slippage factor is calculated by measuring the range from the theoretical entry price to the low). The slippage factor is then added to, or subtracted from the theoretical entry price, to obtain the simulated fill price.