Wisdom State of Trend Following
 

January 2017 Trend Following: DOWN  -2.84%

If December bucked the trend of the last 6 months, January was a continuation of the downward direction seen in the second half of 2016. The index starts 2017 with a negative performance, in the context of global uncertainty, and keeps flirting with the maximum drawdown level. But you know what we have to say about that.

Note that we added a section in this month’s report, further below, with a historical performance table linking to all previous Wisdom State of Trend Following reports.

Wisdom State of Trend Following in January 2017

Below is the full State of Trend Following report as of last month.

Performance is hypothetical.

Chart for January:

Wisdom State of Trend Following - January 2017

 

And the 12-month chart:


Wisdom State of Trend Following 12 months - January 2017

Below are the summary stats:

Horizon Return Ann. Vol.
Last month -2.84% 11.4%
Year To Date -2.84% 11.4%
Last 12 months -24.64% 13.21%
Last calendar year (2016) -18.17% 14.4%
Since Index Launch (08-13) 16.21% 14.25%
Current DD -31.38%
MaxDD (since 2000) -32.55%

Individual System Contribution

The index is composed of several systems, each traded over different time horizons (short, medium and long) with a diversified portfolio of futures (details of the index components and construction can be found further below, in the next section).

The contribution of each individual system to the overall index performance is measured on a daily basis. The following chart shows the evolution of each system’s respective performance attribution over the last month: 
 

Systems Attribution - January 2017

 
 

And further below, the performance attribution of each system over the last 12 months, sorted by ranking:

Systems Attribution 12 months - January 2017

System 12-month last month
BBB-S -2.62% -0.55%
BBB-M -0.92% 0.03%
BBB-L -0.90% 0.03%
DMA-S -2.42% -0.38%
DMA-M -2.75% -0.33%
DMA-L -1.95% 0.09%
DON-S -2.09% -0.42%
DON-M -1.47% -0.47%
DON-L -1.35% -0.07%
TMA-S -3.34% -0.38%
TMA-M -2.88% -0.16%
TMA-L -1.96% -0.25%
Index -24.64% -2.84%

Please note the colour-coding to assist reading the charts:

  • one “color hue” per system (e.g. blue for “BBB” system)
  • one “shade” per time horizon (e.g. dark for “L” – Long-term system)
 

State of Trend Following Historical Performance and Post Archive

Please find below the table of historical performance since the index has been live on our site. Each performance number links to the corresponding report.

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2013 -3.75% -4.01% +0.22% +1.46% -0.67% -11.64%
2014 -1.67% +0.37% -2.14% +1.17% +1.11% +4.46% +3.93% +3.08% +8.49% +0.62% +10.38% +7.60% +43.34%
2015 +11.76% -3.68% +2.04% -2.17% -2.73% -3.57% +6.93% +1.97% +4.86% -8.86% +5.91% -1.77% +9.27%
2016 +5.50% +4.30% -2.79% -0.81% -7.14% +2.26% -1.35% -7.00% -4.73% -6.19% -2.27% +1.38% -18.15%
2017 -2.84% -2.84%

Performance is hypothetical. Note that there might be slight discrepancies between the results in the table below and the returns published in the report, due to the index being re-simulated and calculated monthly.


Index Methodology

The index performance is simulated using Trading Blox and CSI data (back-adjusted contracts rolling on Open Interest). The performance of the index is directly derived from the performance of a Trading Blox simulation suite composed of each system component as a system part of that suite.

The simulation uses realistic trading friction parameters (slippage, commissions, interest as detailed aside).

The individual system performance attributions are directly extracted from the same simulation run.

Trade Friction parameters

Slippage 5% of ATR
Min. slippage $15.00
Commisions $20 per contract
Slippage on rolls Yes
Roll slippage 5% of ATR
Earn interest Yes
 

Portfolio

The portfolio selected for the index represents a diversified mix of global futures balanced across all sectors:

Currencies

Market Exchange
Brazilian Real CME
Canadian Dollar CME
Euro / Japanese Yen CME
Korean Won KRX (Kofex)
New Zealand Dollar CME
US Dollar Index ICE US

Energies

Market Exchange
Brent Crude Oil ICE EUR (IPE)
Gasoline (RBOB) NYMEX
Kerosene TOCOM
Light Sweet Crude Oil (WTI) E-mini NYMEX
Natural Gas (Henry Hub) E-mini NYMEX

Grains

Market Exchange
Corn CME (CBOT)
Crude Palm Oil BMD (MDEX)
Milling Wheat EURONEXT (MATIF)
Rice Rough CME (CBOT)
Soybeans CME (CBOT)
Yellow Maize SAFEX

Metals

Market Exchange
Copper CME (NYMEX)
Gold CME (COMEX)
Platinum CME (NYMEX)
Silver CME (COMEX)

Meats

Market Exchange
Cattle Feeder CME
Live Cattle CME

Equity Indices

Market Exchange
Dax index EUREX
FTSE Xinhua China A50 index SGX
Hang Seng index mini HKEx
Mini Russell 1000 index ICE US (NYFE)
MSCI Singapore Stock index SGX
TOPIX index TSE

LTIR

Market Exchange
Canadian 10-Year Govt Bond MX
Euro German Bund EUREX
Japanese 10-Year Govt Bond SGX
Swiss 10-Year Govt Bond EUREX
US T-Notes 5-Year CME (CBOT)

STIR

Market Exchange
90-Day NZ Bank Bills ASX (SFE-NZFE)
Euribor 3-month EURONEXT (LIFFE)

Softs

Market Exchange
Cocoa ICE US (NYBOT-CSCE)
Coffee ICE US (NYBOT-CSCE)
Milk (Class III) CME
Sugar (#11) ICE US (NYBOT-CSCE)

Other

Market Exchange
Lumber CME
Rubber TOCOM
 

The above is a representation of the global futures markets that we can give you access to at Wisdom Trading. For the full list of products and markets, please check our global products page. We cover over 300 markets in more than 30 exchanges globally.

Systems

One of the main goals of the index is to mirror the performance of trend following in general. As such, the trading strategy is based on simple, public trading systems that use trend following principles. Each system is declined in three different timeframes (long, medium and short) to cover a wide spectrum of trend duration and increase overall diversification.

Color Component System used Trading Horizon Parameters Pos. Size
BBB-S Bollinger Band Breakout Short-term 20,2 0.483
BBB-M Bollinger Band Breakout Medium-term 50,2 0.63
BBB-L Bollinger Band Breakout Long-term 200,2 1
DMA-S Dual Moving Average Short-term 20,10 0.17
DMA-M Dual Moving Average Medium-term 50,20 0.17
DMA-L Dual Moving Average Long-term 200,50 0.19
DON-S Donchian Breakout Short-term 20 0.44
DON-M Donchian Breakout Medium-term 50 0.58
DON-L Donchian Breakout Long-term 200 0.85
TMA-S Triple Moving Average Short-term 50,20,10 0.41
TMA-M Triple Moving Average Medium-term 200,50,20 0.59
TMA-L Triple Moving Average Long-term 800,200,50 0.93






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