State of TF in 2014: Banner Year for Trend Following


Wisdom State of Trend Following

December 2014: Trend Following UP +6.92% — YTD: +41.10%

2014: Banner Year for Trend Following

As we welcome 2015, we take a look back at 2014 and how good a year it has been for trend following. After a slow start, the index came to life just before the mid-point of the year, to post one the best performances of the recent years.

With a streak of strong positive performances in the last 7 months of the year, it finally ended the year at +41.10%, with a month of December registering another 6.92% gain.

We wish all our readers a successful year of trading in 2015. If you would like to get involved with trend following (or other aspects of trading), please contact us. Starting with our LTX trend following system, our other trading systems and access to one of the widest global markets offering, we can deliver relevant and efficient solutions to your trading objectives.

In the coming week, we will also update the site with performance numbers from our own systems. Stay tuned.

Below is the full report State of Trend Following report as of last month. Please click here for the January 2015 update.
Chart for December:

Wisdom State of Trend Following - December 2014


And the 12-month chart — showing a good acceleration in a lasting up-trend:

Wisdom State of Trend Following 12 months - December 2014

Below are the summary stats:

Horizon Return Ann. Vol.
Last month 6.92% 15.13%
Year To Date 41.07% 12.51%
Last 12 months 41.07% 12.51%
Last calendar year (2013) -13.29% 12.69%
Since Index Launch (08-13) 33.29% 11.84%
Current DD -1.61%
MaxDD (since 2000) -34.31%

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: 

Wisdom State of Trend Following - December 2104 System Attribution chart

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

Wisdom State of Trend Following 12 months - December 2104 System Attribution chart

System 12-month last month
BBB-S 3.61% 0.19%
BBB-M 4.52% 1.14%
BBB-L 2.90% 0.73%
DMA-S 3.07% 0.23%
DMA-M 3.29% 0.64%
DMA-L 3.21% 0.62%
DON-S 2.29% 0.37%
DON-M 4.07% 0.76%
DON-L 2.82% 0.54%
TMA-S 4.47% 0.54%
TMA-M 4.06% 0.80%
TMA-L 2.75% 0.36%
Index 41.07% 6.92%

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)

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


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


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


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


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


Market Exchange
Copper E-mini CME (NYMEX)
Platinum CME (NYMEX)
Silver CME (COMEX)


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


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)


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


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


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.


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

The money management aspect of the overall system simply allocates a fixed percentage of equity to each new position’s calculated risk (based on volatility). Each system is set up with a different percent of equity in order to calibrate (or normalize) the volatility of each system. The calibration was performed by assigning a position sizing percent to normalize the standard deviation of each system’s result stream on the period 2000-2010 (normalization period). The period from 2010-2013 was used for validation.


Risk Disclosures

Commodity Trading involves high risks and you can lose a significant amount of money. Commodity trading is not suitable for many investors. Any performance results listed in all marketing materials represents simulated computer results over past historical data, and not the results of an actual account. All opinions expressed anywhere on this website are only opinions of the author. The information contained here was gathered from sources deemed reliable, however, no claim is made as to its accuracy or content. Different testing platforms can produce slightly different results. Our systems are only recommended for well capitalized and experienced futures traders.

CFTC-required risk disclosure for hypothetical results

Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.


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