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