05 Sep Trend Following Down in August
August 2017 Trend Following: DOWN -1.61% / YTD: -16.60%
August was only slightly negative thanks to a late recovery from the mid-month level, where the index was down by over 5%. The YTD performance is still strongly in the red.
Below is the full State of Trend Following report as of last month.
Performance is hypothetical.
Chart for August:
And the 12-month chart:
Below are the summary stats:
|Year To Date||-16.6%||10.73%|
|Last 12 months||-26.1%||10.86%|
|Last calendar year (2016)||-18.09%||14.36%|
|Since Index Launch (08-13)||-0.16%||13.78%|
|MaxDD (since 2000)||-43.4%|
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:
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)
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|
|Commisions||$20 per contract|
|Slippage on rolls||Yes|
|Roll slippage||5% of ATR|
The portfolio selected for the index represents a diversified mix of global futures balanced across all sectors:
|Euro / Japanese Yen||CME|
|Korean Won||KRX (Kofex)|
|New Zealand Dollar||CME|
|US Dollar Index||ICE US|
|Brent Crude Oil||ICE EUR (IPE)|
|Light Sweet Crude Oil (WTI) E-mini||NYMEX|
|Natural Gas (Henry Hub) E-mini||NYMEX|
|Crude Palm Oil||BMD (MDEX)|
|Milling Wheat||EURONEXT (MATIF)|
|Rice Rough||CME (CBOT)|
|FTSE Xinhua China A50 index||SGX|
|Hang Seng index mini||HKEx|
|Mini Russell 1000 index||ICE US (NYFE)|
|MSCI Singapore Stock index||SGX|
|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)|
|90-Day NZ Bank Bills||ASX (SFE-NZFE)|
|Euribor 3-month||EURONEXT (LIFFE)|
|Cocoa||ICE US (NYBOT-CSCE)|
|Coffee||ICE US (NYBOT-CSCE)|
|Milk (Class III)||CME|
|Sugar (#11)||ICE US (NYBOT-CSCE)|
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|
|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|