October 6, 2018

Trend Following in September

Wisdom State of Trend Following

September 2018 Trend Following: DOWN  -1.41%  /  YTD: -8.85%

Please find this month’s report of the Wisdom State of Trend Following.

Performance is hypothetical.

Chart for September:

Wisdom State of Trend Following - September 2018


And the 12-month chart:

Wisdom State of Trend Following 12 months - September 2018

Below are the summary stats:

Horizon Return Ann. Vol.
Last month -1.41% 11.42%
Year To Date -8.85% 15.45%
Last 12 months -3.36% 14.61%
Last calendar year (2017) -16.19% 10.94%
Since Index Launch (08-13) -8.67% 13.87%
Current DD -46.04%
MaxDD (since 2000) -46.87%

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 - September 2018


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

Systems Attribution 12 months - September 2018

System 12-month last month
BBB-S -1.72% 0.04%
BBB-M -0.49% -0.27%
BBB-L 1.43% -0.01%
DMA-S -2.57% -0.40%
DMA-M 0.44% -0.11%
DMA-L 0.35% 0.20%
DON-S -1.75% -0.26%
DON-M -0.17% -0.43%
DON-L 1.12% -0.13%
TMA-S -1.03% -0.31%
TMA-M 0.85% 0.05%
TMA-L 0.19% 0.22%
Index -3.36% -1.41%

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 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


SUBSCRIBE NOW: Free Wisdom State of Trend Following updates

100% privacy, We will never spam you.

More To Explore

What are Futures?

In the United States, trading futures began in the mid-19th century with the establishment of central grain markets where farmers could sell their products either for immediate

E Micro Gold Futures

E-micro Gold (MGC) futures offer the opportunity of a 10:1 offset with the 100-oz. Gold Futures contract. At one-tenth the size of our benchmark gold

Learn how we can help you navigate the worlds largest marketplace.