Updated as of end October 2015
The Wisdom State of Trend Following report was built to reflect and track the generic performance of trend following as a trading strategy. We developed a system suite made up of classic trend following systems, available in the public domain (details of systems further below) to produce a trend following benchmark.
This system was back-tested over multiple timeframes with a portfolio of futures selected from the range of 300+ futures markets over 30+ exchanges that we can provide our clients access to. The portfolio is global, diversified and balanced over the main sectors (portfolio composition available further below).
The back-test simulation results were presented below, covering the period preceding the public launch of the Wisdom State of Trend Following report (September 2013), to add historical context to the live report. This has now been updated as of end October 2015.
This also serves as verification that the the report and its index is relevant to acting as a trend following benchmark as the simulated performance over the last decade matches that experienced in live trading over the same period. The live report is tracked and run forward using the same parameters and portfolio as those used for the back-test validation.
The simulation is run using Trading Blox, which allows system traders to back-test and trade their own systems, as well as delegate their trading execution to Wisdom Trading.
The report is broken down in the following sections:
- Main Performance Results
- Monthly and Yearly Performance
- Additional Performance Stats
- Monte-Carlo Analysis
- Portfolio and Instrument Performance
- Individual Systems Analysis
- Index Methodology
Main Performance Results
| Start Date | End Date | Total Return | CAGR | Max DD (TE) | MAR | Sharpe | Longest DD |
|---|---|---|---|---|---|---|---|
| 2000-01-01 | 2015-10-31 | 1,198.1% | 16.99% | 32.3% | 0.53 | 0.55 | 45.8 |
Monthly and Yearly Performance
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | -2.22% | -0.36% | -5.26% | -2.45% | 3.51% | -1.57% | 6.78% | 2.79% | -2.42% | 3.18% | 4.08% | 5.48% | 11.30% |
| 2001 | 2.40% | -0.34% | 7.68% | -4.21% | 0.93% | -7.26% | 3.53% | 1.86% | 6.19% | 1.29% | -5.12% | -0.13% | 5.91% |
| 2002 | -4.15% | 0.06% | 3.89% | -0.92% | 10.58% | 5.94% | 1.38% | 3.36% | 7.64% | -5.06% | 0.13% | 10.56% | 37.08% |
| 2003 | 8.31% | 4.85% | -8.38% | 1.08% | 3.29% | -2.74% | 1.54% | 4.17% | 3.27% | 7.85% | 0.18% | -1.19% | 23.20% |
| 2004 | 2.11% | 8.91% | 4.07% | -6.68% | -2.83% | -4.29% | 3.19% | -0.37% | 3.42% | 0.31% | 10.20% | -3.00% | 14.52% |
| 2005 | 1.03% | 0.75% | -3.59% | -4.24% | -0.67% | 0.33% | -0.89% | 2.39% | 6.14% | -2.04% | 6.57% | 0.39% | 5.72% |
| 2006 | 8.46% | -3.06% | 5.14% | 9.84% | -1.44% | -6.07% | -3.25% | 7.39% | -0.07% | 2.41% | 7.11% | -0.54% | 27.34% |
| 2007 | 0.90% | -0.97% | -0.12% | 10.81% | 9.25% | 3.27% | 1.46% | -0.08% | 10.03% | 4.93% | -0.53% | 5.91% | 53.84% |
| 2008 | 10.68% | 21.22% | -7.23% | -2.20% | -0.98% | 7.71% | -11.96% | 1.55% | 13.83% | 28.06% | 11.29% | 0.38% | 88.99% |
| 2009 | 2.61% | 0.71% | -6.82% | -0.81% | 3.76% | -3.77% | 1.40% | 1.31% | -0.29% | -5.44% | 7.14% | -5.84% | -6.82% |
| 2010 | -3.67% | -1.90% | 3.86% | 0.50% | -3.00% | 0.70% | 0.92% | 6.64% | 2.86% | 6.99% | -2.74% | 12.10% | 24.43% |
| 2011 | 2.65% | 4.42% | -4.87% | 7.11% | -11.57% | -5.18% | 3.39% | 3.40% | 3.89% | -11.60% | 1.25% | 1.11% | -7.95% |
| 2012 | -3.03% | 3.27% | -2.99% | -1.18% | 11.19% | -8.56% | 8.11% | -0.84% | -0.89% | -3.41% | -2.35% | -0.44% | -2.62% |
| 2013 | 3.15% | -2.69% | -1.07% | 3.15% | -3.33% | 2.84% | -6.75% | -4.02% | -3.84% | 0.12% | 1.82% | 0.07% | -10.60% |
| 2014 | -2.45% | 0.24% | -2.23% | 1.01% | 0.98% | 4.31% | 3.83% | 2.85% | 8.07% | -0.10% | 11.26% | 7.14% | 39.81% |
| 2015 | 11.81% | -3.96% | 2.52% | -2.56% | -2.83% | -3.90% | 6.74% | 1.81% | 4.56% | -9.19% | 3.36% |
| Year | Volatility | Num Trades |
|---|---|---|
| 2000 | 10.44% | 1908 |
| 2001 | 13.85% | 2094 |
| 2002 | 14.41% | 1961 |
| 2003 | 13.95% | 2091 |
| 2004 | 16.24% | 2181 |
| 2005 | 14.1% | 2360 |
| 2006 | 18.59% | 2323 |
| 2007 | 18.73% | 2265 |
| 2008 | 30.57% | 2000 |
| 2009 | 13.35% | 2286 |
| 2010 | 18.12% | 2375 |
| 2011 | 19.98% | 2646 |
| 2012 | 13.51% | 2505 |
| 2013 | 14.29% | 2632 |
| 2014 | 13.24% | 2381 |
| 2015* | 15.68% | 2385 |
| Average | 16.19% | 2275 |
*Results for 2015 include all trading from January to October.
Volatility is calculated as annualized standard deviation of daily returns.
Additional Performance Stats
| Performance Indices | |
|---|---|
| CAGR % | 16.99% |
| MAR Ratio | 0.53 |
| RAR % | 19.78% |
| R-Cubed | 0.60 |
| Robust Sharpe Ratio | 1.04 |
| Daily Return % | 0.0656% |
| Daily Geometric Return % | 0.043% |
| Daily Standard Deviation % | 1.05% |
| Daily Downside Deviation % | 1.09% |
| Daily Sharpe | 0.055 |
| Daily Geo Sharpe | 0.033 |
| Daily Sortino | 0.053 |
| Modified Sharpe Ratio | 0.92 |
| Annual Sharpe Ratio | 0.55 |
| Annual Sortino Ratio | 0.53 |
| Monthly Sharpe Ratio | 0.22 |
| Monthly Sortino Ratio | 0.22 |
| Calmar Ratio | 0.57 |
| R-Squared | 0.921 |
| Risk-free rate | 3% |
| Drawdowns and Trades | |
|---|---|
| Maximum Total Equity Drawdown % | 32.26% |
| Longest Total Equity Drawdown (months) | 45.77 |
| Average Max TE Drawdown % | 20.89% |
| Average Max TE Drawdown Length (months) | 18.82 |
| Maximum Monthly Total Equity Drawdown % | 29.84% |
| Maximum Monthly Closed Equity Drawdown % | 23.83% |
| Maximum Closed Equity Drawdown % | 27.56% |
| Average Closed Equity Drawdown % | 1.94% |
| Round Turns Per Million | 2,187 |
| Total Trades | 36,393 |
| Win/Loss Statistics | |
|---|---|
| Wins | 12,197 (33.5%) |
| Losses | 24,196 (66.5%) |
| Winning Months | 112 (58.9%) |
| Losing Months | 78 (41.1%) |
| Average Win Percent | 1.15% |
| Average Loss Percent | 0.43% |
| Average Trade Percent | 0.10% |
| Average Trade Duration | 57.49 |
| Profit Factor | 1.24 |
| Percent Profit Factor | 1.34 |
Monte-Carlo Analysis
| Monte Carlo Confidence Level Statistics | |
|---|---|
| 90% Return | 11.11% |
| 90% Sharpe | 0.02 |
| 90% MAR | 0.32 |
| 90% R Squared | 0.844 |
| 90% Maximum Drawdown | 37.26% |
| 90% Second Largest Drawdown | 27.74% |
| 90% Third Largest Drawdown | 23.39% |
| 90% Longest Drawdown | 55.7 |
| 90% Second Longest Drawdown | 29.8 |
| 90% Third Longest Drawdown | 21.0 |
Portfolio and Instrument Performance
The portfolio selected for the index represents a diversified mix of global futures balanced across all sectors:
Currencies
| Market | Exchange | Symbol |
|---|---|---|
| Brazilian Real | CME | BR5 |
| Canadian Dollar | CME | CD |
| Euro / Japanese Yen | CME | RY |
| Korean Won | KRX (Kofex) | KRW |
| New Zealand Dollar | CME | NE |
| US Dollar Index | CME | DX2 |
Energies
| Market | Exchange | Symbol |
|---|---|---|
| Brent Crude Oil | ICE EUR (IPE) | LCO |
| Gasoline (RBOB) | NYMEX | RB2 |
| Kerosene | TOCOM | JK2 |
| Light Sweet Crude Oil (WTI) E-mini | NYMEX | QM |
| Natural Gas (Henry Hub) E-mini | NYMEX | QG |
Grains
| Market | Exchange | Symbol |
|---|---|---|
| Corn | CME (CBOT) | C2 |
| Crude Palm Oil | BMD (MDEX) | KPO |
| Milling Wheat | EURONEXT (MATIF) | BL2 |
| Rice Rough | CME (CBOT) | RR2 |
| Soybeans | CME (CBOT) | S2 |
| Yellow Maize | SAFEX | MAY |
| Market | Exchange | Symbol |
|---|---|---|
| Copper | CME (NYMEX) | HG |
| Gold | CME (COMEX) | GC |
| Platinum | CME (NYMEX) | PL2 |
| Silver | CME (COMEX) | SI2 |
Meats
| Market | Exchange | Symbol |
|---|---|---|
| Cattle Feeder | CME | FC |
| Live Cattle | CME | LC |
Equity Indices
| Market | Exchange | Symbol |
|---|---|---|
| Dax index | EUREX | FDX |
| FTSE Xinhua China A50 index | SGX | A50 |
| Hang Seng index mini | HKEx | HMH |
| Mini Russell 1000 index | ICE US (NYFE) | RM4 |
| MSCI Singapore Stock index | SGX | SSG |
| TOPIX index | TSE | JTI |
LTIR
| Market | Exchange | Symbol |
|---|---|---|
| Canadian 10-Year Govt Bond | MX | CGB |
| Euro German Bund | EUREX | EBL |
| Japanese 10-Year Govt Bond | SGX | SJB |
| Swiss 10-Year Govt Bond | EUREX | CON |
| US T-Notes 5-Year | CME (CBOT) | FV |
STIR
| Market | Exchange | Symbol |
|---|---|---|
| 90-Day NZ Bank Bills | ASX (SFE-NZFE) | NBB |
| Euribor 3-month | EURONEXT (LIFFE) | FEI |
Softs
| Market | Exchange | Symbol |
|---|---|---|
| Cocoa | ICE US (NYBOT-CSCE) | CC2 |
| Coffee | ICE US (NYBOT-CSCE) | KC2 |
| Milk (Class III) | CME | DA |
| Sugar (#11) | ICE US (NYBOT-CSCE) | SB2 |
Other
| Market | Exchange | Symbol |
|---|---|---|
| Lumber | CME | LB |
| Rubber | TOCOM | JR2 |
Instrument Performance
| Symbol | Wins | % | Losses | % | Trades | Win Months | % | Loss Months | % | Avg. Win | Avg. Loss | Avg. Trade | % Profit Factor |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| A50 | 87 | 33.7% | 171 | 66.3% | 258 | 152 | 80% | 38 | 20% | 1% | 0.43% | 0.05% | 1.19 |
| BL2 | 293 | 33.6% | 578 | 66.4% | 871 | 87 | 45.8% | 103 | 54.2% | 2.29% | 0.78% | 0.25% | 1.49 |
| BR5 | 249 | 43.5% | 324 | 56.5% | 573 | 120 | 63.2% | 70 | 36.8% | 1.99% | 0.54% | 0.56% | 2.83 |
| C2 | 290 | 30% | 676 | 70% | 966 | 77 | 40.5% | 113 | 59.5% | 0.92% | 0.42% | -0.02% | 0.93 |
| CC2 | 291 | 25.4% | 854 | 74.6% | 1145 | 66 | 34.7% | 124 | 65.3% | 0.6% | 0.44% | -0.17% | 0.47 |
| CD | 298 | 30.6% | 676 | 69.4% | 974 | 73 | 38.4% | 117 | 61.6% | 0.92% | 0.34% | 0.04% | 1.19 |
| CGB | 327 | 36.5% | 568 | 63.5% | 895 | 80 | 42.1% | 110 | 57.9% | 0.81% | 0.37% | 0.06% | 1.26 |
| CON | 320 | 36.1% | 566 | 63.9% | 886 | 92 | 48.4% | 98 | 51.6% | 1.22% | 0.47% | 0.14% | 1.48 |
| DA | 282 | 37% | 481 | 63% | 763 | 96 | 50.5% | 94 | 49.5% | 2.58% | 0.44% | 0.68% | 3.46 |
| DX2 | 325 | 35% | 604 | 65% | 929 | 84 | 44.2% | 106 | 55.8% | 1.08% | 0.36% | 0.14% | 1.61 |
| EBL | 345 | 40.7% | 502 | 59.3% | 847 | 93 | 48.9% | 97 | 51.1% | 0.97% | 0.36% | 0.18% | 1.84 |
| FC | 320 | 34.4% | 610 | 65.6% | 930 | 84 | 44.2% | 106 | 55.8% | 1.03% | 0.41% | 0.09% | 1.34 |
| FDX | 350 | 37.2% | 592 | 62.8% | 942 | 82 | 43.2% | 108 | 56.8% | 0.79% | 0.36% | 0.06% | 1.28 |
| FEI | 255 | 27.8% | 663 | 72.2% | 918 | 75 | 39.5% | 115 | 60.5% | 1.09% | 0.48% | -0.04% | 0.88 |
| FV | 316 | 34.6% | 597 | 65.4% | 913 | 90 | 47.4% | 100 | 52.6% | 0.94% | 0.36% | 0.09% | 1.39 |
| GC | 314 | 33.7% | 618 | 66.3% | 932 | 79 | 41.6% | 111 | 58.4% | 1.03% | 0.45% | 0.05% | 1.17 |
| HG | 319 | 33.5% | 632 | 66.5% | 951 | 75 | 39.5% | 115 | 60.5% | 1.48% | 0.47% | 0.18% | 1.59 |
| HMH | 321 | 34.4% | 611 | 65.6% | 932 | 76 | 40% | 114 | 60% | 0.82% | 0.41% | 0.01% | 1.05 |
| JK2 | 109 | 30.1% | 253 | 69.9% | 362 | 144 | 75.8% | 46 | 24.2% | 1.2% | 0.4% | 0.08% | 1.3 |
| JR2 | 316 | 36.1% | 560 | 63.9% | 876 | 82 | 43.2% | 108 | 56.8% | 0.99% | 0.48% | 0.05% | 1.15 |
| JTI | 270 | 34.5% | 513 | 65.5% | 783 | 94 | 49.5% | 96 | 50.5% | 1.35% | 0.41% | 0.2% | 1.74 |
| KC2 | 295 | 30.2% | 681 | 69.8% | 976 | 78 | 41.1% | 112 | 58.9% | 0.78% | 0.4% | -0.05% | 0.84 |
| KPO | 295 | 35.2% | 542 | 64.8% | 837 | 80 | 42.1% | 110 | 57.9% | 1.51% | 0.46% | 0.24% | 1.8 |
| KRW | 240 | 27.3% | 640 | 72.7% | 880 | 72 | 37.9% | 118 | 62.1% | 1.54% | 0.59% | -0.01% | 0.98 |
| LB | 344 | 35.9% | 614 | 64.1% | 958 | 82 | 43.2% | 108 | 56.8% | 0.79% | 0.44% | 0% | 1 |
| LC | 270 | 27.1% | 727 | 72.9% | 997 | 73 | 38.4% | 117 | 61.6% | 0.9% | 0.4% | -0.05% | 0.83 |
| LCO | 335 | 36.6% | 580 | 63.4% | 915 | 91 | 47.9% | 99 | 52.1% | 1.03% | 0.37% | 0.14% | 1.61 |
| MAY | 329 | 42% | 454 | 58% | 783 | 101 | 53.2% | 89 | 46.8% | 1.63% | 0.4% | 0.45% | 2.92 |
| NBB | 230 | 28.6% | 573 | 71.4% | 803 | 88 | 46.3% | 102 | 53.7% | 2.71% | 0.64% | 0.32% | 1.7 |
| NE | 317 | 35.9% | 566 | 64.1% | 883 | 88 | 46.3% | 102 | 53.7% | 1.31% | 0.43% | 0.19% | 1.69 |
| PL2 | 304 | 33.5% | 604 | 66.5% | 908 | 84 | 44.2% | 106 | 55.8% | 1.18% | 0.37% | 0.15% | 1.6 |
| QG | 239 | 29.4% | 573 | 70.6% | 812 | 95 | 50% | 95 | 50% | 0.91% | 0.43% | -0.04% | 0.88 |
| QM | 266 | 33.4% | 531 | 66.6% | 797 | 102 | 53.7% | 88 | 46.3% | 0.99% | 0.38% | 0.07% | 1.29 |
| RB2 | 321 | 33.9% | 626 | 66.1% | 947 | 80 | 42.1% | 110 | 57.9% | 0.88% | 0.38% | 0.05% | 1.2 |
| RM4 | 287 | 34.5% | 545 | 65.5% | 832 | 103 | 54.2% | 87 | 45.8% | 0.86% | 0.41% | 0.03% | 1.1 |
| RR2 | 290 | 29.4% | 696 | 70.6% | 986 | 74 | 38.9% | 116 | 61.1% | 0.95% | 0.44% | -0.03% | 0.9 |
| RY | 304 | 35.8% | 546 | 64.2% | 850 | 82 | 43.2% | 108 | 56.8% | 1.01% | 0.41% | 0.1% | 1.37 |
| S2 | 326 | 34% | 633 | 66% | 959 | 82 | 43.2% | 108 | 56.8% | 0.99% | 0.36% | 0.1% | 1.41 |
| SB2 | 312 | 33.1% | 630 | 66.9% | 942 | 81 | 42.6% | 109 | 57.4% | 1.02% | 0.42% | 0.06% | 1.2 |
| SI2 | 291 | 31.2% | 643 | 68.8% | 934 | 80 | 42.1% | 110 | 57.9% | 0.99% | 0.35% | 0.07% | 1.28 |
| SJB | 300 | 34.1% | 579 | 65.9% | 879 | 95 | 50% | 95 | 50% | 0.79% | 0.42% | -0.01% | 0.97 |
| SSG | 305 | 35.1% | 564 | 64.9% | 869 | 84 | 44.2% | 106 | 55.8% | 0.96% | 0.41% | 0.07% | 1.28 |
| Averages | 290 | 33.7% | 576 | 66.3% | 867 | 88 | 46.3% | 102 | 53.7% | 1.2% | 0.4% | 0.1% | 1.39 |
| Wins | % | Losses | % | Trades | Win Months | % | Loss Months | % | Avg. Win | Avg. Loss | Avg. Trade | % Profit Factor |
Individual Systems Analysis
Systems Used
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 |
Please note the colour-coding to assist reading the contribution charts below:
- 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 money management aspect of the overall system very 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.
Individual System Contribution
| System | last month |
|---|---|
| TMA-M | 123.27% |
| DMA-L | 117.58% |
| BBB-M | 113.32% |
| TMA-L | 110.52% |
| TMA-S | 97.68% |
| DON-L | 96.32% |
| DON-M | 90.21% |
| BBB-L | 76.07% |
| DMA-M | 71.79% |
| DON-S | 53.34% |
| DMA-S | 46.87% |
| BBB-S | 35.82% |
| Index | 1032.79% |
Please note that the Index full return calculated here (1,032.79%) is different from the headline total return (1,198.1%), as earned interest is not taken into account in the performance attribution calculations above.
Individual System Trade Analysis
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 |
Material Assumptions
The test is set-up with an arbitrary starting capital of 1B, starting in 2000. As the test is intended to represent an hypothetical index, no liquidity/volume constraints are enforced, making the results less dependent on actual simulation capital.
Profits are compounded (assumed to be reinvested).
The purchase or sale price for each trade that generated the hypothetical results is based either on 1) open price, the day after the Buy or Sell signal for the Moving Average-based systems or 2) stop level set by the relevant indicator for the Bollinger or Donchian systems. The actual simulated fill price is obtained by calculating a slippage factor, which is added to (or subtracted from) the theoretical entry price. For a long entry, the slippage factor is calculated by measuring the range from the theoretical entry price to the day’s highest price, and multiplying that amount by the Slippage Percent. (For short
entries, the slippage factor is calculated by measuring the range from the theoretical entry price to the low). The slippage factor is then added to, or subtracted from the theoretical entry price, to obtain the simulated fill price.
Disclaimers
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.
