July 3, 2019

WISDOM STATE OF TREND FOLLOWING Q2 2019

Wisdom State of Trend Following  

June 2019 Trend Following:   -2.66%  /  Quarter: +2.52%  /  YTD: -3.88%


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

Performance is hypothetical.

Chart for last quarter:


 

And the 12-month chart:



Below are the summary stats:

HorizonReturnAnn. Vol.
Last month-2.66%14.98%
Year To Date-3.88%12.56%
Last 12 months-8.81%14.61%
Last calendar year (2018)-10.27%15.83%
Since Index Launch (08-13)-10.02%13.86%
Current DD-47.83%
MaxDD (since 2000)-50.51%

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 quarter: 
 

 
 

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


System12-monthlast month
BBB-S-0.76%1.11%
BBB-M-0.92%0.18%
BBB-L0.27%0.29%
DMA-S-1.13%0.40%
DMA-M-0.80%-0.11%
DMA-L-1.57%-0.63%
DON-S-0.86%1.47%
DON-M-0.24%0.33%
DON-L0.14%-0.17%
TMA-S-0.96%0.26%
TMA-M-0.73%-0.22%
TMA-L-1.25%-0.39%
Index-8.81%2.51%


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

Slippage5% of ATR
Min. slippage$15.00
Commisions$20 per contract
Slippage on rollsYes
Roll slippage5% of ATR
Earn interestYes
 

Portfolio

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


Currencies

MarketExchange
Brazilian RealCME
Canadian DollarCME
Euro / Japanese YenCME
Korean WonKRX (Kofex)
New Zealand DollarCME
US Dollar IndexICE US

Energies

MarketExchange
Brent Crude OilICE EUR (IPE)
Gasoline (RBOB)NYMEX
KeroseneTOCOM
Light Sweet Crude Oil (WTI) E-miniNYMEX
Natural Gas (Henry Hub) E-miniNYMEX

Grains

MarketExchange
CornCME (CBOT)
Crude Palm OilBMD (MDEX)
Milling WheatEURONEXT (MATIF)
Rice RoughCME (CBOT)
SoybeansCME (CBOT)
Yellow MaizeSAFEX

Metals

MarketExchange
CopperCME (NYMEX)
GoldCME (COMEX)
PlatinumCME (NYMEX)
SilverCME (COMEX)

Meats

MarketExchange
Cattle FeederCME
Live CattleCME

Equity Indices

MarketExchange
Dax indexEUREX
FTSE Xinhua China A50 indexSGX
Hang Seng index miniHKEx
Mini Russell 1000 indexICE US (NYFE)
MSCI Singapore Stock indexSGX
TOPIX indexTSE

LTIR

MarketExchange
Canadian 10-Year Govt BondMX
Euro German BundEUREX
Japanese 10-Year Govt BondSGX
Swiss 10-Year Govt BondEUREX
US T-Notes 5-YearCME (CBOT)

STIR

MarketExchange
90-Day NZ Bank BillsASX (SFE-NZFE)
Euribor 3-monthEURONEXT (LIFFE)

Softs

MarketExchange
CocoaICE US (NYBOT-CSCE)
CoffeeICE US (NYBOT-CSCE)
Milk (Class III)CME
Sugar (#11)ICE US (NYBOT-CSCE)

Other

MarketExchange
LumberCME
RubberTOCOM
 

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.

ColorComponentSystem usedTrading HorizonParametersPos. Size
BBB-SBollinger Band BreakoutShort-term20,20.483
BBB-MBollinger Band BreakoutMedium-term50,20.63
BBB-LBollinger Band BreakoutLong-term200,21
DMA-SDual Moving AverageShort-term20,100.17
DMA-MDual Moving AverageMedium-term50,200.17
DMA-LDual Moving AverageLong-term200,500.19
DON-SDonchian BreakoutShort-term200.44
DON-MDonchian BreakoutMedium-term500.58
DON-LDonchian BreakoutLong-term2000.85
TMA-STriple Moving AverageShort-term50,20,100.41
TMA-MTriple Moving AverageMedium-term200,50,200.59
TMA-LTriple Moving AverageLong-term800,200,500.93

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