2015 has not been an ideal year for stock traders so far. As you know, we have seen plenty of volatility in China, Europe and Emerging Markets. The S&P 500 has been trading in a choppy range for much of the year and is currently showing a year-to-date return of only 1.57%.

Our trend following system is currently ahead of the benchmark index by a healthy margin and this is based on various metrics of performance and risk.

Trend Following System Performance YTD

The trend following system that we created is detailed in the trend following course and comes in two versions, loose and strict. The strict version enters fewer trades and generally has smaller drawdowns while the loose version enters more trades and experiences slightly larger drawdowns as a result.

Below you will see the system returns for both the strict and loose version – tested on the S&P 1500 universe of stocks and then on the Russell 3000 universe of stocks.

trend following system table of resultsAs you can see from these results, the trend following system has performed well across both stock universes and versions. Plotting the results on to a chart, shows that each version is ahead of the benchmark so far.

Trend Following System Performance

Top performance has so far come from trading the strict version on the Russell 3000 Universe. This has led to a compounded annualised return of 19.45%.

The strict version, trading on the S&P 1500 universe, led to the smallest drawdown. The system was underwater by just -1.19% around the start of the year.

As mentioned, the strict version places fewer trades and behaves slightly differently to the loose version. But both have shown healthy profits so far this year, despite the choppy nature of the broader markets.

To obtain full details of the system rules and code, you can enroll in the course here.

Best of luck, and good trading.


Please note that these are hypothetical results based on back-tests made with Amibroker and data from Norgate Premium Data. As such, they do not necessarily replicate real results from live trading. Commissions were set at $0.01 per share. Past performance is no guarantee of future returns.

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