Long Term Trend Tracking Systems Again for Futures, That, as known, do not earn since 2011 of the year.
Many people misunderstand the concept and try on some kind of trend system on the minutes of the RTS futures, or on the ticks of any other instrument, type of Sberbank futures, perplexed — The system has been working perfectly for three weeks already, trends are just super, you just need to `` be able to cook them ''.
Therefore, I will explain once again what I mean when I talk about trend-following systems for futures.. This:
1. Daily or weekly timeframe.
2. Diversified portfolio of Western futures (not Ree and not Si) 20-120 PCS.
3. Middle position duration 20 – 200 days
Benchmark of a trend-following system, in my opinion, the well-known Aberration system can serve, since it is typical and simplest — meets all the criteria of a trend following system. Only unlike the original, where market orders are applied, it is better to use stop orders, which is better suited to modern realities. Here is a system test with 1985 of the year:
The graph shows that the system stumbled in 2011 year and still has not recovered. Drawdowns are the same as now, have already been to 2005 And 2008 yy,, but the duration of today's drawdown exceeds all the previous ones.
For clarity, we will increase the period from 2010 of the year. It is clear and clearly visible that with 2011 year trend following crisis. There have been many attempts to catch trends, but they ended too early:
That's why, those who noticed the trend early, abandoned long-term systems and switched to medium-term and short-term. In long-term systems, the most patient and, let's hope, a crisis 2014 year they will be rewarded according to their deserts :)
