Example – Sugar loses 25.10%, while Trading Strategy Captures 17.25% (more than 68% of the total correction)
Example – Russell 2000 loses 4.28%, while Strategy gains 2.13% (>49% of the whole correction)
Note: Trend-following systems often are not stopped out in this short-term correction. Therefore, this strategy serves as a good complement to a trend following portfolio, too.
Sample market data used for illustrative purposes only. Not all market environments will result in similar performance.