The Real-Time Trend Trading Experiment began in 2014 as and still is an Academic Project to publish the hypothetical returns of a classic systematic trend trading approach on a portfolio of the most heavily-traded domestic US futures markets. Based on multiple requests, in 2022 we began to expand this project with Digital Assets and Equities.
Historically speaking, the CTA industry was dominated by managers utilizing "Trend Trading" techniques. Over the past 15+ years, however, more and more firms morphed into "multiple-strategy" approaches utilizing additional techniques such as Risk-Parity, Mean-Reversion, Carry, Vol-Targeting, Machine-Learning and others. With pure trend trading representing only as much as perhaps 25% of their strategies, it became very difficult to determing how classic "trend" was performing.
It is very easy to measure Alpha (or the excess return of an investment relative to a benchmark) in the stock market, because the S&P 500 is such a widely-accepted barometer. By contrast, computing Alpha in the Alternative Assets (or CTA) space is a much more difficult endeavor because there is not a single widely-acceptable barometer of returns. Of the indices which are available, they may be slow to report, carry potentially misleading risks such as: survivorship bias, selection bias, backfill bias, and may be about as transparent as mud.
We created this Index not only to help educate investors on basic Trend Trading principles through repeated examples, but to make a more useful and timely index useful in comparing manager or strategy performance to that of a classic and pure trend trading philosophy.
Every minute of every trading day - from 7am to 3pm since the beginning of 2014 - we have been using our computers to assess the trading signals of a very simple trend trading program. Trade signals have been timestamped and monitored from cradle to grave, allowing us to compile the hypothetical return stream with a high-level of accountability and transparency.
The name will make perfect sense once you have a firm grip of basic trend following strategies and the parameter set we are using. Before you have your "lightbulb moment", it may seem a little silly. Hang in there!
The 40in20out Model Portfolio currently monitors the major domestic futures markets. There are 12 financial futures and 14 commodity futures across 7 different market sectors. Symbology may vary by quote system, but here they are for a couple of the more popular quote systems, eSignal and CQG:
The ticker for each instrument traded consists of the root Commodity Code + a Month Code and Year Code to denote the expiration of the futures contract. For example, Crude Oil expiring in Dec 2019 would have the code: CLZ9, or CL Z9, or CL Z19 depending on who you ask and their symbology.In CQG, the symbol for Crude is CLE. So, Decmber 2019 Crude becomes CLEZ19.
Here is a listing of all month codes:
We have historical position and balanced trenary position files for every instrument traded at our disposal. Please contact us to inquire about historical data and end-of-day updates available over FTP.