DIVERSIFIED FUTURES PORTFOLIO

THIS IS NOT INVESTMENT ADVICE AND IS FOR INFORMATIONAL AND EDUCATIONAL PURPOSES ONLY.

For every minute of every trading day since 2014, we have been monitoring, documenting and publishing the hypothetical trades of a very simple breakout trend following program on a diversified basket of 29 of the most heavily-traded U.S. domestic futures. The goal has been to establish a transparent index of "CTA/Trend Trading" returns because most of the popular benchmarks may be slow to report, opaque in their calculation methods and most importantly, many of the $1B+ constituent programs have drifted far away from their trend following roots over the years making trend "Alpha" more difficult to observe.

TRADE DATE 10
30
10
31
11
01
11
02
11
03
11
06
11
07
11
08
11
09
11
10
11
13
11
14
11
15
11
16
11
17
11
20
11
21
11
22
11
24
11
27
11
28
11
29
11
30
12
01
12
04
12
05
12
06
12
07
12
08
12
08
FIXED INCOME
US S S S S - - - - - - - - - - - - - L L L SUBSCRIBERS ONLY
TY S S S S - - - - - - - - - - L L L L L L SUBSCRIBERS ONLY
FV S S S S - - - - - - - L - - L L L L L L SUBSCRIBERS ONLY
TU S S S S - - - - - - - - - - - - - - - - SUBSCRIBERS ONLY
EQUITIES
ES S S S S S S S S S - - L L L L L L L L L SUBSCRIBERS ONLY
ND S S S - - - - - - - - L L L L L L L L L SUBSCRIBERS ONLY
YM S S S S S S S S S - - - L L L L L L L L SUBSCRIBERS ONLY
FX
EU - - - - - - - - - - - L L L L L L L L L SUBSCRIBERS ONLY
JY S S S S S S S S S S S S S S S - - - - - SUBSCRIBERS ONLY
BP S S S S - - - - - - - L L L L L L L L L SUBSCRIBERS ONLY
CD S S S S - - - - - - - - - - - - - - - - SUBSCRIBERS ONLY
AD S S S - - - - - - - - - L L L L L L L L SUBSCRIBERS ONLY
METALS
GC L L L L L L L - - - - - - - - - - - - - SUBSCRIBERS ONLY
SI - - - - - - - - - - - - - L L - - - L L SUBSCRIBERS ONLY
HG - - - - - - - - - - - - - - - L L L L L SUBSCRIBERS ONLY
ENERGY
CL - - - - S S S S S S S S S S S S S S S S SUBSCRIBERS ONLY
HO - - - - - - - S S S S - - - - - - - - - SUBSCRIBERS ONLY
RB S S S S S S S S S S S S S S S S S S S S SUBSCRIBERS ONLY
NG - - - - - - - S S S S S S S S S S S S S SUBSCRIBERS ONLY
GRAINS
C - - - - - - - - S S - - - - - - - - - S SUBSCRIBERS ONLY
S - - - - - - - L - - - L L - - - - - - - SUBSCRIBERS ONLY
W - - - - - - - - - - - - - - - - - - - S SUBSCRIBERS ONLY
BO S S S S S S S S S S S S S S S S - - - - SUBSCRIBERS ONLY
SOFTS
KC - - - - L L L L L L L L L L L L L L L L SUBSCRIBERS ONLY
SB - - - - - L L - - - - - - - - - - - - - SUBSCRIBERS ONLY
CC L L L L L L L L L L L L L L L L L L L L SUBSCRIBERS ONLY
CT S S S S S S S S S S S S S S S S S S S S SUBSCRIBERS ONLY
LIVESTOCK
LC S S - - - - - - S S S S S S S S S S S S SUBSCRIBERS ONLY
LH - - - - - - - - - - - - - - - - - - S S SUBSCRIBERS ONLY