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.
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TRADE DATE | 07 05 |
07 06 |
07 07 |
07 08 |
07 11 |
07 12 |
07 13 |
07 14 |
07 15 |
07 18 |
07 19 |
07 20 |
07 21 |
07 22 |
07 25 |
07 26 |
07 27 |
07 28 |
07 29 |
08 01 |
08 02 |
08 03 |
08 04 |
08 05 |
08 08 |
08 09 |
08 10 |
08 11 |
08 12 |
08 12 |
FIXED INCOME | ||||||||||||||||||||||||||||||
US | - | L | - | - | - | - | - | - | - | - | - | - | - | L | L | L | L | L | L | L | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
TY | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | L | L | L | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
FV | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | L | L | L | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
TU | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
EQUITIES | ||||||||||||||||||||||||||||||
ES | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
ND | S | S | S | S | S | S | S | S | S | S | - | - | - | - | - | - | - | - | L | L | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
YM | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
FX | ||||||||||||||||||||||||||||||
EU | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
JY | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
BP | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
CD | S | S | - | - | - | - | - | S | - | - | - | - | - | - | - | - | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
AD | S | S | S | - | S | S | S | S | S | - | - | - | - | - | - | - | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
METALS | ||||||||||||||||||||||||||||||
GC | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
SI | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
HG | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
ENERGY | ||||||||||||||||||||||||||||||
CL | - | S | - | - | - | - | - | S | S | - | - | - | - | - | - | - | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
HO | - | S | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
RB | 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 | - | - | - | - | - | - | - | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
GRAINS | ||||||||||||||||||||||||||||||
C | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
W | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
BO | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
SOFTS | ||||||||||||||||||||||||||||||
KC | - | - | - | - | - | S | S | S | S | S | - | - | - | - | - | - | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
SB | S | S | - | - | - | - | - | - | - | - | - | - | - | - | S | S | S | S | S | S | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
CC | S | S | - | - | - | - | - | S | - | - | - | - | - | - | - | - | - | - | - | - | ![]() |
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 | - | - | - | - | - | - | - | - | - | - | - | - | - | - | L | L | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
LH | - | - | L | L | - | - | - | - | - | - | - | L | L | L | L | - | - | L | L | L | ![]() |
SUBSCRIBERS ONLY | ![]() |