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 | 03 14 |
03 17 |
03 18 |
03 19 |
03 20 |
03 21 |
03 24 |
03 25 |
03 26 |
03 27 |
03 28 |
03 31 |
04 01 |
04 02 |
04 03 |
04 04 |
04 07 |
04 08 |
04 09 |
04 10 |
04 11 |
04 14 |
04 15 |
04 16 |
04 17 |
04 21 |
04 22 |
04 23 |
04 24 |
04 24 |
FIXED INCOME | ||||||||||||||||||||||||||||||
US | L | L | L | L | L | L | L | - | - | - | - | - | - | - | L | L | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
TY | L | L | L | L | L | L | L | L | L | - | - | - | - | - | L | L | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
FV | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
TU | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
EQUITIES | ||||||||||||||||||||||||||||||
ES | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
ND | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
YM | S | S | S | S | S | S | - | - | - | - | - | - | - | - | S | S | S | S | S | S | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
ER | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
FX | ||||||||||||||||||||||||||||||
EU | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
JY | L | L | L | L | L | L | L | L | L | - | - | - | - | - | L | L | L | L | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
BP | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | - | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
CD | - | - | - | - | - | - | - | - | - | - | - | - | - | - | L | - | - | - | - | L | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
AD | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | S | S | S | S | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
METALS | ||||||||||||||||||||||||||||||
GC | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
SI | L | L | L | L | L | - | - | - | - | L | L | - | - | - | - | S | S | S | S | S | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
HG | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | S | S | S | S | S | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
ENERGY | ||||||||||||||||||||||||||||||
CL | S | S | S | S | S | S | S | S | - | - | - | - | - | - | - | S | S | S | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
HO | S | S | S | S | S | S | S | S | - | - | - | - | - | - | - | S | S | S | S | S | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
RB | S | S | S | S | S | S | S | S | - | - | - | - | - | - | - | S | S | S | S | S | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
NG | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
GRAINS | ||||||||||||||||||||||||||||||
C | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
S | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | S | S | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
W | - | - | - | - | - | - | - | - | - | S | S | S | S | S | S | S | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
BO | 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 | - | S | S | S | S | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
SB | - | - | L | L | L | L | - | - | - | - | - | - | - | - | - | - | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
CC | S | S | S | S | S | S | S | S | S | S | S | S | S | - | - | - | - | S | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
CT | S | S | S | S | S | S | S | S | S | S | S | S | - | - | - | - | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
LIVESTOCK | ||||||||||||||||||||||||||||||
LC | - | - | - | L | L | L | L | - | - | - | - | - | - | L | - | - | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
LH | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | S | S | S | S | S | ![]() |
SUBSCRIBERS ONLY | ![]() |