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 | 04 19 |
04 20 |
04 21 |
04 22 |
04 25 |
04 26 |
04 27 |
04 28 |
04 29 |
05 02 |
05 03 |
05 04 |
05 05 |
05 06 |
05 09 |
05 10 |
05 11 |
05 12 |
05 13 |
05 16 |
05 17 |
05 18 |
05 19 |
05 20 |
05 23 |
05 24 |
05 25 |
05 26 |
05 27 |
05 27 |
FIXED INCOME | ||||||||||||||||||||||||||||||
US | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
TY | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
FV | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
TU | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
EQUITIES | ||||||||||||||||||||||||||||||
ES | - | - | - | - | - | - | - | - | S | S | S | - | - | - | S | S | S | S | S | S | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
ND | - | - | - | - | - | - | - | - | - | S | S | - | S | S | S | S | S | S | S | S | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
YM | - | - | - | - | - | - | - | - | - | - | - | - | - | - | S | S | S | S | S | S | ![]() |
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 | S | S | S | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
BP | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
CD | - | - | - | - | - | - | - | - | - | S | S | - | - | - | S | S | S | S | S | S | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
AD | - | - | - | - | S | S | S | S | S | 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 | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
SI | - | - | - | - | 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 | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
ENERGY | ||||||||||||||||||||||||||||||
CL | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
HO | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
RB | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
NG | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
GRAINS | ||||||||||||||||||||||||||||||
C | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
S | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
W | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
BO | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
SOFTS | ||||||||||||||||||||||||||||||
KC | - | - | - | - | - | - | - | - | - | - | - | - | - | - | S | S | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
SB | L | L | L | - | - | - | - | - | - | - | - | - | - | - | - | - | - | S | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
CC | - | - | - | - | S | S | - | - | - | - | - | - | - | S | S | S | S | S | S | S | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
CT | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
LIVESTOCK | ||||||||||||||||||||||||||||||
LC | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
LH | - | - | - | - | - | - | - | S | S | S | S | S | S | S | S | S | S | S | S | S | ![]() |
SUBSCRIBERS ONLY | ![]() |