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 | 01 07 |
01 08 |
01 09 |
01 10 |
01 13 |
01 14 |
01 15 |
01 16 |
01 17 |
01 21 |
01 22 |
01 23 |
01 24 |
01 27 |
01 28 |
01 29 |
01 30 |
01 31 |
02 03 |
02 04 |
02 05 |
02 06 |
02 07 |
02 10 |
02 11 |
02 12 |
02 13 |
02 14 |
02 18 |
02 18 |
FIXED INCOME | ||||||||||||||||||||||||||||||
US | 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 | - | - | - | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
FV | S | S | S | S | S | S | S | S | S | S | S | S | S | - | - | - | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
TU | - | - | - | S | S | S | - | - | - | - | - | - | - | - | - | - | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
EQUITIES | ||||||||||||||||||||||||||||||
ES | - | - | - | S | S | S | - | - | - | - | - | - | - | - | - | - | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
ND | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
YM | - | - | - | S | S | S | - | - | - | - | - | - | - | - | - | - | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
ER | - | - | - | S | S | S | - | - | - | - | - | - | - | - | - | - | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
FX | ||||||||||||||||||||||||||||||
EU | 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 | - | - | - | - | - | - | - | ![]() |
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 | S | S | S | S | S | S | S | S | S | S | S | S | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
AD | S | S | S | S | S | S | S | S | S | S | S | S | - | - | - | - | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
METALS | ||||||||||||||||||||||||||||||
GC | - | - | - | - | - | - | - | - | - | L | L | L | L | L | L | L | L | L | L | L | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
SI | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
HG | S | S | - | L | L | L | L | L | L | L | L | - | - | - | - | - | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
ENERGY | ||||||||||||||||||||||||||||||
CL | 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 | - | - | - | - | - | - | - | ![]() |
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 | - | - | - | - | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
W | S | S | S | S | S | S | S | S | S | - | - | - | - | - | - | - | L | - | L | L | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
BO | S | S | - | - | - | - | L | - | - | - | - | - | - | - | - | - | - | - | L | - | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
SOFTS | ||||||||||||||||||||||||||||||
KC | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
SB | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | ![]() |
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 | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | ![]() |
SUBSCRIBERS ONLY | ![]() | |||||||
LH | S | S | S | S | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | ![]() |
SUBSCRIBERS ONLY | ![]() |