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 | 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 | ![]() |