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.
TRADE DATE | 12 12 |
12 13 |
12 16 |
12 17 |
12 18 |
12 19 |
12 20 |
12 23 |
12 24 |
12 26 |
12 27 |
12 30 |
12 31 |
01 02 |
01 03 |
01 06 |
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 24 |
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 | S | S | S | SUBSCRIBERS ONLY | |||||||||
FV | - | - | - | - | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | SUBSCRIBERS ONLY | |||||||||
TU | - | - | - | - | S | S | - | - | - | S | S | - | - | - | - | - | - | - | - | S | SUBSCRIBERS ONLY | |||||||||
EQUITIES | ||||||||||||||||||||||||||||||
ES | L | L | L | L | L | L | - | - | - | - | - | - | - | - | - | - | - | - | - | S | SUBSCRIBERS ONLY | |||||||||
ND | L | L | L | L | L | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | SUBSCRIBERS ONLY | |||||||||
YM | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | S | SUBSCRIBERS ONLY | |||||||||
ER | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | 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 | 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 | S | S | S | S | S | S | S | S | SUBSCRIBERS ONLY | |||||||||
METALS | ||||||||||||||||||||||||||||||
GC | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | SUBSCRIBERS ONLY | |||||||||
SI | - | - | - | - | - | 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 | - | L | SUBSCRIBERS ONLY | |||||||||
ENERGY | ||||||||||||||||||||||||||||||
CL | - | - | - | - | - | - | - | - | - | - | - | - | - | L | L | L | L | L | L | L | SUBSCRIBERS ONLY | |||||||||
HO | - | - | - | - | - | - | - | - | - | - | - | - | - | L | L | L | L | L | L | L | SUBSCRIBERS ONLY | |||||||||
RB | - | - | - | - | - | - | - | - | - | - | - | - | - | L | L | L | L | L | L | L | SUBSCRIBERS ONLY | |||||||||
NG | - | - | - | - | - | - | - | - | - | - | - | L | - | - | - | - | - | - | - | L | SUBSCRIBERS ONLY | |||||||||
GRAINS | ||||||||||||||||||||||||||||||
C | L | - | - | - | - | - | - | - | - | L | L | L | L | L | L | L | L | L | L | L | SUBSCRIBERS ONLY | |||||||||
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 | - | - | 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 | 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 | SUBSCRIBERS ONLY | |||||||||
LH | L | L | L | L | L | L | L | L | L | L | L | S | S | S | S | S | S | S | S | S | SUBSCRIBERS ONLY |