DIVERSIFIED FUTURES PORTFOLIO

THIS IS NOT INVESTMENT ADVICE AND IS FOR INFORMATIONAL AND EDUCATIONAL PURPOSES ONLY.

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
15
12
16
12
19
12
20
12
21
12
22
12
23
12
27
12
28
12
29
12
30
01
03
01
04
01
05
01
06
01
09
01
10
01
11
01
12
01
13
01
17
01
18
01
19
01
20
01
23
01
24
01
25
01
26
01
27
01
27
FIXED INCOME
US L L L L L L L - - - - - - - - - - - - - SUBSCRIBERS ONLY
TY L L L L L L - - - - - - - - - - - - - - SUBSCRIBERS ONLY
FV L L L L L L - - - - - - - - - - - - L L SUBSCRIBERS ONLY
TU - - - - - - - - - - - - - - - - - - - - SUBSCRIBERS ONLY
EQUITIES
ES - - - - - - - - - - - - - - - - - - - - SUBSCRIBERS ONLY
ND - - - - - - - - - - - - - - - - - - - - SUBSCRIBERS ONLY
YM - - - - - - - - - - - - - - - - - - - - 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 - - - - - - - - - SUBSCRIBERS ONLY
CD - - - - - - - - - - - - - - - - - - - - SUBSCRIBERS ONLY
AD - - - - - - - - - - - - - - - L L L L L 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 L L L L L L L L L L L L L SUBSCRIBERS ONLY
HG - - - - - - - - - - - - - - - L L L L L SUBSCRIBERS ONLY
ENERGY
CL - - - - - - - - - - - - - - - - - - - - SUBSCRIBERS ONLY
HO - - - - - - - - - - - - - - - - - - - - SUBSCRIBERS ONLY
RB S S S S S S - - - - - - - - - - - - - L SUBSCRIBERS ONLY
NG - - - S S S S S S S S S S S S S S S S S SUBSCRIBERS ONLY
GRAINS
C S S S S S - - - - - - - - - - - - - - - SUBSCRIBERS ONLY
S L L L L 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 S - - - - - - S S - - SUBSCRIBERS ONLY
BO - - - - - - - - - - - - - - - - - - - - SUBSCRIBERS ONLY
SOFTS
KC S S S S S S S S - - - - - - - - S S S S SUBSCRIBERS ONLY
SB L L L L L L L L L L L L 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 - - - - - - - - - - - - - - - - - - - - SUBSCRIBERS ONLY
LIVESTOCK
LC - - - - L L L L L L L L L L L L L L L L SUBSCRIBERS ONLY
LH S - - - - - - - - - - - - - S S S S S S SUBSCRIBERS ONLY