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 | 10 23 |
10 24 |
10 25 |
10 28 |
10 29 |
10 30 |
10 31 |
11 01 |
11 04 |
11 05 |
11 06 |
11 07 |
11 08 |
11 11 |
11 12 |
11 13 |
11 14 |
11 15 |
11 18 |
11 19 |
11 20 |
11 21 |
11 22 |
11 25 |
11 26 |
11 27 |
11 29 |
12 02 |
12 03 |
12 03 |
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 | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | SUBSCRIBERS ONLY | |||||||||
ND | - | - | L | L | L | L | - | - | - | - | L | L | L | L | L | L | L | - | - | - | SUBSCRIBERS ONLY | |||||||||
YM | L | L | L | L | L | L | - | - | - | - | L | L | L | L | L | L | L | L | L | - | 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 | 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 | SUBSCRIBERS ONLY | |||||||||
METALS | ||||||||||||||||||||||||||||||
GC | L | L | L | L | L | L | L | L | L | L | L | L | L | - | - | - | S | S | - | - | SUBSCRIBERS ONLY | |||||||||
SI | L | L | L | L | L | L | L | L | L | L | - | - | - | - | - | - | S | S | - | - | SUBSCRIBERS ONLY | |||||||||
HG | L | L | L | L | L | L | L | L | L | L | - | - | - | - | S | S | S | S | S | S | SUBSCRIBERS ONLY | |||||||||
ENERGY | ||||||||||||||||||||||||||||||
CL | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | SUBSCRIBERS ONLY | |||||||||
HO | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | SUBSCRIBERS ONLY | |||||||||
RB | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | SUBSCRIBERS ONLY | |||||||||
NG | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | S | SUBSCRIBERS ONLY | |||||||||
GRAINS | ||||||||||||||||||||||||||||||
C | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | SUBSCRIBERS ONLY | |||||||||
S | - | - | - | - | S | S | - | - | - | - | - | - | - | - | - | - | - | - | - | - | SUBSCRIBERS ONLY | |||||||||
W | - | - | - | - | - | - | - | - | - | - | - | - | - | S | S | S | S | S | S | S | SUBSCRIBERS ONLY | |||||||||
BO | - | - | - | - | - | - | L | L | L | L | L | L | L | L | L | L | L | L | L | L | SUBSCRIBERS ONLY | |||||||||
SOFTS | ||||||||||||||||||||||||||||||
KC | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | L | L | L | L | SUBSCRIBERS ONLY | |||||||||
SB | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | SUBSCRIBERS ONLY | |||||||||
CC | - | S | S | S | - | - | - | - | - | - | - | - | - | - | L | L | L | L | L | L | SUBSCRIBERS ONLY | |||||||||
CT | - | - | - | - | - | - | - | - | - | - | - | - | - | - | S | S | S | S | S | S | SUBSCRIBERS ONLY | |||||||||
LIVESTOCK | ||||||||||||||||||||||||||||||
LC | L | L | L | L | L | L | L | - | - | - | - | - | - | - | - | - | - | - | - | - | SUBSCRIBERS ONLY | |||||||||
LH | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | L | SUBSCRIBERS ONLY |