Systematic Multi-Strategy. Commodities/Financials Diversified.
Australia
Joined July 2014
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I already got hosed on the BRL, ouch!
Never liked forex, but system's better with them than without.
Busy day for CME there xitter.cf/CMEGroup/status/211466…
Approximately $2.4bn notional of our BRL futures have already traded today following the Brazilian election overnight, a new record for APAC hours.
Our futures are fast becoming the main venue globally for price discovery and risk management in the Brazilian Real outside of onshore hours.
Liquidity that matters, when it matters most.
One thing I found analysing the biggest intraday loss days is that for long term trend systems the downward movement is almost always a give-back of recent open profits. So the account margin simulation was flush with cash (if futures), and extra free margin at the time of the drop.
It does mean that we shouldn't withdraw after a big unrealised gain though. I'd wait for the exits of big positions or scale down when withdrawing.
For me big backtest loss days are always from futures positions (eg 2022 energies), except for the famous 2010 flash crash that was a short sharp move down in stocks.
I suspect those trading stocks for momentum might find similar givebacks on the biggest days (depending on allocation).
Speaking of big moves like yesterday, some newer stats for Realtest that show single day risk in a better way than MAE (from v32.4)
Green line looks smooth enough, but calculating Sharpe on daily settlements is hiding that sometimes we suffer big intraday vol like yesterday. Commodities & Financials reversing at the same time, longs down, shorts up.
My phone woke me up with an alert, but there was nothing to do but wait and see. That kind of alert is just in case I've underestimated my margin buffer and need to move some cash around.
My trading system is return stacking and should be kind of correlated to a combination of RSST + RSSY (Trend + Carry + 75% Stocks + 25% Tbills).
Difference is my Universe, no replication, more smaller futures strategies, and my equities layer is active trading not passive.
Good products for retirement accounts but I'd prefer higher vol and an internal ensemble of trend + carry for more efficiency. youtu.be/m1NYOn_03E0?si=mRr2…
The trend that doesn't end, TSR20 Rubber.
Slow Mean Reversion and Carry also came along for the ride buying dips on this one, while the original 2025-07 position is still holding on.
This kind of trade can make up for over 10 losing trades.
I don't do options, but this is nice coming from someone that actually knows what they are doing (also wrote a good book).
Another example why you don't need to pay the Furus for "secrets", just put in screen time and learn.
Excited to announce Options 101!
It's a site that provides free, no-ads, no-shill education on financial options (calls + puts).
The first course is one I'm now teaching this fall at Charles University in Prague. Lecture notes, videos, assignments.
options-101.com/
September was all in the first 10 days, 1%/day is all you need right?
August - after 3 stale months finally had a good one, my best systematic month actually. For some reason August is always good, last year came off a DD.
Can't control the market, can only control myself so I just spent the flat months working on improvements so that the system would be ready when the trends came. Made a bunch of changes, too many to list.
Also some new dynamic reports that help me figure out performance attribution for date ranges without needing to manually work with data.
Productivity is higher than ever. My need for a rest is also. Next week is always going to be the week I stop working on the system and take some time off.. but next week keeps getting moved to the week after!
Going back a lot of years, hard to fit them all into just 9..
All PC "IBM Compatible" as they were called back in the 90s.
If you're benchmarking against S&P, then investing in stocks is what you'd need to do to track it and SocGen is not where you'd look for managers to give you that beta.
CTAs are selling a lego block for portfolio building, and part of the reason CAGR is so low is that allocators keep rewarding funds that are low vol with more allocations. So the vol and return keeps getting lower and lower.
But it's not just vol, CTAs do things in a way to maximise capacity. Which means stock indices actually get an over-allocation because they're extremely liquid. As do fixed income and currencies. But trend tends to buy indices too late, sells too late, and only gets a portion of the middle. Indices don't produce enough convexity or outliers to make up for that when compared to something like commodities. If they have non-trend strategies they can get a bit more out of indices.
When I say indices, it's global - Europe, Asia, ASX, everywhere that has a futures contract. So comparing just the S&P/Qs might look better than those if using recency bias in a backtest.
And this is just my retail trader/allocator opinion of course, and I'm less an allocator and more a trader these days:
xitter.cf/Dan_Trend/status/19952…
Trend-following funds have delivered mediocre returns, but why?
Societe Generale, the French bank, collects performance data on CTAs (Commodity Trading Advisors). See next post for the link to the live data.
The most interesting data is the SG Trend Index, which is the average performance of the top 10 largest pure trend-following CTA funds.
From January 2000 to August 2026, the SG Trend Index returned 336% in total, or 5.7%/year. The period between 2000 and 2009 was particularly beneficial for trend-followers, as equities underperformed and commodities rallied.
And yet, trend-following CTAs still underperformed the S&P 500. Those from the industry like to talk about negative correlations and positive skew, but overall performance still matters.
For reference, a simple buy/hold portfolio (TiltFolio Balanced) delivered total returns of 660% or 7.4% over the same period. And this period included the worst drawdown for TiltFolio Balanced ever, i.e. the 2022 bond bear market.
On the TiltFolio blog, I've published some theories as to why trend-following funds haven't delivered higher returns. My main hunch is that they underinvested in stocks.
Some old discussion
xitter.cf/Dan_Trend/status/19952…
Some commodities vs stocks arguments. We all have our biases though, I think they're both good to trade but in different ways.
Some downsides to that argument:
1. You can't leverage heavily into stocks, because they all fall together. Commodities have lower correlations so you can take on more risk at once.
2. You qualified the stock selection in order to see those results, out of thousands to choose from it's not trivial to get the selection right. For commodity futures you can realistically take every trade and not be forced to choose from thousands.
3. Usually limited to bull markets. Even if you want to short, there's many problems shorting stocks. Futures have equal longs and shorts with no limitations. Some cluster, but usually there's at least some good markets somewhere.
As an example TTF natural gas might have only gone up 150% since March, but I didn't commit the full notional value to the position, just a fraction of that as margin. Cocoa is a more extreme example in 2023-2024. Sure stocks can use margin too, but doing that on multiple positions is like the same bet repeated as soon as the index takes a downturn.
While some commodities (eg Lumber) fell to lows, it didn't affect those that were in a bullish phase. If these positions were stocks, they'd mostly lose at the same time.
What you say is true if you only want to pick one trade. It's also true about exponential potential, but so is buying lottery tickets.
If you trade more than one thing at once though, sticking to just stocks is severely limiting yourself.
There's some value in specialisation, but it's good to know the trade-offs.
Competitions look useful to build a record, but being based on % not Sortino they can psychologically push you into leverage/risk you wouldn't normally take.
USIC has a +$1m division which can reduce the desire to go nuts for your competitors, but % still not the ideal metric.
That is the problem with these challenges. They really have very high survivorship bias, and beginners get the impression that 80% after a few months is the norm. They do not see the volatility that is used to produce the results and the fact that these people usually blow the account just a few months later.