Continuous Futures Trend

The rules

Diversified long/short trend across index, rates, energy, metals and grains, inverse-volatility weighted.

Universe

MES, MNQ, ZN, CL, GC and ZC continuous futures

Bars

daily

Position size

Inverse-vol

Rebalance

month-end

Results

Rebuild it in Orbital

Paste this into Orbital Chat. The Strategy Developer builds the workflow and asks before it runs any backtest.

Closest Orbital version: SPY, QQQ, IEF, USO, GLD and CORN stand in for the micro S&P 500, micro Nasdaq-100, 10-year Treasury, crude oil, gold and corn futures, and the 252-day SMA needs a year of history, which Orbital's data first has in January 2017, so the first two months of the ten-year window are in cash. Each position is sized once, at entry, from its own volatility, so everything is closed each month and reopened a day later and the total floats instead of staying at 100%; in the calmest months it can need more than a margin account's 200% of equity, and the order past that limit is refused.

Trade SPY, QQQ, IEF, USO, GLD and CORN on daily bars. On the first trading day of each month, close every position, and the next day go long each ETF whose 63-day SMA is above its 252-day SMA and short each whose 63-day SMA is below it. Size each position by its annualized volatility, the standard deviation of its last 63 daily returns times the square root of 252: 25% of equity for an ETF at 10% volatility, scaled inversely (12.5% at 20%, 50% at 5%), between 1% and 100% of equity. Use a margin account so it can sell short and hold more than 100% in total. Backtest from March 1, 2017 to October 30, 2026 with $100,000.

Why it was not re-tested

Futures. Orbital's backtester covers US stocks and ETFs.

Sources