“Regime transitions are rarely gentle. The portfolio absorbs the shock, releases the risk, and prepares for what comes next.”
About the ATS Classic Trend Benchmarking Portfolio
The ATS Classic Trend Portfolio is a purpose-built benchmarking model designed to illustrate how classic trend following systems are expected to behave across global futures markets. It is not a live trading program, but a reference framework that captures the essential mechanics of medium to long term trend logic: cut losses short, let profits run, and remain systematic.
The portfolio applies a 10-system ensemble operating fully out of sample across 68 highly liquid futures markets. It does not employ volatility targeting or dynamic position sizing, allowing performance to reflect the raw behaviour of diversified trend systems rather than the influence of risk overlays.
Commentary
March 2026 delivered the most challenging month since tracking began. The ATS Classic Benchmark declined -11.55%, reducing year-to-date performance from +21.83% to +10.28%. After two consecutive months above nine percent, the reversal was swift and comprehensive.
The defining feature of March was synchronised selling across asset classes. Gold, equities, bonds, and currencies all declined in unison as geopolitical developments triggered a sharp regime transition in global markets. This was not a gradual rotation but a sudden repricing of risk across multiple sectors simultaneously. As explored in our Fractals of Finance research, such synchronised moves are characteristic of regime transitions, where the fractal structure of markets aligns selling pressure across seemingly unrelated instruments.
Gold, the portfolio’s cornerstone, reversed sharply from its highs near 5700, falling back toward the 4900 level. The precious metals complex followed in sympathy, with platinum, palladium, and tin all suffering significant drawdowns. Equities collapsed across nearly every region, led by sharp declines in European and Japanese indices. The breadth of the decline reflected the interconnected nature of global risk sentiment during periods of geopolitical stress.
Energy emerged as the sole bright spot, delivering an extraordinary +14.55% sector contribution. Heating oil led with +6.59%, followed by crude WTI at +3.48%, gasoline at +2.53%, and Brent crude at +1.95%. The energy complex’s explosive move represented one of the largest single-sector monthly contributions in the portfolio’s history. However, even this exceptional performance could not offset the breadth of synchronised selling elsewhere.
Currencies and bonds added further drag, declining -2.70% and -3.22% respectively. The only other positive sectors were grains at +0.52% and meats at +0.29%, modest contributions that could not move the needle against the scale of reversals in metals and equities.
While the drawdown was significant, there is an important silver lining that distinguishes trend following from static approaches like buy and hold. The systematic exits triggered throughout March served as release valves, reducing the portfolio’s risk exposure as trends broke down. A buy and hold approach carries no such mechanism, it simply absorbs losses while maintaining full exposure, hoping for eventual recovery. Trend following, by contrast, actively de-risks during adverse conditions. The positions that caused March’s losses have largely been exited or reduced, meaning the portfolio enters April with a fundamentally different risk profile than it carried at the start of March.
Performance Snapshot
Monthly Return (MTD): -11.55%
YTD Performance: +10.28%
Attribution Highlights
Top Contributors – March
Heating Oil (+6.59%)
Heating oil was the standout performer for March, delivering an exceptional +6.59% contribution. The contract surged from around 5.00 to above 6.40, a move of nearly 30% that the system captured through sustained long exposure. This represents one of the largest single-instrument monthly contributions since tracking began. Year-to-date attribution now stands at +7.32%.
Crude WTI (+3.48%)
Crude oil contributed +3.48% as the energy rally extended across the complex. The contract pushed decisively higher through March, breaking out of the consolidation that had characterised late 2025 and early 2026. Year-to-date contribution has reached +3.70%, transforming energy from a persistent drag into the portfolio’s leading sector.
Gasoline (+2.53%)
Gasoline added +2.53% for the month, reinforcing the broad-based nature of the energy surge. The refined products led the complex, with gasoline’s contribution lifting its year-to-date to +2.68%. The sector’s synchronised advance across crude and products suggests a structural shift rather than isolated volatility.
Bottom Contributors – March
Gold (-3.41%)
Gold was the largest detractor for March, reversing sharply from the highs that had defined the 2026 rally. The contract fell from near 5700 to approximately 4900, a decline of over 14% from peak levels. The -3.41% attribution erased more than half of the year-to-date gains accumulated through February, reducing the YTD contribution to +1.77%. This reversal marks the end of the dominant trend that had carried the portfolio since late 2025.
Platinum (-2.23%)
Platinum was the second worst contributor, declining -2.23% as the precious metals complex unwound in unison. After contributing strongly through January and February, the contract reversed course decisively. Year-to-date contribution has shifted to -0.91%, erasing all prior gains and moving into negative territory.
Tin (-1.79%)
Tin detracted -1.79% for the month, completing the reversal of the metals complex. After being a top contributor in January, the contract gave back gains as the broader synchronised selling swept through industrial and precious metals alike. Year-to-date contribution has fallen to +0.50%.
Trend Spotlights
Top Monthly Performer – Heating Oil (HO)
Heating oil’s March performance stands as one of the most powerful single-instrument moves captured by the portfolio. The contract rallied from approximately 5.00 to above 6.40, an advance of nearly 30% in a single month. The move was persistent and technically clean, allowing the system to remain fully engaged throughout. While metals and equities collapsed, energy provided a counterweight that prevented an even deeper drawdown. The long-term chart shows a decisive breakout from the sideways consolidation of late 2025, suggesting potential for continued trend development.
Notable Performer – Crude WTI (CL)
Crude oil delivered a powerful move in March, contributing +3.48% as the energy complex surged. The contract broke out of a multi-month base, pushing through resistance levels that had capped prices since late 2025. The advance was accompanied by similar moves in Brent, gasoline, and heating oil, suggesting a coordinated sector-wide regime change. Whether this represents the beginning of a sustained energy trend or a volatile spike remains to be seen, but the portfolio captured the initial phase effectively.
Notable Reversal – Gold (GC)
Gold’s March reversal marked a decisive end to the dominant trend of 2026. After pushing to new highs above 5700 in February, the contract fell sharply through March, declining over 14% to approximately 4900. The move triggered systematic exits as trailing stops were breached. The -3.41% attribution represents the largest single-instrument loss since tracking began, yet it also demonstrates the value of disciplined exits. Without systematic risk management, losses could have been substantially larger. Gold’s year-to-date contribution remains positive at +1.77%, a reminder that the trend delivered meaningful gains before reversing.
Sector Rundown
Energy: Energy was the standout sector, delivering an extraordinary +14.55% MTD and lifting year-to-date contribution to +15.63%. Heating oil, crude WTI, gasoline, and Brent crude all contributed significantly. This represents one of the largest sector monthly contributions in portfolio history. Energy has transformed from a persistent drag in 2025 to the portfolio’s leading sector in 2026.
Metals: Metals reversed sharply, declining -8.77% MTD but remaining positive year-to-date at +2.39%. Gold, platinum, palladium, and tin all suffered significant drawdowns. Only aluminium provided positive contribution within the complex. The sector that defined the first two months of 2026 became March’s largest source of losses.
Equities: Equities collapsed -10.64% MTD, pushing year-to-date contribution to -4.67%. Losses were widespread across regions, with the Nikkei 225, CAC 40, Euro Stoxx 50, and FTSE 100 among the largest detractors. The S&P 500 and NASDAQ 100 also contributed negatively. Only the Nifty 50 and China Index added marginally. The equity reversal was as comprehensive as the prior advance.
Bonds: Bonds declined -3.22% MTD, with year-to-date at -2.55%. Long gilt, US 10-year T-Note, and US T-Bond were among the largest detractors. Australian 10-year and Euro Bund 10-year provided modest positive offset. Rate markets remain structurally challenging for trend systems.
Currencies: Currencies declined -2.70% MTD, reducing year-to-date to +0.20%. The Swiss franc, Australian dollar, and euro were the primary detractors. Only the Japanese yen provided meaningful positive contribution. The sector that had shown promise in January and February gave back most of its gains.
Softs: Soft commodities declined -1.59% MTD, pushing year-to-date to -1.28%. Rubber and white sugar were the largest detractors, while cocoa provided modest offset. The sector remains without clear directional conviction.
Grains: Grains contributed +0.52% MTD, bringing year-to-date to +0.07%. Soybean oil led with +0.92%, while canola and rough rice also added positively. Corn, wheat, and soybean meal detracted. The sector provided modest relief amid broader losses.
Meats: Meats added +0.29% MTD, with year-to-date at +0.49%. Feeder cattle and live cattle contributed positively, while lean hogs detracted. The sector remains relatively stable without major trend development.
Monthly Wrap
March 2026 delivered the most significant drawdown since the ATS Classic Benchmark began tracking. The portfolio declined -11.55%, reducing year-to-date performance from +21.83% to +10.28%. After the exceptional start to the year, March provided a stark reminder of the volatility inherent in trend following.
The month’s losses were driven by synchronised selling across asset classes as geopolitical developments triggered a sharp regime transition. Gold, equities, bonds, and currencies all declined together, not through gradual rotation but through simultaneous repricing. This pattern, consistent with the fractal dynamics explored in our Fractals of Finance research, reflects how regime transitions propagate across markets with remarkable speed.
These drawdown events are an inevitable feature of sharp regime transitions. When the fundamental drivers of markets shift suddenly, as they did in March with geopolitical developments, it takes time for the portfolio to adjust and adapt to new conditions. Trends that were valid under the prior regime break down, triggering exits. New trends begin to form, but require time to develop sufficient structure for systematic entry. The transition period between regimes is inherently challenging.
Energy’s extraordinary performance deserves particular attention. The +14.55% sector contribution, led by heating oil’s +6.59%, represents one of the largest monthly sector gains in portfolio history. Yet even this exceptional move could not offset the breadth of synchronised selling elsewhere. When six of eight sectors decline simultaneously, even a historic rally in one sector cannot prevent a negative month.
Critically, the drawdown has served its function as a risk release mechanism. Unlike buy and hold approaches that maintain exposure through adverse conditions, trend following actively de-risks as structure breaks. The positions that caused March’s losses have been systematically reduced or exited. The portfolio enters April carrying fundamentally less risk than it held at the start of March. This is the hidden benefit of trend following drawdowns, they are not merely losses, but active risk management events that prepare the portfolio for what comes next.
Despite the severity of the drawdown, the portfolio remains positive for 2026 at +10.28%. The gains accumulated through January and February provided a cushion that absorbed March’s losses. This is the value of capturing trends when they emerge, the profits provide resilience for the inevitable regime transitions.
Looking Ahead
As the portfolio enters April, the landscape has shifted dramatically. Gold’s trend, which had been the defining feature of 2026, has broken. Equities, which provided diversification through February, have reversed across nearly all regions. The opportunity set has narrowed even as energy has emerged with force.
The portfolio now sits in a period of adjustment, adapting to the new regime that emerged from March’s geopolitical developments. Some positions have been exited; others have been reduced. Risk has been released. This de-risked state is appropriate given the uncertainty that accompanies regime transitions.
Energy represents the portfolio’s most significant current structural theme. Whether the March surge represents the beginning of a sustained trend or a volatile spike will determine much of April’s outcome. The breadth of the move across crude, heating oil, gasoline, and Brent suggests underlying strength, but trend systems cannot predict, they can only respond.
Metals and equities will require time to rebuild structure after March’s reversals. Some contracts may re-establish trends quickly; others may enter extended consolidation. The ensemble’s task is to remain present and responsive, allowing new trends to develop naturally without forcing participation.
For classic trend followers, March reinforced an essential truth: drawdowns during regime transitions are not failures of the system but features of it. The same systematic approach that captured +21.83% through February released risk and reduced exposure when structure broke in March. The discipline is to trust this process through both phases.
The portfolio enters April with a +10.28% year-to-date gain, reduced risk exposure, and a clearer understanding of where current opportunity resides. Energy has announced itself. The task now is to remain aligned with emerging structure while the portfolio completes its adaptation to the new regime.
Want to understand how trends form?
The Fractals of Finance: Determinism, Adaptation and the Geometry of Markets
The book explores the full architecture of feedback, fat tails, and fractal structure in financial markets, and what it means for how we trade, invest, and understand risk.
Available now on Amazon in paperback, hardcover, and Kindle.
Want a practical field manual for trading trends and capturing outliers?
The Aussie Turtles Trend Following Guide: A Field Manual for Hunting Outliers adapts the timeless principles of the original Turtle traders into a systematic, rules-based approach for modern markets. Co-authored with Adam Havryliv.
Available now on Amazon in paperback, hardcover, and Kindle.