About This Report
The ATS Classic Trend Benchmarking Portfolio is a systematic, fully rules-based trend-following model maintained by ATS Trading Solutions. It runs a ten-system ensemble across a diversified universe of 68 futures markets spanning eight sectors: equity indices, currencies, bonds, energies, grains, softs, meats and metals. The model carries no discretionary overlay. Entries, exits and position sizing are governed entirely by its trend signals.
The report is published in the first trading days after each month-end as a fast, factual read on the prior month for classic trend followers. It documents the model’s performance, decomposes the result by sector and by market, and sets the numbers against the month’s market backdrop. The aim is a clean leading indicator of what the trend-following environment delivered, and what it may be signalling next.
Commentary: A Month the Hormuz Cycle Owned
May delivered a net result of -2.92%, the model’s second negative month of 2026 and a give-back of a little under a tenth of the cumulative gain it had run to by the end of April. The year-to-date figure stands at +20.11%, and the portfolio finished the month roughly 2.2% below its all-time high. Where March’s -11.55% was a synchronised selloff across assets during a sharp regime transition, May was a different and far more contained event: a single-sector reversal in Energy, set against gains almost everywhere the model was positioned long elsewhere.
The month belonged to one story, the conflict around Iran and the Strait of Hormuz and the on-again, off-again diplomacy surrounding it. The petroleum complex, which had trended cleanly higher through the spring and carried Brent toward 138 dollars in April, was pushed through four direction changes in five weeks. The first week extended the rally; the second reversed hard on a de-escalation framework; the third surged again as the posture toward Tehran hardened and a hawkish inflation shock landed; the fourth reversed once more as strikes were called off; and the final week saw the war-supply premium drain out, carrying Brent back toward 92 dollars. For a complex that normally produces clean multi-week trends, this was a conversion to two-way, headline-driven volatility.
For the ATS Classic systems, this is the textbook signature of a trend in transition. As the energy uptrend fractured into headline-driven chop, the ensemble pared its long petroleum exposure rather than riding the round trip in full. The four largest single detractors of the month, Heating Oil, Crude Oil WTI, Gasoline RBOB and Brent Crude, are precisely the markets where a clean multi-month trend reversed inside the month. A passive holder of the energy complex absorbed the entire path from the April peak back toward the lows; the systematic mechanism released risk into the reversal. That active de-risking is the structural difference between a trend-following allocation and static long exposure, and it shows up most clearly in exactly the months that feel uncomfortable.
The cushion came from the markets that kept trending. Equity indices contributed +3.17%, the single largest positive sector, as the AI-led megacap advance compounded through the month: the S&P 500 closed higher for a ninth consecutive week, and the Nasdaq 100 and Nikkei 225 printed fresh records into month-end. Industrial metals held their long uptrends, with Aluminium, Tin and Zinc carrying the Metals sector to +1.50% even as the precious complex took a hawkish-Fed knock mid-month. This is the entire point of an eight-sector, ten-system design: when one complex reverses, the others are rarely reversing with it. The result was a modest give-back rather than a drawdown.
The broader trend-following environment confirmed the regime shift. The TTU Trend Barometer, which measures the share of markets in clean medium-to-strong trends, traced the 55% Strong threshold four times in five weeks, 55, 43, 57 and 45, before breaking decisively to 32% by month-end, its first Weak-environment reading of the cycle. That self-similar churn around a threshold, followed by a clean break lower, is the fractal fingerprint of a regime in transition. The SG Trend Index, the broad CTA benchmark, told a parallel story, giving back the bulk of an early-May gain to finish near +10.6% year to date.
The Month, Week by Week
Performance Snapshot
The model returned -2.92% in May, leaving the calendar year at +20.11%. The monthly path of 2026 has been unusually large in both directions: three double-digit positive months, one double-digit negative month, and now a single-digit give-back.
Monthly net return, 2026 versus 2025. Source: ATS Classic Trend Benchmarking Model.
For comparison, 2025 returned +9.06% across the full year. The contrast is instructive: 2026 has produced far larger monthly swings than 2025, the hallmark of a year in which strong directional trends have repeatedly formed, broken and reformed.
Cumulative Performance and Drawdown
Indexed to a base of 1,000 at the end of 2024, the model rose to an all-time high of 1,321 at the end of April 2026 before easing to 1,292 at the end of May. The drawdown panel puts May in context: the give-back leaves the portfolio just 2.2% below its peak, a shallow and orderly pullback set against the deeper, slower drawdown the model worked through in the first half of 2025.
Cumulative return index (base 1,000) and drawdown from peak, January 2025 to May 2026. Additive monthly-return convention.
On the model’s additive monthly convention, the cumulative return since inception in January 2020 stands at +203.8%. The deepest drawdown over the period shown ran to roughly 16% through the first half of 2025 and was fully recovered by the autumn; March 2026’s -11.55% was the largest single-month decline of the track. May’s pullback sits well inside that historical envelope.
Sector Attribution
Eight sectors, sixty-eight markets. May’s result decomposes cleanly: Energy was the only material detractor, and it was large enough to outweigh positive contributions from Equities and Metals together with small drags elsewhere.
Sector contribution to return: May and year to date. Contributions sum to the portfolio result.
The year-to-date picture is the more important one. Energy remains the dominant engine of 2026 at +14.37%, even after surrendering 5.61% in May, with Metals (+4.75%) and Currencies (+2.44%) the next largest contributors. Only Bonds (-2.80%) and Softs (-1.67%) sit in negative territory for the year.
Attribution Highlights
At the individual-market level, the month was a tug of war between a persistent equity-and-base-metal long book and a reversing energy long book.
The top three contributors, Nasdaq 100 (+1.10%), Aluminium (+0.97%) and Tin (+0.79%), were all clean continuation trends the model held throughout. The bottom of the table is entirely petroleum: Heating Oil (-1.77%), Crude Oil WTI and Gasoline RBOB (-1.22% each) and Brent Crude (-1.21%) accounted for the bulk of the monthly loss.
Across the year, the energy complex still dominates the contribution table. Heating Oil (+6.20%) is the single largest year-to-date contributor, ahead of Crude Oil WTI (+3.81%), Soybean Oil (+3.00%), Gasoline RBOB (+2.84%) and Aluminium (+2.68%). May’s energy give-back, in other words, was a partial return of a position that has paid handsomely across 2026.
Trend Spotlights
The Nasdaq 100 was the month’s single largest contributor at +1.10%. The chart shows why: a clean, multi-month uptrend that extended to fresh record highs on continued AI-megacap leadership, with the index pushing toward 30,400 into month-end. This is the kind of persistent, low-noise trend that trend-following systems are built to hold, and the model stayed long throughout.
Aluminium added +0.97% in May and +2.68% year to date. Base metals were the quiet workhorses of the month. While the precious complex took a hawkish-Fed hit mid-month, the industrial-metal uptrend held, with Aluminium, Tin and Zinc together carrying the Metals sector into positive territory. The chart shows a long, well-established advance still intact.
Heating Oil was the month’s largest single detractor at -1.77%, yet it remains the model’s largest year-to-date contributor at +6.20%. The chart captures the regime change cleanly: a long, powerful uptrend through the spring, then a sharp May reversal as the Hormuz war-supply premium unwound. This is the give-back side of a trade that paid for much of the year’s gains, and the contrast between the long trend and the May reversal is the visual definition of the month.
Sector Rundown
The standouts are clear: Energy carried both the month’s loss and the year’s gains, Equities and Metals provided the offset, and the remaining sectors netted to small drags as several multi-week trends reversed late in the month.
The Trend Environment
The TTU Trend Barometer is a useful forward read for classic trend followers because it measures the share of markets generating clean medium-to-strong trends, in either direction, rather than market direction itself. Through May it traced the 55% Strong threshold repeatedly, 55, 43, 57 and 45, then broke to 32%, dropping out of the Neutral band and into Weak-environment territory for the first time in the cycle, with its rate of change accelerating lower. That pattern, a threshold tested four times then a clean break, is the kind of self-similar churn that tends to precede a poorer environment for trend capture.
The read into June is cautious. When the share of markets in clean trends falls this far, the environment penalises new trend entries in both directions until persistence returns. The internal splits that opened up across Energy, Grains and Softs in late May, sectors resolving into opposing contract-level moves rather than uniform trends, are the warning sign. The cleaner cross-asset moves, the equity advance, the softer dollar and the firmer front-to-long curve, have so far held their direction; whether they continue to do so is the question the barometer is posing.
Monthly Wrap
May was a give-back, not a drawdown. A single sector, Energy, reversed under the weight of a diplomatic cycle that turned a clean spring trend into two-way headline risk, and the model released that risk rather than riding it down. Everywhere else the portfolio was positioned long, equities and base metals in particular, the trends held, and the eight-sector design did its job of containing the damage to -2.92%. The year-to-date figure of +20.11% is intact, the portfolio sits 2.2% below its all-time high, and the energy complex that gave back ground in May remains the largest contributor of 2026.
Looking Ahead
Two questions frame June. The first is whether the petroleum unwind and the equity advance settle into a steadier, multi-week regime as the supply shock fades, or whether the barometer’s drop into Weak territory proves the leading signal and the internal splits spread into the cross-asset moves that have so far trended cleanly. The second is positioning: the equity and base-metal trends remain the cleanest long-side reads, the petroleum complex has converted to two-way headline risk that rewards reduced single-sector concentration, and bonds are attempting to turn after a difficult start to the year.
For a systematic model, none of this requires a forecast. The +20.11% year-to-date cushion gives the systems room to navigate a choppier environment, and the mechanism that trimmed energy into the May reversal is the same one that will re-engage if and when clean persistence returns.
About these figures
Returns are net monthly results for the ATS Classic Trend Benchmarking Portfolio. Year-to-date and cumulative figures use the model’s additive monthly convention, in which the year-to-date return equals the sum of monthly net returns. Sector and market figures are contributions to total return and sum to the portfolio result. Market context is drawn from the This Week in Trend series; trend-environment context uses the Top Traders Unplugged (TTU) Trend Barometer and the SG Trend Index. The ATS Classic Trend Benchmarking Portfolio is a systematic model maintained for benchmarking and illustration. This report is informational only, is not investment advice or an offer of any product, and past performance is not a reliable indicator of future results.
Richard Brennan writes on systematic trading, complex adaptive markets, and the philosophical foundations of trend following at atstradingsolutions.com. His books include The Fractals of Finance and Complex Adaptive Markets. The forthcoming Carved by Impossibility completes the trilogy.
Want the theoretical foundation for why trend following works?
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.