For five straight months, trend following in 2026 had told a simple story. Trends were there, the benchmarks captured them, and the numbers went up. June broke that story in the most instructive way possible: the trend environment got measurably better, and the trend benchmarks lost money.
At first glance that looks impossible. Better trends should mean better returns.
June reminds us they are not the same thing.
The month in brief
All three major trend benchmarks finished modestly lower, with losses between 1.2 and 1.8 percent. The S&P 500 slipped as well, easing 0.95 percent as the equity advance paused near record highs. Importantly, every trend benchmark remains comfortably positive for the year. The five-month winning run that opened 2026 has ended, but the bulk of its gains are still on the table.
Meanwhile, the Trend Barometer went the other way
Our Trend Barometer measures the persistence of price trends across 44 global futures markets. It closed May at 32, deep in Moderately Weak territory and the lowest reading of the cycle.
Through June it climbed every step of the way: 32, then 43, 43, 45, and finally 55, right back at the boundary where Neutral gives way to a favourable regime.
A rising Barometer normally means good things are coming for trend followers. So why did the benchmarks fall?
Because the trends came back pointing down
The Barometer counts how strongly and persistently markets are trending. It does not care which direction they trend in. And in June, almost all of the new strength was on the downside.
The petroleum complex finally resolved lower after weeks of violent reversals. Precious metals rolled over. Equity markets paused after strong gains, and Bitcoin continued the decline that began in January.
Those were genuine trends. The problem was they emerged in the opposite direction to the positioning many diversified trend portfolios had accumulated through the spring. The environment improved. Portfolio alignment had not yet caught up.
This is one of the most misunderstood aspects of trend following. A stronger trend environment does not guarantee immediate profits. Portfolios reflect the trends they have already captured, not the ones that have only just begun. There is always a lag between a market changing direction and a diversified systematic portfolio fully adapting to it.
June made that lag expensive in one particular fortnight. A hotter than expected payrolls print dragged yields, the dollar, equities and metals in the same direction at once. The following week reversed it, whipsawing the very positions that had just been rewarded. That single swing accounts for most of the month’s damage.
What June leaves behind
The energy breakdown is now three weeks old and looks like the most durable directional move on the board. The Barometer enters July at 55 with its rate of change still tilted higher. The raw material for the cycle to reassert itself is in place.
What the market needs now is not more movement. It needs persistence. Trend followers do not harvest volatility. They harvest sustained direction.
Worth noting too: the more concentrated TTU Top 5 by Serenity Ratio fell 4.27 percent, the mirror image of April’s standout 7.30 percent gain. Concentration cuts both ways, exactly as it is designed to.
What is in the full report
- Full June performance for the TTU TF Index, SG Trend Index, BTOP50 and S&P 500 Total Return, with long-term CAGR, drawdown and correlation statistics
- A week by week breakdown of the Trend Barometer’s climb from 32 to 55, and what drove each move
- Constituent listings for the SG Trend Index and BTOP50, plus the full TTU TF Index program roster
- Top 10 program rankings by CAGR, Serenity Ratio and last twelve months performance
- Individual results for the five programs in the 2026 Serenity selection
- The Alternative 60/40 portfolio analysis using the TTU Top 5 by Serenity Ratio
The lesson worth keeping
June reminded us that trend following is not rewarded simply because trends exist. It is rewarded when persistence and positioning finally meet.
The Barometer suggests that persistence has returned.
July will tell us whether the portfolios catch up.
The full June 2026 Trend Following Performance Report, including all charts, statistics and commentary, is now available.
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, Complex Adaptive Markets, Carved by Impossibility and The Aussie Turtles Trend Following Guide.
Want to explore why structure exists at all?
Carved by Impossibility: What Remains When Everything Else Is Eliminated
The book explores the architecture of constraint, emergence, and reality itself, and what it means for how we understand markets, life, and the universe.
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Want the theoretical foundation for why trend following works?
The Fractals of Finance: Determinism, Adaptation and the Geometry of Markets bridges complexity science with practical trading implementation. With a foreword by Jerry Parker, original Turtle Trader.
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.