Categories:
“A portfolio is not paid for the size of the moves around it. It is paid for the share of them it was already holding, and the two can point in opposite directions for weeks at a time.” About This...
Rollover Mechanics The system can only be as honest as the price history it sees. In futures, that history has to be constructed. Previous: System Anatomy 5: The Ensemble Approach | Next: System Anatomy 7: Execution and Process A surveyor...
The quietest week produced the strongest trend reading This was a much quieter week than the last. It may also have been a much better one for trend followers. The TTU Trend Barometer added another 5 points to reach 55...
The Ensemble Approach No single rule sees the whole market. That is not a problem to solve. It is the reason we use more than one. Previous: System Anatomy 4: Portfolio Construction | Next: System Anatomy 6: Rollover Mechanics A...
Portfolio Construction The markets were never independent. They belong to the same system. The purpose of diversification is not to pretend otherwise. It is to make sure no single expression of that system determines our fate. Previous: System Anatomy 3:...
Commodities rallied together, equities paused, and the Barometer completed a round trip the market did not The TTU Trend Barometer jumped 11 points to 50 percent this week, its largest single week gain of the current sequence and enough to...
Every field has a vocabulary, and the vocabulary matters more than it looks. Terms like attractor, ergodicity, phase transition and power law are not decorative imports from physics. They are the precise language required to describe things classical finance cannot...
The Trends That Would Not Hold July was not a quiet month. Markets moved. Some moved violently. Trends appeared, strengthened and, in several cases, looked as though they might finally provide trend followers with something meaningful to work with. Then...
Position Sizing The formula is simple. What it protects us from is not. Position sizing is not an optimisation problem. It is an engineering problem built around one requirement: remain in the game. Previous: System Anatomy 2: Exit Logic |...
Introduction Systematic trend following posted a second consecutive negative month in July 2026. The benchmark fell -1.24 percent, almost identical to June’s -1.26 percent. The headline numbers look the same. The path could hardly have been more different. June was...