Futures
Managed-Futures-Style Trend Following
The same trend system, run on one market at a time, has brutal stretches. Run it on eight unrelated markets at once and the stretches start canceling each other out.
Build the blend
Each card below is an independent futures market running its own trend-following system. Click any card to add or remove it from the blended portfolio underneath. Watch what happens to the combined equity curve as you go from one market to all eight.
How it works
- The system itself is simple and identical on every market. A fast moving average above the slow one means long, below means short. No market gets a special version of the rule, the edge is supposed to come from applying the same mechanical logic everywhere trends show up.
- Each market's return stream gets scaled to a common volatility target before it's blended. Crude oil and 10-year notes don't move by the same amount day to day, so sizing every market to contribute roughly the same risk is what makes an equal-weighted blend meaningful instead of accidentally being a bet on whichever market happens to be most volatile.
- Markets that aren't correlated to each other rarely have their bad stretches at the same time. Gold chopping sideways doesn't necessarily mean corn or the currency markets are also chopping. Blending genuinely uncorrelated markets is what turns eight individually rough equity curves into one smoother one.
- The blend doesn't remove losing periods, it removes the correlation between them. Toggle every market off but one above and the blended line is identical to that single market's own curve, jagged, with real drawdowns. That's the baseline every additional uncorrelated market is being compared against.
Where this breaks
Correlations spike exactly when diversification matters most
The whole case for blending markets rests on them not moving together. In a genuine macro shock, a lot of markets that are normally unrelated (equities, currencies, commodities, rates) can start moving in the same direction at once, as leveraged positions across the board get closed for the same reason. That's precisely the environment a multi-market trend system is supposed to protect against, and it's also the environment where the diversification benefit above is weakest, because the uncorrelated-markets assumption briefly stops being true.