Macro Trend — Futures CTA

Macro Trend — Futures CTA is a medium-risk futures strategy. A diversified trend-following book in 24 highly-liquid futures markets. Enters on 20-day breakouts, exits on 10-day breakouts against position. Allocates equal risk across markets and sizes by inverse volatility to keep heat constant.

The core idea: donchian-style trend following across rates, fx, commodities, and equity index futures. The system looks for setups that meet every entry condition simultaneously, then manages the position mechanically according to the exit rules — no discretion, no "gut feel" overrides.

Historically, this strategy has won 38% of its 1,543 trades over the 2015-01 to 2025-03 period, returning 11.8% annualized with a Sharpe ratio of 0.98. The worst peak-to-trough drawdown was −16.5%.

In this journal's sample, 3 Macro Trend — Futures CTA trades have closed with a 67% win rate and +$8,075 net P&L. Remember: a small journal sample is noisy — the 1,543-trade historical record is the more reliable estimate.

Risk profile: each trade risks at most 0.5% of equity, with a hard stop at −4.0% and a profit target at +0.0%. The system caps exposure at 24 concurrent positions. Position sizing is rule-based: 0.5% risk per market; total portfolio heat capped at 12%.

What can go wrong: every strategy has a regime where it underperforms. Macro Trend — Futures CTA is no exception — drawdowns of 16.5% (and sometimes worse) are part of the distribution of outcomes. Past performance does not predict future returns; the edge may erode as markets change. This page exists to teach the mechanics, not to promise results.