@ConcretumR The idea would be interesting while backtested also on: interest rates/ currencies/ stock indices... - the markets CTAs also are trading!
(Why did you exclude those markets?? ;)
@TradeQuantiX That's harder question ;)
Maybe it's not a bad option to read something about it? To take a closer look at some papers published by CTAs companies? Or to follow people/ ideas like @basso_tom, @rjpjr12? :)
"The SG Trend Index returned -18.7% for the one-year period ended 4/30/2025, marking the worst 12-month return of the Index’s 25+ year history.” - @katykam
What traditionally comes next?!