TOTEM TREND INDEX (TTI)


To begin, we assign a value which represents our measure of trend strength on each of the instruments in our portfolio. A full short bias has a score of -100, a full long bias has a score of +100, and there are four waypoints in between.


Since we have no long or short bias, we use the absolute value of these scores and compute the average of the entire portfolio to derive our Totem Trend Index (TTI). We walk through this process on the Trading Futures with Anthony Crudele show.

Rather than attempting to predict where any thing is going, we follow our rules as they guide us along the thing's path of least resistance. By observing all of the things in our portfolio and their relationship with each other, we gain insight into what the prevailing market regime looks like. We then use this constantly changing information to systematically adjust for changes in market regimes. Contact us in person to discuss how.

Most trading strategies may be generally separated into 2 broad categories:

  1. CONCAVE
    Some strategies prefer that markets do not move around much at all, or return to their longer-term averages after having drifted far away. You can call those "short volatility" or "mean-reversion" strategies.

  2. CONVEX
    Other approaches, such as ours, tend to thrive when markets do move and shift to new levels of equilibrium as new or sometimes unexpected information causes a change in factors affectiong price, such as supply, demand, fear and greed. You can call these "long volatility" or "trend following" strategies.
While a supply or demand shock may hit any specific instrument at any time to cause a large, isolated move, there is a large body of statistical evidence to suggest that trend following strategies make much of their returns in relatively short periods of high or increasing volatility and cross-market correlation. In order to generate the really strong returns, "long vol" strategies need at least a few things to be moving, and generally speaking the more the merrier.

Our TTI ranges in values from 0 - 100. With over 5,000 daily observations since the year 2000, we break the data down into 4 quartiles which help us to determine which regime we are currently in.

Time Regime TTI Characteristics
20% Strong Trend over 52 Suggests that many markets are trending and a generally favorable trading environment with increasing or high levels of volatility and cross-market correlation.
65% Limited 30 - 52 Does not preclude the possibility of trending moves in individual markets which are still driven by supply/demand factors and external shocks. Possible nascent trend formations.
15% Challenging below 30 Lack of overall trending activity and low levels of cross-market correlation. May be a good time to gain or add to trend exposure in investment portfolios.




9/8 9/9 9/10 9/11 9/14 9/15 9/16 9/17 9/18 9/21
TOTEM TREND INDEX 39 44 43 45 48 47 45 47 47 32
22-Day Change
-28
5-Day Change
-16

FIXED INCOME
US ULTRA LONG BOND -15 -15 -15 -15 -15 -15 -15 -15 -15 -15
US TREASURY BOND -15 -15 -15 -15 -15 -15 -15 -15 -15 -15
TREASURY NOTE 10 YR 15 -15 15 15 15 15 15 15 -15 15
TREASURY NOTE 5 YR 50 15 50 50 50 15 15 15 15 15
TREASURY NOTE 2 YR 15 15 15 50 15 15 15 15 15 15
EQUITIES
E-MINI S&P 500 50 100 50 50 50 50 50 50 50 -15
E-MINI NASDAQ 100 15 50 50 50 50 50 50 50 -15 -15
MINI DOW JONES 50 50 50 50 50 50 50 50 50 15
FX
EUROCURRENCY 50 50 50 50 50 50 15 15 15 15
JAPANESE YEN 15 15 15 15 15 15 15 50 15 15
BRITISH POUND 50 50 50 -15 15 15 15 15 15 -15
CANADIAN DOLLAR 50 100 50 50 50 50 50 50 50 50
AUSTRALIAN DOLLAR 50 100 50 100 100 100 100 100 100 15
METALS
GOLD 50 50 50 50 15 15 15 15 15 -15
SILVER 50 50 50 50 50 50 50 50 50 15
COPPER - HIGH GRADE 100 100 15 50 100 100 100 100 100 50
ENERGY
LIGHT CRUDE OIL -15 -15 -15 -15 -15 -15 -15 -15 -15 -15
HEATING OIL -15 -15 -15 -15 -15 -15 -15 -15 -15 -15
NY HARBOR RBOB GAS -15 -15 -15 -15 -15 -15 15 50 50 15
NATURAL GAS 100 50 15 50 50 50 50 15 50 50
GRAINS
CORN 15 15 100 100 100 100 100 100 100 100
SOYBEANS 100 100 100 100 100 100 100 100 100 100
WHEAT 15 15 15 15 15 15 15 50 100 15
SOYBEAN OIL 100 100 100 100 100 100 100 100 100 100
SOFTS
COFFEE 100 50 100 100 50 50 50 15 15 -15
SUGAR #11 -15 -15 -15 -15 -15 -15 -15 50 50 15
COCOA 100 100 100 100 100 100 100 100 100 50
COTTON 15 15 15 15 100 100 100 50 50 50
LIVESTOCK
LIVE CATTLE 15 15 -15 15 15 50 15 15 15 15
LEAN HOG 15 15 100 100 100 100 100 100 100 100

PAST PERFORMANCE MAY NOT NECESSARILY BE INDICATIVE OF FUTURE RETURNS