A proprietary index to measure the strength of the "Trend Trading" environment.
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:
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.
|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.|
Don't be a screen scraper! We can see you doing so. And if we can see you, don't you think that also means we can block your IP address? If you find this information useful, contact us to discuss consulting arrangements where we may provide clean and current data files via FTP at the end of every trading day.
Current Trend Regime: CHALLENGING TREND MARKETS
|LAST UPDATE: 11/29/22 03:00 PM|
|TOTEM TREND INDEX||27||26||23||23||24||24||24||27||25||23|
|US ULTRA LONG BOND||-50||-50||-50||-50||-50|
|US TREASURY BOND||-15||-15||-15||-15||-15|
|TREASURY NOTE 10 YR||-15||15||-15||-15||-15|
|TREASURY NOTE 5 YR||0||0||0||0||0|
|TREASURY NOTE 2 YR||0||0||0||0||0|
|E-MINI S&P 500||15||15||15||15||15|
|E-MINI NASDAQ 100||15||15||15||15||15|
|MINI DOW JONES||15||15||15||15||15|
|COPPER - HIGH GRADE||50||15||15||15||15|
|LIGHT CRUDE OIL||15||15||-15||-15||-15|
|NY HARBOR RBOB GAS||15||15||15||-15||-15|