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A diversified trend-following book across 63 futures markets, run as a paper portfolio from a $100m notional. Positions are sized to a 20% annualised volatility target and rebalanced daily; orders are decided on the close and execute at the next open.
This page is the live output of the pipeline behind my MSc thesis. It shows what the book traded at this morning's open and what it will send at the next one. The Journal page has every session since January.
Carried because the market had no session. An order is given once and carried until it fills.