The idea worth investigating
The slow futures trend rule earned 6.96% annualized after modeled costs, with a 9.62% maximum drawdown at recorded session opens. The fastest rule lost 0.61% annualized under the same cost convention.
FPM six-market contract-level adaptation, February 14, 2020–December 31, 2025. Integer contracts, a 100% gross-notional cap, assumed one-tick slippage and $2.50 per contract per side; collateral earns no interest.
This retrospective simulation tests the daily trend rule, not the paper’s full global sample or order-flow mechanism. Historical fills, margin and tick changes remain unverified. The slower result is a research candidate, not a live track record.
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The headline is the starting point. The subscriber analysis takes you through:
- The exact signal, sizing and contract-roll rules
- Fast, intermediate and slow results under three cost assumptions
- Where profits came from and the remaining tests before risking capital
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