FUTURES POSITIONING

Systematic Monitoring of Long and Short Market Positions, Positioning Momentum and Imbalances

Introduction to the Model

The Futures Positioning Model offers a comprehensive and systematic analysis of market positions, providing traders and portfolio managers with invaluable insights into the behavior of futures market participants. This cutting-edge model estimates the current positioning of long and short trades while building a detailed historical profile of positions for any futures instrument.

Core Features

  • Daily Positioning Analysis: Evaluates daily changes in market positioning to assess momentum shifts and detect critical trends.
  • Reversal Indicators: Identifies potential turning points by highlighting concentrated positions that may lead to long capitulations or short coverings.
  • Profit and Loss Tracking: Monitors the entry prices of identified positions, enabling users to track key price levels and evaluate market participants' profit-and-loss status.

Value to Users

By mapping and continuously tracking market positions, the Futures Positioning Model provides traders and portfolio managers with a real-time edge. It empowers them to:

  • Anticipate market moves
  • Refine risk management strategies
  • Align decision-making with underlying market dynamics

Futures Securities Covered

The Futures Positioning Model supports a diverse range of futures instruments, including:

  • US Treasury Futures: ZT, ZF, ZN, TN, ZB, UB
  • EU Bond Futures: Buxl, Bund, Bobl, Schatz, 10Y BTP, 2Y BTP, OAT

Comprehensive Analytics and Features

The model delivers daily updates and leverages over 10 years of continuous historical data to provide insights into:

  • Long and Short Positions: Current estimations and historical tracking.
  • Positioning Momentum: Measurement of the strength and direction of changes in market positioning.
  • Position Accumulation: Monitoring of key levels where long and short positions are concentrated.
  • Outstanding P&L: Tracking the profit and loss of active positions to gauge market sentiment and vulnerability.
  • Relative P&L Pain/Gain: Identification of pressure points where positions may trigger market responses.

Futures Positioning Systematic Strategy

Leveraging the insights provided by the Futures Positioning Model, the Systematic Positioning Strategy transforms data-driven positioning analysis into actionable and performance-focused trading opportunities.

Strategy Features

  • Actionable Signals:
  • Signals are generated directly from market positioning dynamics, providing clear, data-backed entry and exit points for trading decisions.
  • Rigorous Testing:
  • Strategies undergo extensive in-sample and out-of-sample backtesting, ensuring their robustness and reliability across varied market conditions.
  • Live Trading History:
  • The strategy has a proven track record, demonstrating consistent alpha generation through real-world application.
  • Uncorrelated Alpha:
  • Designed to perform independently of traditional market drivers, these strategies offer a unique, uncorrelated edge for portfolio diversification and risk management.