C A L T R O P I A

Managed Futures Trend

Signal-driven managed futures strategies using trend, strength, mean reversion, and breakout/down models.

Overview

At Caltropia Research, we offer two distinct managed futures strategies, both designed to capitalize on markets trends, strength, mean reversion, and breakout/down signals, but each optimized through a different portfolio construction approach.

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1: Caltropia Managed Futures Alpha.

This strategy employs a proprietary asset weighting algorithm that dynamically adjusts position sizes based on a blend of trend strength, signal reliability, and volatility normalization.

Methodology

1. Signal Inputs

Short and intermediate term trend, strength ratings, mean reversion triggers, and breakout/down events.

2. Weighting's:

Custom algorithm prioritizes assets showing stronger trend persistence, higher breakout probability, and optimal risk-adjusted characteristics.

3. Objective:

Maximize overall strategy conviction by overweighting assets with the most statistically favorable conditions while maintaining diversified exposure.

4. Rebalance:

Dynamic; adjusted based on real-time signal shifts and volatility scaling.

Who's This For?

This strategy employs a proprietary asset weighting algorithm that dynamically adjusts position sizes based on a blend of trend strength, signal reliability, and volatility normalization.

2: Caltropia Managed Futures Hybrid Equal Weight

This strategy employs a proprietary asset weighting algorithm that dynamically adjusts position sizes based on a blend of trend strength, signal reliability, and volatility normalization.

Methodology

1. Signal Inputs

Identical — trend direction, strength scores, mean reversion factors, and breakout/down confirmations.

2. Weighting's:

Primarily equal-weighted across assets passing signal thresholds, with tilts toward stronger signals when appropriate.

3. Objective:

Achieve broad diversification across asset classes while maintaining responsiveness to prevailing market trends.

4. Rebalance:

Scheduled (e.g., weekly) with interim adjustments if extreme trend reversals occur.

Who's This For?

Best suited for investors seeking broad exposure and balance, favoring diversification over heavy conviction tilts.

Managed Futures Strategies Compared

A Review of our Managed Futures Strategies

 Features Trend Alpha (Custom) Hybrid Equal Weight
Weighting Proprietary Algorithm Equal-Weight Hybrid
Flexibility Highly Dynamic Moderately Dynamic
Risk Scaling Volatility-Adjusted Lighter Adjustments
Signal Inputs Trend, Strength, Breakout/Down, Mean Reversion Same
Investor Profile Active Conviction Seekers Broad Diversification Seekers