Where systematic trend-followers are positioned β and what every scenario forces them to do next. Across equities, rates, commodities and FX.
Modeling CTA flowsβ¦
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For informational purposes only. The data and visualizations on this page do not constitute financial advice, investment recommendations, or an offer to buy or sell any securities. Always do your own research and consult a qualified financial advisor before making investment decisions.
Systematic trend-followers move enormous size on rules, not opinions. When they crowd into the same position, the most useful thing to know is the asymmetry: if they're maxed long, the next week of price action can mostly produce selling β regardless of whether the market rises, falls, or goes nowhere. This monitor models that positioning across global equities, rates, commodities and FX, and flags the moment a market becomes a forced seller (or buyer) in every scenario.
For each market we measure how stretched price is above or below its 2-, 6- and 12-month averages, normalized by volatility, then squash it into a position from β100% (max short) to +100% (max long).
The position is scaled inversely to realized volatility β a calmer market gets more size, a wild one gets trimmed β mirroring how real CTAs run a constant risk budget.
We shock each market down 2Ο to up 2Ο over the next week and month, recompute the target position, and the change is the projected flow. Selling on weakness with no scenario left to buy = forced seller.
