Meridian Trend Systematic
Medium-horizon trend following across 40 liquid futures markets, sized by regime-conditional volatility.
About these figures · Computed from the published daily record; Sharpe and Sortino use excess returns over a 2.1% annual bill rate; win rate, profit factor and holding period come from the round-trip log. Ratios are suppressed below one month of observations.
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How this strategy works
Meridian holds diversified long and short positions in liquid futures — equity index, rates, energy, metals, grains and G10 currency contracts — entered when price confirms a persistent trend on 20- to 120-day horizons. Position size is set by a regime-conditional volatility estimate rather than a fixed target, which cuts exposure faster in breaks than it adds in rallies. The reference book targets 8% annualized volatility with gross exposure capped at 250%. Signals are emitted at the North American close. The backtest covers Feb. 2021 onward and includes estimated transaction costs of 1.2 basis points per side; slippage assumptions are documented per market.