Clenow Trend Following (50/100 MA + 50-day breakout): does it still work? Replicated through 2026
We re-ran it on 10 markets from 2010-05-21 to 2026-11-10 (16.5 years, before costs): +5.5% a year, Sharpe 1.09, worst drawdown -8.9%. The benchmark, Equal-weight of 10 markets, did +9.8% a year (Sharpe 0.66, worst drawdown -43.1%).
Verdict: Smoother ride than its benchmark (higher Sharpe), but a lower return. Historical, hypothetical results before costs, taxes and fees. Not investment advice.
This is our adapted version, not the real portfolio or fund. Read what is lost before comparing it with anything published about the original.
What is lost
- Risk-based sizing: every market gets the same slot regardless of its volatility.
- The short side and the hundred-plus futures markets of the original.
Where it comes from
A modern, openly documented description of how managed-futures funds trade trends.
Rules, weights and thresholds are given as commonly cited. We have not re-checked them against the primary text.
The original rules
Long when the 50-day average is above the 100-day average and price makes a new 50-day high; exit on a trailing stop several ATRs below the high or when the trend filter turns off; positions are risk-sized by ATR across a diversified futures portfolio.
How we replicate it
What we changed
Long-only on ten markets, close-only: N (the ATR proxy) is the 100-day mean absolute close-to-close change. Risk-based position sizing is replaced by a fixed 1/10 slot per market, and the futures breadth and short side are lost.
The exact rule we run
For each of the 10 markets, at the close: when flat, enter if the 50-day average is above the 100-day average and the close is at or above the highest close of the prior 50 days. Exit when the 50-day average falls below the 100-day average or the close is more than 3 N below the highest close since entry. Fixed 1/10 slot per market.
Conventions: Position decided at a close earns the next day's return; no look-ahead; before costs; cash earns 0%; starts 2010-05-21, the first day a signal exists; every market has an equal slot of equity; indicators use each market's own trading days.
Growth of 1 vs the benchmark
Benchmark: Equal-weight of 10 markets, same period. Equal slots in S&P 500, Gold, Silver, Oil, Natural gas, Commodities, Agriculture, EUR/USD, Bitcoin, Ether, rebalanced daily; a market without data yet stays in cash.
Drawdown from the previous peak
Key numbers
Sample: 2010-05-21 to 2026-11-10, 16.5 years, 5566 daily observations. Annualised from the number of observations per year of the strategy's own calendar. Before costs.
Recent and full-period returns
| Period | Replica | Benchmark |
|---|---|---|
| Last month | -0.9% | -7.4% |
| Last year | -2.2% | +5.9% |
| Last 5 years | +14.7% | +54.3% |
| Whole period (cumulative) | +142.2% | +369.2% |
Calendar-year returns
| Year | Replica | Benchmark | Replica minus benchmark |
|---|---|---|---|
| 2026* | -3.7% | +6.8% | -10.4% |
| 2025 | +6.3% | +18.5% | -12.2% |
| 2024 | +10.6% | +29.0% | -18.4% |
| 2023 | -1.9% | +13.9% | -15.8% |
| 2022 | +5.1% | -9.5% | +14.6% |
| 2021 | +15.8% | +54.6% | -38.8% |
| 2020 | +14.1% | +37.7% | -23.6% |
| 2019 | +12.1% | +19.2% | -7.1% |
| 2018 | +2.3% | -23.9% | +26.2% |
| 2017 | +19.8% | +52.2% | -32.3% |
| 2016 | +6.5% | +18.4% | -11.8% |
| 2015 | +1.8% | -12.1% | +13.8% |
| 2014 | -1.9% | -14.8% | +12.9% |
| 2013 | +1.5% | -4.0% | +5.5% |
| 2012 | -1.0% | +0.5% | -1.4% |
| 2011 | +3.1% | -5.7% | +8.9% |
| 2010* | +3.7% | +17.8% | -14.1% |
* Partial year. The first year starts on the first day of the replica; the current year is year to date.
Position as of 2026-11-10
| Holding | Weight |
|---|---|
| Cash (0%) | 100.0% |
Currently entirely in cash. Last change of position: 2026-11-02. Drawdown from its peak today: -8.9%.
What it did in 2020 and 2022
| Episode | Dates | Replica | Benchmark |
|---|---|---|---|
| COVID crash | 2020-02-19 → 2020-03-23 | -0.5% | -25.4% |
| 2022 bear market | 2022-01-03 → 2022-10-12 | +4.6% | -9.2% |
Close to close between the two dates. Two episodes only: not enough to judge a strategy.
How much to trust it
- 803 position changes over 16.5 years.
- This is one backtest on one path of history, before costs and with hindsight on the choice of strategy. It does not show the strategy will work in future.
Honest caveat
The 3-N stop and the 50/100 averages are as commonly cited; they may differ from the book, and risk-based sizing is not replicated.
Related
Other famous strategies
Closest strategies on Quant Arena
Similar idea, tested on the site's own rule set; not the same rule.
Markets used: S&P 500 · Gold · Silver · Oil · Natural gas · Commodities · Agriculture · EUR/USD · Bitcoin · Ether
Historical, hypothetical results before costs, taxes and fees. Not investment advice.