Battle of the Trend Following Indexes: September 2026

September was a month of concentration followed by interruption. The TTU Trend Barometer read 55, 59, 45 and 52 across the four weeks ending in September, then held at 52 in the week that straddled the month end. The count of markets finishing each week higher read 24, 14, 18 and 24 of 49, then 14. As in August, the two measures did not move together. The barometer reached its highest reading in the week when the fewest markets rose, and fell furthest in a week when more markets rose than the week before. The barometer counts markets trending in either direction, and much of September’s persistence ran downward, in Bonds, the precious metals and Soft Commodities. SG Trend’s estimated return tracked the barometer more closely this month than last.

Week ending 4 September: Energy carries the board as the barometer holds

The first week, which also included the final session of August, belonged to Energy. The sector gained 5.95% with all six contracts higher, Crude Oil WTI up 9.69% and Brent 9.28%, the largest gain by any multi-contract sector in the sequence to that point. Breadth barely changed, from 21 to 24 of 49, and the barometer held at 55. Elsewhere the declines were numerous but small. Bonds fell across all four maturities for the first time in five weeks, with the declines growing with maturity, Metals fell for a second week and the VIX for a seventh. Grains paused after the prior week’s sweep, with Wheat giving back 6.38%. SG Trend opened September at +0.59%. Its year-to-date figure rose 2.04 points in the week, but most of that belonged to the close of August rather than to September.

Week ending 11 September: Fewer markets rise and the barometer reaches 59

Only 14 of 49 contracts finished higher, ten fewer than a week earlier and the narrowest upside breadth in the period tracked. The barometer rose 4 points to 59 regardless, its first reading inside the favourable band. The petroleum complex extended, with WTI up 9.37%, Heating Oil 9.23% and Brent 8.65%, the three largest gains on the board, while the cattle pair rose more than 3% each. Most of the rest fell, and much of it fell as blocs: Bonds across all four maturities again, Metals across all five for a third week and Equity Indices across all seven. Sixteen contracts in three sectors moved in one direction. SG Trend rose to +2.79% for the month, a weekly gain of about 2.2 percentage points and the largest of the sequence. Markets falling in the direction of structures already in place contributed as much to that gain as the petroleum advance.

Week ending 18 September: The blocs break and the barometer falls 14 points

Breadth improved to 18 of 49, and the barometer fell 14 points to 45, back in Neutral a week after entering the favourable band. The blocs that had carried the previous week broke up. Metals turned higher on four of five contracts, the 30 Year Bond rose while the shorter maturities fell, and Equity Indices split. Leadership in Energy rotated away from the crude pair, which stalled, to Gasoline RBOB and Natural Gas. Only Soft Commodities, down 5.19% across all six contracts with Cocoa down 10.64%, and Meats, down across all three, moved as complete sectors, nine contracts against sixteen. Oats broke to the highest level on its chart with a 7.26% gain. SG Trend added about 0.4 percentage point to reach +3.23%. Its weekly gain shrank in the same week the reading fell, rather than lagging it as in August.

Week ending 25 September: The leaderboard turns over and the structures hold

Six of ten sectors changed sign. Soft Commodities and Meats, the two weakest a week earlier, finished first and second, while Energy, Metals and Bitcoin moved toward the bottom of the table. The petroleum contracts supplied three of the five largest declines, Heating Oil down 7.72%, Gasoline RBOB 4.04% and WTI 3.82%, as the advance that had carried them to the upper end of their charts gave ground. Beneath that turnover, most of the previous week’s interruptions reversed. Silver, Gold, Platinum and Palladium resumed declines running since February, Bonds fell across all four maturities to new lows, and Rough Rice, Soybean Meal and Oats reached the highest levels on their charts. Breadth rose to 24 of 49, the barometer recovered 7 points to 52, and SG Trend climbed to +4.47%, a weekly gain of about 1.2 percentage points. This was the one week of the month in which the largest moves ran against the sector that had led the first three.

28 to 30 September: The final sessions

The last three sessions of September fell inside the week reported on 2 October, so the weekly sector data cannot isolate them. That week was the narrowest of the month, with only 14 of 49 contracts higher. Metals fell 5.45% as Copper joined the precious metals lower, Grains fell 2.84% as Soybean Meal, Soybeans and Corn pulled back from their highs, and the US Dollar Index cleared its summer high. The barometer held at 52. SG Trend’s year-to-date figure ended the week 0.33 point lower, its first weekly decline in eight weeks. The index figures give an outline of how that divided. The estimate stood at +4.47% on 25 September and the published September return is +4.3%, which places the cost of the final sessions, together with any revision, at roughly 0.2 percentage point. October’s first two sessions account for most of the remainder at -0.08%.

Implications for Index Construction and September Capture

June’s losses came from transition, July’s from trends that died before they matured and August’s recovery from trends that finally lasted. September supplied the most return of the four months but distributed it unevenly in time and across sectors: concentrated and coherent in the first fortnight, interrupted in the third week, and repaired in the fourth everywhere except Energy. Dispersion widened to 4.9 percentage points, the widest of the sequence, and the ranking did not follow the construction spectrum.

Last month we suggested reading the table in pairs, since the July and August results largely offset. August and September do not. Across the two months, TTU and SG Trend lead at about 7.5% and 7.3%, while Classic Trend trails at about 4.7%. The full quarter now spans a loss, a recovery and a strong month, the cycle the August edition argued for evaluating. Over it, the spread is 3.7 percentage points, and the two indexes with the widest monthly swings of the summer, Classic Trend and IASG, finished last. Whether that reflects construction or the particular markets each index held in a quarter full of reversals cannot be settled with three months of data. The long-run columns cover 81 months, and on those Classic Trend still leads every return and return-to-risk measure shown.

The second lesson concerns timing. In August the barometer led and SG Trend’s estimated return followed late. In September they moved largely together, with weekly gains of about 0.6, 2.2, 0.4 and 1.2 percentage points against readings of 55, 59, 45 and 52. The largest gain came with the highest reading and the smallest with the steepest fall. One month does not establish a relationship, and whether the barometer and returns stay this closely aligned will say more about its usefulness as a monthly guide than either August or September can alone.

Closing Reflection

September delivered gains for six of the seven indexes, the strongest peer-group month of the sequence, a barometer that touched the favourable band before falling back into Neutral, and a second consecutive near-inversion of the monthly ranking. SG Trend led at +4.3% and now leads YTD at 15.8% and the twelve-month column at 21.3%. Classic Trend was the only index to lose money, at -0.6%, and fell to last on YTD. BTOP50 retains the lowest drawdown at 9.7% and the strongest two-year return, and Classic Trend the long-horizon return and return-to-volatility statistics shown here.

The month’s most useful finding is that a strong month for trend did not organise the indexes by construction. The spread widened to 4.9 percentage points, yet the leaders sat toward the middle of the constituent range, the most concentrated index finished last, and two ensembles of similar breadth, TTU and IASG, finished 2.6 points apart. Manager mix and market exposure explained more of September than headcount did.

For allocators, the completed quarter offers the loss-and-recovery cycle that last month’s edition suggested waiting for, with a strong month added. SG Trend, BTOP50 and SG CTA delivered between 5.7% and 6.1% over it, and the two indexes with the widest monthly swings delivered the least. That is one quarter set against an 81-month record in which the concentrated construction remains ahead on every long-run measure, and the next cycle will show which of the two readings carries more weight.