M11 Market Updates and Reading List...12.05.16

Here are the current signals from the momentum and mean reversion versions of the M11 market model.  Note that the performance metrics reflect holding the top 2 raked positions in equal dollar amounts. Momentum is focused on XLF,, which has been on a wild ride up while mean reversion is trying to capture a bond turnaround and a dip play.
Also...note that the mean reversion model has a better linearity and win rate.
Odds for a bond turnaround don't look that good right now.
On the other hand Goldman sees odds for bear case on the upswing.
Going into next year my focus will be more on volatility and the foreign markets and currencies and here's an extensive article on facts and fictions about the Eurodollar/LIBOR connection.