etfmsolutions: Momentum and Mean Reversion Meet Parity.....07.28.16

Thursday, July 28, 2016

Momentum and Mean Reversion Meet Parity.....07.28.16

August and September are historically weak and very weak months but the whole Sell in May mantra hasn't worked out for the bears this year so maybe 2016 will be different. Tomorrow is the last trading day of the month so that's a bullish skew even though its Friday which is 70%+ bearish. This is not a simple trading environment. To compound momentum confusion even more I noticed that both the momentum and mean reversion modes of the M6 market model have almost identical returns even though the portfolio inputs and the limit stops are the same.
What;s a guy to do?. Just stick with your trading plan and enforce those loss stops. SPY has been in a narrow range trading pattern and we're due for a break. The question is Up? or Down?.

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