Tape getting legs..

Hmmm.....

That is the backtest of the model I am trading now:

5 Small Cap Value Momentum + some with EPS Revisions filter and a 25% Short.

So, the only thing I have to think about is, if I need to cover the short.

This would mean the following model:

Both models are just doing fine, all components have out of sample period of about 12 Months to several years.

The models capture basically the small and micro-cap, low volume, value, eps revision and momentum effect.

I switch between models based on the following criteria:

Especially interesting is, that high beta did well in the last week!

Also interesting is the cot data, commercials bought the dip on the Russel 2000 and also on the Nasdaq100. I am not good at cot data, but from what I see that is move!

Soooooo, things get a bit better here, maybe the market is looking through the fact, that we definitely slowdown into the second quarter.

Not enough for me to get rid of the hedge yet. I am waiting for a pullback and see how the above criteria plays out.

I want to see something like this (May-June, September) on monster high beta, monster big caps (stuff like TSLA etc.). It will take time, wait and see! —>

Or we want to see something like that (2020!), what a super clear signal strength!

It also has year like 2015 (with not so well defined signal strength):

2013 (a reflation regime!) again very good signals.

If high beta (>1.5!) mega caps are doing well + small cap value momentum is doing well at the same time, we have an all-clear signal. Too bad, that is not the case right now. It will take time!

So, it stays difficult for now and that alone is a sign, to let the short on.

Good trading to you!