CTA · Core
CTA Mean Reversion
Fade stretched moves in futures over short horizons — the anti-trend sleeve that makes money in ranges and loses when a crisis trend persists.
Definition
Z-score vs a moving mean, RSI extremes, or overnight gaps. Hold days, not months. Often paired with a trend veto (do not fade a 6-month trend). Without the veto it is a crisis-short.
Why it matters
It is the natural diversifier to slow trend inside a multi-strategy CTA. Correlation is negative until the day it is not.
Case
March 2020: fades of each down-day lose; the trend sleeve eventually gets short. A 30% MR weight that month is a hole.
How to read it
Horizon and the trend veto. If there is no veto, treat it as short convexity.
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