CTA · Core
Medium-Term Trend Following
The workhorse speed: roughly 1–4 month lookbacks — enough signal to catch swings, enough noise to bleed in ranges.
Definition
50–100 day MAs, 60–90 day breakouts, 3-month TSMOM. Turnover is monthly-ish. This is where a lot of ‘classic CTA’ P&L and a lot of 2015–16 death-by-a-thousand-cuts live.
Why it matters
It balances lag vs noise. A book that is only this speed is still one factor.
Case
A 2015 oil collapse: medium trend gets short in time and keeps it. A 2016 range in FX: the same speed chops.
How to read it
Pair with a slow sleeve. If medium and slow are 0.95 correlated, you do not have two speeds — you have a marketing slider.
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