Multi-Speed Trend Ensemble
Blend fast, medium, and slow trend signals in each market so the book is not a single lookback dressed as a diversified program.
Definition
Each market gets a stack of signals (e.g. 20d / 60d / 180d) with weights that may be equal, vol-scaled, or optimized. Net position is the sum. Fast sleeves cut lag; slow sleeves cut noise. Correlation across speeds is still high in a one-way year.
Why it matters
It is how modern large CTAs actually run trend. A single 10-month SMA is a teaching model, not the live stack.
Case
2022 rates: all speeds aligned short duration — the ensemble was a bigger short, not a hedge of itself. 2016 ranges: speeds cancelled and the book shrank, which was correct.
How to read it
Weighting rule and whether speeds can net to flat. If they always agree, you paid for three copies of one signal.