Strategies · Core
Short-Term Reversal with Futures
Fade last week’s winners and buy last week’s losers across liquid futures — reversal in a cost-friendly universe.
Definition
Cross-section of equity, bond, commodity, and FX futures. Rank on short-horizon return, long losers, short winners, hold a week. No stock-borrow. Capacity and costs are saner than equity weekly reversal.
Why it matters
It tests whether short-term reversal is a microstructure artifact of stocks or a broader overreaction.
Case
A week of one-way USD or oil. The fade is early and the stop matters. Futures reversal is still a positioning unwind trade.
How to read it
Universe, horizon, and vol-scaling. A 20-contract book with energy at 40% vol needs risk parity, not equal contracts.
No query has been run yet. Which is tragically normal for most knowledge systems, but we are trying to evolve past decorative databases.