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Does anyone trading a weekly or monthly system with a regime filter, shift cash positions to a daily system (with no filter) when the weekly/monthly system filter is triggered?
Funnily enough I did do this at the start of this week. I figured I might as well “work” the funds while they were idle.
It’s very easy to do this with a mean reversion system as you can switch back at a moments notice…well a day’s notice.
It would be an interesting study to look at the returns of MR or MOC systems when the weekly and monthly systems are in cash.
