As McElligott writes in his latest note, referring to the dynamic he has been discussing recently in terms of the CTA Trend model’s US Equities extremely over-weighted 1Y window (where 90% of the overall model signal input across the five horizons), the window of “mechanical” sell-trigger levels for the trend-following community, is “kicking-off” in the coming-days—and thus moves us closer to triggering systematic trend fund “deleveraging” looking-out. The timing would coincide with his prior “Ides of March” warning, and would strike in about two weeks, coinciding with the March Op-Ex pullback phenomenon, and commencement of corporate “buyback blackout” at same time.
https://www.zerohedge.com/news/2019-03-05/we-are-just-days-away-critical-cta-sell-trigger
