HI gents,
not sure I fully understand the US sector rotation as I was looking through the historical signals and I saw this
11/30/2016 12/30/2016 XLI 30 0.31 0.47
11/30/2016 12/30/2016 XLF 40 3.76 0.47
11/30/2016 12/30/2016 XLF -30 3.76 0.47
is XLF a typo ? Seems to have both a long and short position open concurrently ?
No, This can really happen due to the fact that we use 5 uncorrelated strategies. But in such a case we would probably just go long the difference and go to cash with 30% or we would go long the second best sector.