it's on CTAs and it's Nomura so really you should just say Charlie McElligott; or maybe he's got so much clout it's a flexpic.twitter.com/ESEcI2HQF3
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last time I looked at the model was over a year ago, it may have changed, but at the time it was simple +/-1 buckets for different time horizons, eg “1m and 3m trend followers are long, 6m and 12m are short”
which lends itself to simplistic price level interpretations like “if SPX hits 3700 then CTAs will flip to max short” like somehow 3700 is a magic level where suddenly CTA positioning will flip
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in reality CTA positioning is pretty continuous wrt price moves, you don’t get massing buying or selling at particular levels
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right that makes sense. Seems out of line with (my understanding of) 'typical' practices; ie if it moved below x trend that could trigger trading, but...it also might not, and it also isn't necessarily a whipsaw but rather paring (or bolstering) positions. Hope I'm not 2 far off
End of conversation
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