Batten Down The Hatches: Major CTA Sell Trigger Is Days Away

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.