Quote Originally Posted by pdp-brugge View Post
Pascal,

I do not understand why the XLI has turned to cash last Friday.
Clearly the MF has dropped significantly and there is absolutly no reason to keep the previous "Bought Oversold".
Please help me to understand why cash and not short.

PdP
It is because the model does not short when in Oversold. Oversold levels often lead to sharp bounces.
However, the model does turn to short when falling back down from Overbought when the volatility level is high enough.



Pascal