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As I thought more about Trend Following Factors from Hsieh and Fung, I thought that the trend following factors might indicate a state/regime for the equity markets that could potentially offer momentum-style timing signals for a system on the S&P 500. Now, THIS ABSOLUTELY SHOULD NOT BE CONSIDERED INVESTMENT ADVICE, especially since the factor data is very lagged and the testing is nowhere near comprehensive enough. I will however try to replicate the factor methodology to get a more real-time indicator extended to any index in another post. What is most interesting to me is that this is ex-ante intuitive and the signal is just basic statistics.
Comments have been very light. Please let me know your thoughts.
R code from GIST: