The rules-based trading strategy takes a simple investment idea as its base assumption yesterday's winners have a habit of becoming tomorrow's losers. Or as bankers say markets tend to revert to the mean. Based on an index of just six liquid commodities û crude oil, heating oil, gold, aluminium, wheat and corn û this mean-reversion strategy overweights the trades it likes and under-weights those it doesn't.
Right now it is heavily invested in energy, but recently the strategy has been moving away from oil, and...
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