Financial Rohrschach

Here's a cumulative return plot of the lazy Drop the Mic trading strategy outlined yesterday.

Long periods of flatlining show when the strategy is in hibernation.

Just for fun, here is how the strategy weights its holding in the S&P 500 over time.

How often do you see a symmetric picture like this in finance?

Autocorrelation stays more or less stable but the previous return flips from negative to positive, which impacts the current weightings.

So while the strategy keeps weightings low for long periods of time, it doesn't 'not trade' per se, either way, the upshot is that very flat sideways slide over long periods.