The model I use most frequently simply involves reversals off the Z-score bands and generates the signals noted above.
BTW, I've simplified the position of the P&L relative to R2 into 3 categories in order to minimize confusion.
Per yesterday's comments, the signals are continuing to turn negative as the open Q longs all show negative momo while the net short positions of the Qs both show positive momo.
The fact that the Qs/UUP pair has an ascending P&L in the face of a short signal is not inconsistent as our goal is simply to keep adding to our net gain however we can.
The Qs/VIX pair continues to provide a contrarian signal and, as mentioned previously, should not be considered tradeable but simply used as a momentum indicator.
Now this is another version of the same pairs, but with the Switch Trade option turned on. Adding this option increases the frequency of trades since the trigger is pulled at the first band kiss rather than at the reversal. The result is a bump in net gains at the expense of a bit more risk exposure
The Z&R model does demonstrate more volatility than the Z only model and shows some disparity among the signals. For the near term I'm sticking with the Z only model for upcoming basket testting.
What's not clear is whether this disparity of performance is unique to the Qs basket of whether this is more universal. Additional pair basket tests should help resolve this question.