I'm trying to understand how to combine two strategies dynamically in trading: one mean-reversion and the other momentum.
One way (also the simplest one) of doing this is by scaling/normalizing values from both strategies and simply adding them. However, this doesn't seem to be a very smart way of doing things.
Is there a way (statistics/technical analysis/DSP/etc.) of separating momentum stocks from mean-reverting stocks and applying these strategies separately on those stocks based on whether they are more likely to be trending than mean-reverting? Or maybe some other way of utilizing both strategies in tandem to achieve a higher Sharpe?