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We study the effect of market cycles on both medium-run and long-run relative strength trading strategies. We find that payoffs for both strategies tend to be relatively higher within a market state (rising or falling markets), but substantially lower over transitions between states. Since shorter duration strategies are relatively less likely to include market transitions, our results help reconcile the puzzling fact that medium-run strategies are profitable, but long-run strategies are not. We find that the market's cross-sectional return dispersion: 1) tends to be higher around market transitions, and 2) is negatively related to the subsequent payoffs for both medium-run and long-run strategies.