We study time variation in the profitabilities of medium-term momentum and long-term reversals trading strategies over the business cycle. We find reliable evidence that turning points in the business cycle are critically important in determining momentum and reversals profits. Specifically, momentum profits at business cycle peaks are higher than at business cycle troughs. The opposite pattern is found for reversals profits. Business cycle peaks show lower reversals profits than at troughs. The results indicate that momentum profits are not simply procyclical, but instead exhibit an intriguing and complex non-linear relation with macroeconomic conditions. We also find that the loser stocks are the primary determinant of time variation in momentum and reversals profitabilities across business cycles. Finally, our results remain robust after controlling for market state, cross-sectional return dispersion, and investor sentiment. Taken together, our findings pose challenges to existing theories of the momentum and reversals effects.