Skip to content
All hypotheses

Hypotheses

Cross-Asset Relative-Momentum Rotation Across SPY/TLT/GLD (USEQ, Daily Bars, Monthly Rebalance, Hold the Single Strongest 6-Month Performer, 2-Parameter)

A long-only, low-turnover ROTATION strategy on three deeply liquid, structurally UNCORRELATED US ETFs on the USEQ venue: SPY (US equity beta), TLT (long-duration Treasuries), GLD (gold). Each month the strategy ranks…

Hypothesis

A long-only, low-turnover ROTATION strategy on three deeply liquid, structurally UNCORRELATED US ETFs on the USEQ venue: SPY (US equity beta), TLT (long-duration Treasuries), GLD (gold). Each month the strategy ranks the three by trailing 6-month total return and holds 100% of equity in the SINGLE highest-ranked asset until the next rebalance. This is NOT a symbol/venue swap of the crypto momentum winners (which the meta-learner flags as dead, L91), NOT a regime/vol gate bolted onto a directional signal (L92),……Show moreShow less

A long-only, low-turnover ROTATION strategy on three deeply liquid, structurally UNCORRELATED US ETFs on the USEQ venue: SPY (US equity beta), TLT (long-duration Treasuries), GLD (gold). Each month the strategy ranks the three by trailing 6-month total return and holds 100% of equity in the SINGLE highest-ranked asset until the next rebalance. This is NOT a symbol/venue swap of the crypto momentum winners (which the meta-learner flags as dead, L91), NOT a regime/vol gate bolted onto a directional signal (L92), and NOT one of the USEQ classical anomalies in the dead list L74 (no seasonality, no sector reversion, no dual-TF trend, no cointegration pairs, no vol-regime timing). It is also distinct from the in-pipeline SPY/TLT risk-on/off hysteresis strategy: that switches binary between two assets on a single-asset SMA trend; this RANKS three assets by their own cross-sectional momentum and always holds whichever risk-or-defensive sleeve is objectively leading. The mechanism is the well-documented cross-asset relative-strength effect (Faber/Antonacci class): the leading macro asset tends to persist over 1-3 month horizons, and because the three assets are negatively-to-uncorrelated, the rotation naturally sits in Treasuries or gold during equity drawdowns without ever shorting. Deliberately 2 parameters (lookback = 6 months, number-held = 1) to combat the #2 killer (overfit, 376 deaths) — decades of split-adjusted daily USEQ history give an enormous, honest out-of-sample runway.

Backtest and paper results are hypothetical. Trading involves risk of loss.