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All hypotheses

Hypotheses

Global Tactical Asset Allocation — Broad Cross-Asset-Class Dual-Momentum Rotation with Absolute-Momentum T-Bill Escape (USEQ: SPY / EFA / EEM / TLT / GLD, monthly, hold single top-ranked risk sleeve or BIL cash, 2-parameter)

A long-only, monthly-rebalanced multi-ASSET-CLASS momentum rotation on liquid US-listed ETFs, run entirely on USEQ daily bars (decades of split-adjusted history, commission-free). Each month-end it ranks a diversified…

Hypothesis

A long-only, monthly-rebalanced multi-ASSET-CLASS momentum rotation on liquid US-listed ETFs, run entirely on USEQ daily bars (decades of split-adjusted history, commission-free). Each month-end it ranks a diversified menu of ASSET CLASSES — US equity (SPY), developed intl equity (EFA), emerging equity (EEM), long Treasuries (TLT), gold (GLD) — by a composite RELATIVE momentum score (blend of trailing 3/6/12-month returns) and holds the SINGLE top sleeve. An ABSOLUTE-momentum filter holds that sleeve only if its……Show moreShow less

A long-only, monthly-rebalanced multi-ASSET-CLASS momentum rotation on liquid US-listed ETFs, run entirely on USEQ daily bars (decades of split-adjusted history, commission-free). Each month-end it ranks a diversified menu of ASSET CLASSES — US equity (SPY), developed intl equity (EFA), emerging equity (EEM), long Treasuries (TLT), gold (GLD) — by a composite RELATIVE momentum score (blend of trailing 3/6/12-month returns) and holds the SINGLE top sleeve. An ABSOLUTE-momentum filter holds that sleeve only if its 12-month return beats BIL (T-bills); else it rotates fully to BIL cash. Faber/Antonacci GEM/GTAA generalized beyond a US-centric 3-asset menu, DELIBERATELY distinct from the pending SPY/TLT/GLD 3-asset rotations by adding ex-US/EM equity dispersion and a real credit/duration escape. Placed on USEQ (most under-represented survivable venue, 1.1%) inside the one freshly-passing family; NOT a L74 classical anomaly — it is an always-in-the-best-asset-class trend harvester robust across 30+ years of regimes; NOT a crypto perp basket (multi 0/127 is crypto-specific); 2 real params answers the overfit-380x problem.

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