Golden Ratio Dual Gate (SPY + TIP)
View this strategy's rules and backtest. Backtest max drawdown: -37.3%.
Strategy & methodology
Two-state daily tactical allocation on a Golden-Ratio-style risk-parity sleeve (SPMO momentum, VBR small value, DBMF managed futures, GLD gold, TLT long treasuries).
- Strategy type:
- Tactical asset allocation
- Rebalance frequency:
- Daily
- Original publication:
- 2026-07; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-10-07.
Simulated history
- Full history, since 2008
- 19.6% a year, worst fall -37.3% (Mar 18, 2020)
- Since UPRO launched (Jun 25, 2009)
- 22.6% a year, worst fall -37.3% (Mar 18, 2020)
Still partly simulated until May 2019: DBMF and SPMO are reconstructed before their own launch.
Stand-in funds and until when (4)
- DBMF: KMLM before May 8, 2019
- SPMO: MTUM before Jan 2, 2018
- SPMO: PDP before Jan 2, 2018
- UPRO: simulated 3x SPY before Jun 25, 2009
Before these dates the backtest uses a stand-in, not the fund itself, so the results over those stretches show how the rules would have behaved, not what the fund returned.
Research data and disclosures
View this strategy's rules and backtest. Backtest max drawdown: -37.3%. This is a tactical asset allocation strategy. BestFolio supplies the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access. Users review the published signal and place any resulting trades in their own brokerage. Displayed returns remain hypothetical and do not represent a customer's brokerage record. The facts above show how current the data is.
- BestFolio supplies
- The daily signal email and this strategy page; current signals and email alerts require Pro access.
- Customer action
- Review the published signal and place any required trades in your own brokerage. BestFolio does not execute orders.
- Costs and exclusions
- Backtests are net of a modeled one-way transaction cost (10 bps, scaled up to 3x under stress); taxes, fund-expense drift, or market impact are not modeled. No tax, no slippage beyond the stated cost. Methodology limitations
Published result: Engine drift-until-flip-v1, data version fba9232e, published 2026-10-05
Is Golden Ratio Dual Gate (SPY + TIP) still working in 2026?
Golden Ratio Dual Gate (SPY + TIP) returned 14.23% over the trailing 12 months and 132.02% over 36 months through 2026-10-06, compared with a full-backtest annualized return of 19.61%. Its full-backtest maximum drawdown was -37.28%. The full sample contains 4653 daily NAV observations from 2008-04-09. These are model results, not investor account returns or a promise. As of 2026-10-06 it is -4.29% below its high-water mark of 2026-06-02, 4 months ago, and its longest run below a previous high was 1.4 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 14.23% | Not annualized | -14.46% | 252 | 2025-10-06 to 2026-10-06 |
| Trailing 36 months | 132.02% | Not annualized | -18.94% | 752 | 2023-10-06 to 2026-10-06 |
| Full backtest | 2642.04% | 19.61% | -37.28% | 4653 | 2008-04-09 to 2026-10-06 |
Last verified
Common questions about these results
Are these live investor returns?
No. These are the latest model NAV results from the published backtest. A recent date alone does not make a result an independently observed live record. Investor costs, taxes and execution can differ.
Why can a strategy lag for a year?
A tactical model can hold defensive assets during a rally or change positions during reversals. A short window can differ substantially from its full history. Compare cumulative returns over matching dates and inspect drawdowns as well.
How long has it spent below a previous high?
Its last high-water mark was 2026-06-02, 4 months before 2026-10-06, and it is -4.29% below that level now. The longest run below a previous high in the full backtest was 1.4 years. Recovering from a drawdown can take years, and a strong trailing return does not mean a past high has been regained.
Where can I check the signals behind these results?
The Signals tab on this page lists each dated model decision for the selected variant; for Pro strategies they are visible to Pro members. The methodology page explains the backtest assumptions.
Golden Ratio Dual Gate (SPY + TIP) at a glance
Golden Ratio Dual Gate (SPY + TIP) is a tactical asset allocation (TAA) strategy by u/confettofetti (r/LETFs), rebalanced daily. Backtested 2008-04-09 to 2026-10-07 (18.5 years): 19.6% CAGR, 1.06 Sharpe, -37.3% max drawdown, 20.1% volatility.
- Type
- Tactical (TAA)
- Author
- u/confettofetti (r/LETFs)
- Rebalancing
- Daily
- Risk
- Aggressive
- Period
- 2008-04-09 to 2026-10-07
- CAGR
- 19.6%
- Sharpe
- 1.06
- Max Drawdown
- -37.3%
- Volatility
- 20.1%
Golden Ratio Dual Gate (SPY + TIP) — Tactical Asset Allocation Strategy
Two-state daily tactical allocation on a Golden-Ratio-style risk-parity sleeve (SPMO momentum, VBR small value, DBMF managed futures, GLD gold, TLT long treasuries). Each gate is a 200-day SMA band with a separate entry and exit line: SPY turns on above +1% and off below -1%, the TIP canary (VIPSX) turns on above +0.1% and off below -0.1%, and each holds its state inside its band. When both gates are on it holds 50% UPRO on top of the sleeve at half weight. Otherwise it drops UPRO and holds the sleeve at full weight. Risk-On and Risk-Off share the same sleeve, so only UPRO is added or removed, which keeps whipsaw turnover low. The strategy is never in cash, so a false de-lever signal costs only the leverage, not a flat return. The TIP canary steps the strategy out of leverage in inflation/rates regimes the SPY 200-SMA alone misses. BestFolio uses VIPSX as the TIP signal series for longer clean history, and its honest history is bounded near 2007 by the managed-futures proxy.
Golden Ratio Dual Gate (SPY + TIP): frequently asked questions
- What is Golden Ratio Dual Gate (SPY + TIP)?
- Two-state daily tactical allocation on a Golden-Ratio-style risk-parity sleeve (SPMO momentum, VBR small value, DBMF managed futures, GLD gold, TLT long treasuries). Each gate is a 200-day SMA band with a separate entry and exit line: SPY turns on above +1% and off below -1%, the TIP canary (VIPSX) turns on above +0.1% and off below -0.1%, and each holds its state inside its band. When both gates are on it holds 50% UPRO on top of the sleeve at half weight. Otherwise it drops UPRO and holds the sleeve at full weight. Risk-On and Risk-Off share the same sleeve, so only UPRO is added or removed, which keeps whipsaw turnover low. The strategy is never in cash, so a false de-lever signal costs only the leverage, not a flat return. The TIP canary steps the strategy out of leverage in inflation/rates regimes the SPY 200-SMA alone misses. BestFolio uses VIPSX as the TIP signal series for longer clean history, and its honest history is bounded near 2007 by the managed-futures proxy.
- Who created the Golden Ratio Dual Gate (SPY + TIP) strategy?
- Golden Ratio Dual Gate (SPY + TIP) was developed by u/confettofetti (r/LETFs).
- What is the historical return and maximum drawdown of Golden Ratio Dual Gate (SPY + TIP)?
- Backtested from 2008-04-09 to 2026-10-07, Golden Ratio Dual Gate (SPY + TIP) returned 19.6% CAGR with a -37.3% maximum drawdown and a Sharpe ratio of 1.06. Past performance does not guarantee future results.
- How often is Golden Ratio Dual Gate (SPY + TIP) rebalanced?
- Golden Ratio Dual Gate (SPY + TIP) is rebalanced daily. BestFolio publishes the updated allocation signal each period.
- Is Golden Ratio Dual Gate (SPY + TIP) a tactical asset allocation strategy?
- Yes. Golden Ratio Dual Gate (SPY + TIP) is a tactical asset allocation (TAA) strategy: it adjusts its holdings based on market signals each period rather than holding a fixed allocation.
Backtest Performance (2008-04-09 to 2026-10-07)
| Metric | Golden Ratio Dual Gate (SPY + TIP) |
|---|---|
| CAGR | 19.6% |
| Max Drawdown | -37.3% |
| Sharpe | 1.06 |
| Sortino | 1.85 |
| Volatility | 20.1% |
| Calmar | 0.53 |
| Total Return | 2622.9% |
| Backtest Period | 18.5 years |
Every rebalance fills at the signal-day close, net of modeled transaction costs. Followers trade at the next open; the delayed-close line in the Rebalance Frequency Sensitivity card shows the effect of trading one session later. Execution assumption
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- daily
- Risk Level
- aggressive
- Variants
- 1
- Author
- u/confettofetti (r/LETFs)
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
Holding Golden Ratio Dual Gate (SPY + TIP) alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
Track Golden Ratio Dual Gate (SPY + TIP) in Your Portfolio
Sign up for BestFolio to get monthly rebalancing signals, blend strategies into custom portfolios, and receive alerts when allocations change.
Related strategies
Related research
- A Backtest Has More Than One Start Date: Golden Ratio Rolling StartsGolden Ratio Dual Gate compounds at 19.9% over the full backtest, yet its rolling 5-year outcomes ranged from 12.1% to 31.7% depending on the start month. We replayed all 160 eligible starts, lump sum and DCA, from the production series.
- The Hidden Financing Spread Inside a 2x UCITS ETFLVWC charges 0.60%, but that figure sits after the leveraged index has already paid for borrowing. We trace every layer and use Amundi's older 2x USA fund to show what can be measured today.
- DCA Into a Leveraged ETF: The Return Path Matters More Than the AverageRegular contributions helped a synthetic 2x S&P 500 position across long historical windows, but they never removed sequence risk. In 5,000 block-resampled 15-year paths, the leveraged route still trailed 24.74% of the time.