Growth-Trend Timing — Tactical Asset Allocation Strategy
Dual-signal regime strategy using HYG/IEF ratio as a growth proxy and SPY 200-day SMA as a trend filter. Both bullish holds 100% equities; one bullish gives 50/50; neither holds 100% bonds. Monthly rebalancing.
Backtest Performance (1992-11-30 to 2026-04-07)
| Metric | Growth-Trend Timing |
|---|---|
| Compound Annual Growth Rate (CAGR) | 12.0% |
| Maximum Drawdown | -32.6% |
| Sharpe Ratio | 0.91 |
| Sortino Ratio | 1.22 |
| Annualized Volatility | 13.5% |
| Calmar Ratio | 0.37 |
| Total Return | 4283.5% |
| Backtest Period | 33.3 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- Philosophical Economics
Categories
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