KDA-Style Canary Momentum

Name: KDA-Style Canary Momentum, Backtest Time Series
Creator: BestFolio
License: https://creativecommons.org/licenses/by-nc/4.0/

Score SPY, VEA, VWO, BND, LQD, TIP, DBC, GLD and the canaries SHY, IEF by 13612W momentum. Backtest max drawdown: -26.2%.

Strategy & methodology

Score SPY, VEA, VWO, BND, LQD, TIP, DBC, GLD and the canaries SHY, IEF by 13612W momentum; If either canary (SHY, IEF) is at or below zero → 50% SHY + 50% IEF; If both canaries are positive → top 6 of the 8 offensive assets by 13612W…

Strategy type:: Tactical asset allocation
Rebalance frequency:: Monthly
Original publication:: 2026-03; results after that are out-of-sample for the original research. All results are backtest simulations.
Data through:: Backtest data through 2026-10-22.

Simulated history

Stand-in funds and until when (10)

VEA: EFA before Jul 26, 2007
BND: AGG before Apr 10, 2007
VWO: EEM before Mar 10, 2005
TIP: VIPSX before Dec 5, 2003
SHY: VFISX before Jul 26, 2002
LQD: PIGIX before Jul 26, 2002
IEF: VFITX before Jul 26, 2002
TIP: PRTNX before Dec 5, 2003
LQD: VWESX before Jul 26, 2002
SPY: VFINX before Jan 29, 1993

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

Score SPY, VEA, VWO, BND, LQD, TIP, DBC, GLD and the canaries SHY, IEF by 13612W momentum. Backtest max drawdown: -26.2%. 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 monthly 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 d92af094, published 2026-10-17

Is KDA-Style Canary Momentum still working in 2026?

KDA-Style Canary Momentum returned 8.04% over the trailing 12 months and 39.28% over 36 months through 2026-10-22, compared with a full-backtest annualized return of 7.35%. Its full-backtest maximum drawdown was -26.21%. The full sample contains 10658 daily NAV observations from 1985-01-01. These are model results, not investor account returns or a promise. As of 2026-10-22 it is -3.44% below its high-water mark of 2026-03-02, 8 months ago, and its longest run below a previous high was 4.8 years. Recent returns do not establish that the strategy will keep working.

KDA-Style Top 6, USD model NAV. Trailing returns are cumulative; CAGR is annualized. All drawdowns use daily closes.
Period	Return	CAGR	Max drawdown	Observations	Dates
Trailing 12 months	8.04%	Not annualized	-4.94%	252	2025-10-22 to 2026-10-22
Trailing 36 months	39.28%	Not annualized	-6.88%	754	2023-10-20 to 2026-10-22
Full backtest	1836.68%	7.35%	-26.21%	10658	1985-01-01 to 2026-10-22

Last verified Oct 22, 2026

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 2026-03-02, 8 months before 2026-10-22, and it is -3.44% below that level now. The longest run below a previous high in the full backtest was 4.8 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.

KDA-Style Canary Momentum at a glance

KDA-Style Canary Momentum is a tactical asset allocation (TAA) strategy by Keller/Keuning and Kipnis (adapted by BestFolio) across US Equity, International Equity, Emerging Markets, Bonds, rebalanced monthly. Backtested 1985-01-01 to 2026-10-22 (41.8 years): 7.3% CAGR, 0.57 Sharpe, -26.2% max drawdown, 7.2% volatility.

Type: Tactical (TAA)
Author: Keller/Keuning and Kipnis (adapted by BestFolio)
Rebalancing: Monthly
Risk: Moderate
Period: 1985-01-01 to 2026-10-22
CAGR: 7.3%
Sharpe: 0.57
Max Drawdown: -26.2%
Volatility: 7.2%

KDA-Style Canary Momentum — Tactical Asset Allocation Strategy

KDA-Style Canary Momentum is BestFolio's own canary model. It kept the KDA name but it is not Ilya Kipnis's Defensive Adaptive Asset Allocation: it takes two ideas that both go back to Keller and Keuning's Defensive Asset Allocation (a canary universe and 1-3-6-12 fast momentum, 13612W) and applies them with its own rules. Each month it scores eight assets (SPY, VEA, VWO, BND, LQD, TIP, DBC, GLD). If both canaries, short and intermediate Treasuries (SHY and IEF), have positive momentum, it holds the top 6 equally weighted (top 4 in the concentrated variant); if either is at or below zero, it holds 50% SHY and 50% IEF. Supports optional TBSZ stacking.

How it differs from Kipnis's published KDA (2019): his model ranks a ten-asset universe (SPY, VGK, EWJ, EEM, VNQ, RWX, IEF, TLT, DBC, GLD), keeps the top 5 only if their momentum is above zero and weights them for minimum variance; his canary is emerging stocks and the aggregate bond market (VWO, BND), and it sets the risky share at 0%, 50% or 100%, with the protected share in IEF when IEF's momentum is positive and in cash otherwise. Every one of those rules differs here.

KDA-Style Canary Momentum: frequently asked questions

What is KDA-Style Canary Momentum?: Defensive adaptive allocation using Treasury canary assets (SHY, IEF) for regime detection. All canaries positive triggers top-N offensive momentum picks; any negative switches to equal-weight defensive bonds. Monthly rebalancing.
Who created the KDA-Style Canary Momentum strategy?: KDA-Style Canary Momentum was developed by Keller/Keuning and Kipnis (adapted by BestFolio). It is based on the canary universe and 13612W momentum of Keller and Keuning's Defensive Asset Allocation (2018), with BestFolio's own universe, weighting and defence; the KDA name comes from Ilya Kipnis's 2019 post, whose rules differ.
What is the historical return and maximum drawdown of KDA-Style Canary Momentum?: Backtested from 1985-01-01 to 2026-10-22, KDA-Style Canary Momentum returned 7.3% CAGR with a -26.2% maximum drawdown and a Sharpe ratio of 0.57. Past performance does not guarantee future results.
How often is KDA-Style Canary Momentum rebalanced?: KDA-Style Canary Momentum is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
Is KDA-Style Canary Momentum a tactical asset allocation strategy?: Yes. KDA-Style Canary Momentum 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 (1985-01-01 to 2026-10-22)

Metric	KDA-Style Canary Momentum
CAGR	7.3%
Max Drawdown	-26.2%
Sharpe	0.57
Sortino	0.90
Volatility	7.2%
Calmar	0.28
Total Return	1826.4%
Backtest Period	41.8 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: monthly
Risk Level: moderate
Variants: 3
Author: Keller/Keuning and Kipnis (adapted by BestFolio)
Source: the canary universe and 13612W momentum of Keller and Keuning's Defensive Asset Allocation (2018), with BestFolio's own universe, weighting and defence; the KDA name comes from Ilya Kipnis's 2019 post, whose rules differ

Asset Classes

US Equity
International Equity
Emerging Markets
Bonds
TIPS
Commodities
Gold
Short-Term Treasuries

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