Paired Switching (Glenn)

Name: Paired Switching (Glenn), Backtest Time Series
Creator: BestFolio
License: https://creativecommons.org/licenses/by-nc/4.0/

Calculate 3-month total return for SPY and TLT. Current signal: Risk-On. Backtest max drawdown: -62.9%.

Current allocation

Paired Switching (SPY/TLT)

Current allocation is not available yet for this variant. Preview signals are shown separately in Signals.

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Calculate 3-month total return for SPY and TLT. Current signal: Risk-On. Backtest max drawdown: -62.9%.

TacticalFreemoderateRobustness 0.8835FragileStability 0.27

Based on research by Glenn (Quantpedia) · Glenn. Paired Switching. Quantpedia.

This is BestFolio's independent implementation. Not affiliated with or endorsed by the original author.

Launched Aug 22, 2011

momentum

About this Strategy

Paired Switching is a simple binary rotation strategy attributed to Glenn (Quantpedia). Each month, the strategy compares the 3-month total return of two assets (default: SPY and TLT) and allocates 100% to whichever has performed better. The entire portfolio is always in a single asset, with ties going to SPY. This makes the monthly decision easy to inspect, but there is no cash fallback: even when both returns are negative, the strategy owns the stronger of the two. Long-term bonds can lose alongside stocks during inflation and rising-rate shocks. Momentum can also reverse after a switch, so repeated trades can add costs without preventing a drawdown. Follow the same published rule through the evaluation window rather than switching methods after a losing month.

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Strategy Rules

1Calculate 3-month total return for SPY and TLT
2If SPY return >= TLT return → 100% SPY (ties go to SPY)
3If TLT return > SPY return → 100% TLT

Asset Universe

2 instruments this strategy can hold

SPY

S&P 500

TLT

20+ Year Treasuries

Key Differentiators

Monthly rebalancingTactical rotationModerate riskMomentum-based

Research Source

Based on research by Glenn (Quantpedia)

Glenn. Paired Switching. Quantpedia.

Read original paper →

Strategy Info

Type: Tactical (TAA)
Frequency: monthly
Next Rebalance: Oct 109:30 ET (13d)
Variants: 1
Risk Category: moderate
Regime: Risk-On
Signal Date: 2026-08-31
Tags: momentum
Type: Tactical Asset Allocation (TAA)
Trading Frequency: Monthly (last trading day)
Rebalancing: Full portfolio switch each month
Universe Size: 2 assets (SPY + TLT)
Momentum Lookback: 3 months (total return)
Selection: 100% in the asset with higher 3-month return
Weighting: All-or-nothing (100% single asset)
Data Source: Institutional-grade market data (4 months minimum history)

Asset Classes

US EquityLong-Term Treasuries

Research and methodology

Calculate 3-month total return for SPY and TLT. Current signal: Risk-On. Backtest max drawdown: -62.9%. This is a tactical asset allocation strategy. BestFolio supplies the public rule or approach, current signal and allocation, and interactive backtest views on this page. 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 dates below identify the available data and the next scheduled review.

Cadence:: Monthly
Data through:: Backtest data through 2026-09-16; latest signal date 2026-08-31.
History boundary:: Live signals published since 2011-08-22; results before that date are a backtest simulation
Published result:: Engine daily-reset-v1, data version 6d64a011, published 2026-09-10

Rule / approach: Calculate 3-month total return for SPY and TLT; If SPY return >= TLT return → 100% SPY (ties go to SPY); If TLT return > SPY return → 100% TLT.
BestFolio supplies: The monthly signal email and this strategy page.
Customer action: Place any required trades in your own brokerage at the next open on Sep 1, 2026. 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
Freshness: Signal data cutoff Aug 31, 2026 close. Backtest data through 2026-09-16; latest signal date 2026-08-31.
Next expected action: Next review Oct 1, 2026 at the open (09:30 ET). Review the published signal before placing any trade.

Is Paired Switching (Glenn) still working in 2026?

Paired Switching (Glenn) returned 4.22% over the trailing 12 months and 27.37% over 36 months through 2026-09-16, compared with a full-backtest annualized return of 9.09%. Its full-backtest maximum drawdown was -62.88%. The full sample contains 27148 daily NAV observations from 1920-06-30. These are model results, not investor account returns or a promise. Recent returns do not establish that the strategy will keep working.

Paired Switching (SPY/TLT), 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	4.22%	Not annualized	-6.77%	251	2025-09-16 to 2026-09-16
Trailing 36 months	27.37%	Not annualized	-12.09%	752	2023-09-15 to 2026-09-16
Full backtest	1035615.14%	9.09%	-62.88%	27148	1920-06-30 to 2026-09-16

Last verified Sep 16, 2026

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.

Where can I check the signals behind these results?

The Signal History card on this strategy page shows dated model decisions for the selected variant, subject to its access tier. The methodology page explains the backtest assumptions.