Paired Switching (Glenn)
TacticalFreemoderateBased on research by Glenn (Quantpedia) · Glenn. Paired Switching. Quantpedia.
This is BestFolio's independent implementation. Not affiliated with or endorsed by the original author.
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. The logic is that stocks and long-term bonds tend to be negatively correlated, so switching between them based on recent momentum captures the dominant macro trend.
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
Key Differentiators
Research Source
Based on research by Glenn (Quantpedia)
Glenn. Paired Switching. Quantpedia.
Strategy Info
- Type
- Tactical (TAA)
- Frequency
- monthly
- Next Rebalance
- Jun 109:30 ET (28d)
- Variants
- 1
- Risk Category
- moderate
- Regime
- Aggressive
- Signal Date
- 2026-05-29
- 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
Paired Switching (Glenn) at a glance
Paired Switching (Glenn) is a tactical asset allocation (TAA) strategy by Glenn (Quantpedia) across US Equity, Long-Term Treasuries, rebalanced monthly. Backtested 1986-09-30 to 2026-05-04 (39.6 years): 10.3% CAGR, 0.74 Sharpe, -33.1% max drawdown, 14.8% volatility.
- Type
- Tactical (TAA)
- Author
- Glenn (Quantpedia)
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-09-30 to 2026-05-04
- CAGR
- 10.3%
- Sharpe
- 0.74
- Max Drawdown
- -33.1%
- Volatility
- 14.8%
Paired Switching (Glenn) — Tactical Asset Allocation 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. The logic is that stocks and long-term bonds tend to be negatively correlated, so switching between them based on recent momentum captures the dominant macro trend.
Backtest Performance (1986-09-30 to 2026-05-04)
| Metric | Paired Switching (Glenn) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 10.3% |
| Maximum Drawdown | -33.1% |
| Sharpe Ratio | 0.74 |
| Sortino Ratio | 0.94 |
| Annualized Volatility | 14.8% |
| Calmar Ratio | 0.31 |
| Total Return | 4762.3% |
| Backtest Period | 39.6 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- Glenn (Quantpedia)
- Source
- Glenn. Paired Switching. Quantpedia.
Asset Classes
- US Equity
- Long-Term Treasuries
Categories
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