A momentum rotation strategy that holds the strongest global ETFs while the broad market trend is up, and steps aside when it isn't.
1
Rank every ETF by momentum
Each month, every ETF in the universe is ranked by a blended Strength score — a trailing-momentum measure combined with a secondary signal that rewards assets sitting near their highs. Higher Strength ranks higher.
2
Apply the trend filter
Each ETF must be trading above its short-term trend average to qualify. ETFs that fail this filter are excluded — even if their Strength is high. This keeps the portfolio away from tickers in short-term downtrends.
3
Check the market regime
If the broad U.S. market is trending down on both a medium- and a longer-term basis, the entire strategy rotates into a defensive mix of a traditional hedge asset and a high-quality bond allocation. This is the bear-market defense — it kept the strategy positive in 2008 when the market fell 44%.
4
Hold the top four
When risk is on, the strategy buys the four highest-Strength qualifying ETFs, equally weighted at 25% each. A limited, diversified amount of leverage is allowed — spread across more than one underlying index rather than concentrated in one.
5
Rebalance on the 3rd trading day
Positions are reviewed and rebalanced on the third trading day of each month. Winners are held, laggards are swapped out for the next best qualifier. On the rare month where fewer than four ETFs qualify, the empty slots fall back to the same defensive rotation used during a full risk-off regime — the strategy is never left idling in cash.
Strategy Parameters
Universe
75 ETFs across global equities, sectors, leveraged funds & hedge assets
Momentum
blended trailing-return lookback
Strength score
momentum blended with a trend-quality signal
MTD
return since this month's opening price
Trend filter
short-term moving-average filter
Regime filter
dual-horizon (medium + long-term) trend signal
Holdings
Top 4 · equal weight · 25% each
Leveraged ETFs
broad-index only · capped & diversified
Risk-off holdings
defensive hedge + bond mix
Execution
3rd trading day of each month
Backtest
1997–2026 · CAGR 24.3% · Sharpe 1.126 · MaxDD −26.5%
⚠ 5.6 of the 24.3 CAGR points above come from a single volatile holding's outsized gains — don't count on that repeating.