Evidence-Based Strategies
Rules-based strategies with transparent backtests, drawdowns and current signals.
Dual Momentum (US / International / Bonds)
Each month hold whichever of US equities (SPY) or developed international equities (EFA) has the stronger 12-month return, but only if US equities have a positive 12-month return; otherwise hold intermediate Treasuries (IEF). Based on Gary Antonacci's Global Equities Momentum.
- Family: Relative + absolute momentum
- Entry: SPY 12-month return > 0: hold the stronger of SPY / EFA by 12-month return
- Exit: SPY 12-month return <= 0: switch to IEF
- Rebalance: Monthly, at month-end close
3/10-Month Moving Average Crossover
Hold while the 3-month moving average is above the 10-month moving average (a monthly analogue of the golden cross).
- Family: Trend following
- Entry: 3-month SMA crosses above 10-month SMA
- Exit: 3-month SMA falls below 10-month SMA (move to cash)
- Rebalance: Monthly, at month-end close
10-Month Trend Filter
Hold the asset only while it trades above its 10-month moving average; otherwise sit in cash. Popularised by Mebane Faber's tactical asset allocation research.
- Family: Trend following
- Entry: Month-end close above the 10-month simple moving average
- Exit: Month-end close below the 10-month simple moving average (move to cash)
- Rebalance: Monthly, at month-end close
12-Month Absolute Momentum
Hold the asset only while its trailing 12-month return is positive; otherwise sit in cash.
- Family: Time-series momentum
- Entry: Trailing 12-month total price return > 0 at month-end
- Exit: Trailing 12-month return <= 0 at month-end (move to cash)
- Rebalance: Monthly, at month-end close
| Strategy | Asset | Return a year | Max fall | Sharpe | Buy & hold (return / max fall) | Current signal |
|---|---|---|---|---|---|---|
| Dual Momentum (US / International / Bonds) | S&P 500 (SPY) | 6.7% | -23% | 0.59 | 9.0% / -52% | Hold S&P 500 (SPY) |
| 3/10-Month Moving Average Crossover | Emerging Markets (EEM) | 2.2% | -45% | 0.23 | 3.4% / -62% | Invested |
| 3/10-Month Moving Average Crossover | Developed ex-US (EFA) | 1.9% | -31% | 0.23 | 2.5% / -60% | Invested |
| 3/10-Month Moving Average Crossover | Russell 2000 (IWM) | 3.1% | -40% | 0.29 | 6.7% / -54% | Invested |
| 3/10-Month Moving Average Crossover | S&P 500 (SPY) | 7.7% | -22% | 0.73 | 9.0% / -52% | Invested |
| 3/10-Month Moving Average Crossover | US REITs (VNQ) | 2.6% | -41% | 0.26 | 1.6% / -71% | Invested |
| 3/10-Month Moving Average Crossover | Bitcoin | 36.3% | -40% | 0.86 | 35.9% / -73% | Invested |
| 3/10-Month Moving Average Crossover | Gold Futures | 8.5% | -35% | 0.64 | 10.1% / -42% | In cash |
| 3/10-Month Moving Average Crossover | US 7-10Y Treasuries (IEF) | 0.3% | -15% | 0.09 | 0.3% / -27% | In cash |
| 3/10-Month Moving Average Crossover | Nasdaq 100 (QQQ) | 11.6% | -22% | 0.84 | 14.9% / -50% | Invested |
| 3/10-Month Moving Average Crossover | US 20Y+ Treasuries (TLT) | 0.1% | -34% | 0.06 | -0.7% / -55% | In cash |
| 10-Month Trend Filter | Emerging Markets (EEM) | 3.4% | -34% | 0.32 | 3.4% / -62% | Invested |
| 10-Month Trend Filter | Developed ex-US (EFA) | 3.6% | -23% | 0.39 | 2.5% / -60% | Invested |
| 10-Month Trend Filter | Russell 2000 (IWM) | 5.1% | -26% | 0.44 | 6.7% / -54% | Invested |
| 10-Month Trend Filter | S&P 500 (SPY) | 7.5% | -23% | 0.75 | 9.0% / -52% | Invested |
| 10-Month Trend Filter | US REITs (VNQ) | 1.8% | -29% | 0.21 | 1.6% / -71% | In cash |
| 10-Month Trend Filter | Bitcoin | 51.5% | -40% | 1.03 | 35.9% / -73% | Invested |
| 10-Month Trend Filter | Gold Futures | 7.2% | -39% | 0.56 | 10.1% / -42% | In cash |
| 10-Month Trend Filter | US 7-10Y Treasuries (IEF) | 0.1% | -17% | 0.05 | 0.3% / -27% | In cash |
| 10-Month Trend Filter | Nasdaq 100 (QQQ) | 10.7% | -26% | 0.82 | 14.9% / -50% | Invested |
| 10-Month Trend Filter | US 20Y+ Treasuries (TLT) | 0.2% | -33% | 0.07 | -0.7% / -55% | In cash |
| 12-Month Absolute Momentum | Emerging Markets (EEM) | 3.7% | -41% | 0.34 | 3.4% / -62% | Invested |
| 12-Month Absolute Momentum | Developed ex-US (EFA) | 2.2% | -36% | 0.27 | 2.5% / -60% | Invested |
| 12-Month Absolute Momentum | Russell 2000 (IWM) | 3.5% | -30% | 0.32 | 6.7% / -54% | Invested |
| 12-Month Absolute Momentum | S&P 500 (SPY) | 7.7% | -20% | 0.70 | 9.0% / -52% | Invested |
| 12-Month Absolute Momentum | US REITs (VNQ) | -0.2% | -37% | 0.05 | 1.6% / -71% | In cash |
| 12-Month Absolute Momentum | Bitcoin | 34.5% | -41% | 0.81 | 35.9% / -73% | In cash |
| 12-Month Absolute Momentum | Gold Futures | 8.3% | -27% | 0.60 | 10.1% / -42% | Invested |
| 12-Month Absolute Momentum | US 7-10Y Treasuries (IEF) | 1.0% | -12% | 0.22 | 0.3% / -27% | In cash |
| 12-Month Absolute Momentum | Nasdaq 100 (QQQ) | 13.3% | -22% | 0.87 | 14.9% / -50% | Invested |
| 12-Month Absolute Momentum | US 20Y+ Treasuries (TLT) | -0.6% | -31% | -0.01 | -0.7% / -55% | In cash |
Source: Sonsero Markets weekly snapshot 2026-10-25 (market data from TradingView). Scores and regimes are rules-based descriptions of market conditions, not investment advice. Past performance and backtests do not guarantee future results.