Tactical Allocation Model
Risk asset universe
Portfolio 70/30 (US Style + Commodity Sectors)
US Style (IWF, IWD, IWB)
Top 3 US Indexes (QQQ, IWM, SPY)
Geo Mix (SPY, IEFA, IEMG)
Commodity Sectors (GLD, DBE, DBA, DBB)
Bond Geo/Type (TLT, LQD, EMB)
Bond Credit Quality (TLT, LQD, HYG)
Assets to hold
1
2
3
4
5
Single absolute momentum
Yes (filter on configured absolute momentum asset)
No (filter on dynamic top-1 asset)
Absolute momentum asset
BIL — SPDR Bloomberg 1-3M T-Bill (cash)
SPY — SPDR S&P 500
QQQ — Invesco QQQ Trust (Nasdaq-100)
IWM — iShares Russell 2000
IJH — iShares Core S&P Mid-Cap (S&P 400)
IJR — iShares Core S&P Small-Cap (S&P 600)
IWF — iShares Russell 1000 Growth
IWD — iShares Russell 1000 Value
IWB — iShares Russell 1000
IEFA — iShares Core MSCI EAFE
IEMG — iShares Core MSCI Emerging Markets
XLK — Technology Select Sector SPDR
XLF — Financial Select Sector SPDR
XLE — Energy Select Sector SPDR
XLV — Health Care Select Sector SPDR
XLY — Consumer Discretionary Select Sector SPDR
XLP — Consumer Staples Select Sector SPDR
XLI — Industrial Select Sector SPDR
XLU — Utilities Select Sector SPDR
XLB — Materials Select Sector SPDR
AGG — iShares Core US Aggregate Bond
SHY — iShares 1-3 Year Treasury Bond
IEF — iShares 7-10 Year Treasury Bond
TLT — iShares 20+ Year Treasury Bond
LQD — iShares iBoxx Investment Grade Corporate Bond
HYG — iShares iBoxx High Yield Corporate Bond
EMB — iShares JPMorgan USD Emerging Markets Bond
DBC — Invesco DB Commodity Index
GLD — SPDR Gold Shares
SLV — iShares Silver Trust
DBE — Invesco DB Energy
DBA — Invesco DB Agriculture
DBB — Invesco DB Base Metals
USO — United States Oil Fund
UNG — United States Natural Gas Fund
Out-of-market asset
GDX — VanEck Gold Miners
BIL — SPDR Bloomberg 1-3M T-Bill
TLT — iShares 20+ Year Treasury Bonds
IEF — iShares 7-10 Year Treasury Bonds
GLD — SPDR Gold Shares
DBC — Invesco DB Commodity Index
Benchmark comparison asset
SPY — SPDR S&P 500
QQQ — Invesco QQQ Trust (Nasdaq-100)
IWM — iShares Russell 2000
IJH — iShares Core S&P Mid-Cap (S&P 400)
IJR — iShares Core S&P Small-Cap (S&P 600)
IWF — iShares Russell 1000 Growth
IWD — iShares Russell 1000 Value
IWB — iShares Russell 1000
IEFA — iShares Core MSCI EAFE
IEMG — iShares Core MSCI Emerging Markets
XLK — Technology Select Sector SPDR
XLF — Financial Select Sector SPDR
XLE — Energy Select Sector SPDR
XLV — Health Care Select Sector SPDR
XLY — Consumer Discretionary Select Sector SPDR
XLP — Consumer Staples Select Sector SPDR
XLI — Industrial Select Sector SPDR
XLU — Utilities Select Sector SPDR
XLB — Materials Select Sector SPDR
AGG — iShares Core US Aggregate Bond
SHY — iShares 1-3 Year Treasury Bond
IEF — iShares 7-10 Year Treasury Bond
TLT — iShares 20+ Year Treasury Bond
LQD — iShares iBoxx Investment Grade Corporate Bond
HYG — iShares iBoxx High Yield Corporate Bond
EMB — iShares JPMorgan USD Emerging Markets Bond
DBC — Invesco DB Commodity Index
GLD — SPDR Gold Shares
SLV — iShares Silver Trust
DBE — Invesco DB Energy
DBA — Invesco DB Agriculture
DBB — Invesco DB Base Metals
USO — United States Oil Fund
UNG — United States Natural Gas Fund
Equity chart scale
Linear
Logarithmic
Lookback preset
1 / 3 / 6 months (33% / 33% / 34%)
1 / 2 / 3 months (33% / 33% / 34%)
3 / 6 / 12 months (33% / 33% / 34%)
Run Backtest
Submit to run backtest.