Post #4538 by Mark19 on the Mechanical Investing board

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Investment Strategies / Mechanical Investing

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No. of Recommendations: 3

Once per month (e.g., end of month):

Step 1 — Compute 12-month returns:

SPY 12-month return

QQQ 12-month return

T-bills (or SHV) 12-month return

Step 2 — Choose the strongest

If QQQ has the highest 12-mo return → own QQQ
If SPY has the highest → own SPY
If cash (SHV/BIL) is strongest → own cash

Step 3 — Apply a trend filter (optional but improves Sharpe)

Only invest in SPY/QQQ if it's above its 10-month (200-day) moving average.

If it’s below → move to cash/bills.

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