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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.

From what I have seen, strategies like this work better if the traded assets are less highly correlated than SPY and QQQ; e.g. small or mid-caps paired with a large-cap; also if the relevant look-back is not quite so long (somewhere between 4 and 10 months always seems to work better than twelve).


Here, for example, is a trade that swaps the Mid-Cap 400 and the Nasdaq. It uses DBE (BCC > 3) as insurance against serious bears, and judges momentum using a combination of short (4m) and intermediate (9m) momentum. For this purpose I prefer RRS to TRP, primarily because it reduces trading.

This screen will keep you in the market about 80% of the time.

https://tinyurl.com/52sy5c9z


Baltassar

Have you read Gary Antonacci’s Dual Momentum book? This describes that strategy in great detail.

Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk https://a.co/d/ct4yNPc

I've been using dual momentum for years within my GTAA approach of 9-10 asset class etfs. Above cash and best 4 of remaining. Easy to automate in a sheet.

FWIW, I ran a Dual Momentum screen for a few years. It was not very hard, but after awhile I noticed that it almost all the time picked VTI. So I stopped and just left it in VTI.

FWIW, I ran a Dual Momentum screen for a few years. It was not very hard, but after awhile I noticed that it almost all the time picked VTI. So I stopped and just left it in VTI.

As a fortuitous side effect of another screen evaluation tool I just created, it ws pretty easy to backtest a DM (GEM) screen.

The screen is: every month compute the 12 month (or 7 month) absolute momentum of three ETFs,
VTI, CWI, AGG. Whichever is the highest, move all the money to that one. Repeat every month.
A tweak is to go to cash in a month when all 3 have negative absolute momentum.

These three are the best I could find in their category that had the longest time in existance.
Jan 2007 to Oct 2025

There were several times when VTI was the pick for 2 or 3 years straight, except for an occasional one month switch to another one.

The statistics:

Jan 2007 to Oct 2025                                                  
12 month RS                                                 
VTI       CWI       AGG                           
count     count     count               All in    Out when all negative
136       25        52        CAGR      7.1%      7.6%
                              Stdev     12.1%     11.4%
                                                  
7 mo RS                                           
VTI       CWI       AGG                           
count     count     count                         
124       34        55        CAGR      7.4%      7.6%
                              Stdev     11.5%     10.7%
                                                  
B&H                                               
VTI       CWI       AGG                           
11.0%     4.3%      2.9%      CAGR                
16.4%     18.2%     4.8%      Stdev               

"Count" is the number of months that the ETF was selected.

Buy&hold VTI had 11% CAGR
GEM had about 7.5% CAGR, and also lower volatility.
To me, the game isn't worth the candle.

MSCI All Country World ex-U.S. Index (CWI & other ETFs) has been TERRIBLE.
The USA is the place to invest. The rest of the 1st world not so much.

Thanks. That was my gut feeling. That it worked in backtest but not in reality.

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