This simple strategy is inspired by Gary Antonacci's GEM strategy. The strategy uses a dual momentum model with a risk-on securities basket containing SPY (US equities), EFA (international developed equities), EEM (emerging market equities) and XIV (inverse volatility). AGG (bonds) is used as the absolute momentum filter and TLT (long-term treasuries) is used as the out-of-market asset. The strategy has 4 holding slots of 25% each and can be filled by any of the securities mentioned above.
One small difference: this strategy uses a 1-month look-back period and only trades quarterly vs. Antonacci's 12-month look-back period and monthly trading. The reasoning is explained in this post.
Here's the link to this strategy on Portfolio Visualizer for confirmation: http://bit.ly/2w0dqog
Below is a pre-2008 backtest of the strategy on Portfolio Visualizer using synthetic XIV data found here. Read this for the caveats of using synthetic XIV/VXX data. Note that the stats are based on monthly return data.
Enjoy! Please help me improve it if you can. If anything is off or weird, please let me know as well! For any collaboration request or general consultation, feel free to email: [email protected]