Multi-Asset Momentum Rotation
Monthly rotation strategy that ranks SPY, QQQ, BTC, and GLD by 12-month momentum and allocates to the top 3. Rebalances monthly. Captures secular trends while diversifying across asset classes.
📡 Current Signal
Current allocation: QQQ, BTC, SPY. Next rebalance Mar 1. GLD ranked 4th.
📊 Indicators
🧪 Backtest Results
| Period | Jan 2015 – Dec 2024 |
| Win Rate | 63% |
| CAGR | 18.1%🔒 Premium |
| Profit Factor | 1.95×🔒 Premium |
| Max Drawdown | -19.4%🔒 Premium |
| Total Trades | 120🔒 Premium |
📐 Methodology
## Multi-Asset Momentum Rotation — Full Methodology
### Universe
- **SPY** — S&P 500
- **QQQ** — Nasdaq 100
- **BTC** — Bitcoin (via BITO ETF or spot)
- **GLD** — Gold
### Ranking
1. Calculate 12-month total return for each asset
2. Rank from highest to lowest
3. Select the top 3
### Allocation
- Equal-weight the top 3: 33.3% each
- If an asset's 12-month return is negative, replace it with cash (T-bills / SGOV)
- Rebalance on the first trading day of each month
### Exit Rules
- No individual exit rules — the monthly rebalance handles rotation
- If all 4 assets have negative 12-month returns, go 100% cash
### Why It Works
Momentum is the most robust factor across asset classes and time periods. Assets that have gone up tend to continue going up (persistence). Monthly rebalancing captures medium-term trends while avoiding excessive turnover.
### Backtest Notes
Tested from Jan 2015 to Dec 2024 (BTC available from 2015). 120 monthly observations. Tax efficiency is low due to monthly turnover — best suited for tax-advantaged accounts. The strategy underperforms in whipsaw environments (2018, 2022 H1) but captures strong trends (2017, 2020–2021, 2023–2024).
🔒 Full methodology requires a subscription
🏷️ Tags
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-H "Authorization: Bearer YOUR_API_KEY"⚠️ DISCLAIMER: All trading signals are AI-generated and for informational purposes only. This is NOT financial advice. Past performance does not guarantee future results. Trade at your own risk. TokenSpy is not a registered investment advisor.