A momentum rotation strategy that holds the strongest global ETFs while the broad market trend is up, and steps aside when it isn't.
1
Rank every ETF by momentum
Each month, all 77 ETFs in the universe are ranked. The Momentum column is the average of each ETF's 10-month and 11-month trailing returns; that is blended with a 10% weight on how close it sits to its 52-week high to give the Strength score. Higher Strength ranks higher.
2
Apply the trend filter
Each ETF must be trading above its 21-day moving average to qualify. ETFs that fail this filter are excluded — even if their Strength is high. This keeps the portfolio away from tickers in short-term downtrends.
3
Check the market regime
If VTI (the total US stock market) is trading below its 12-month average, the entire strategy moves to cash (BND/money market). This is the bear market defense — it kept the strategy positive in 2008 when the market fell 44%.
4
Hold the top four
When risk is on, the strategy buys the four highest-Strength qualifying ETFs, equally weighted at 25% each. No more than one leveraged ETF (3× funds) is allowed in the portfolio at any time.
5
Rebalance on the 3rd trading day
Positions are reviewed and rebalanced on the third trading day of each month. Winners are held, laggards are swapped out for the next best qualifier. Any slot with no qualifying ETF is parked in BND or a money market fund.
Strategy Parameters
Universe
77 ETFs (61 base · 9 leveraged · 7 inverse)
Momentum
avg(10-mo + 11-mo returns)
Strength score
90% Momentum + 10% 52-week-high proximity
MTD
return since this month's opening price
Trend filter
ETF must be above its 21-day SMA
Regime filter
VTI must be above its 12-month SMA
Holdings
Top 4 · equal weight · 25% each
Max leveraged
1 of 4 slots (3× ETFs only)
Cash substitute
BND or money market (whichever yields more)
Execution
3rd trading day of each month
Backtest
1997–2026 · CAGR 21.1% · Sharpe 0.915