Short Term Momentum that Works 2.0 - With Macro Filter + Mean Reversion
Today’s Change (Oct 12, 2026)
—
A symphony is an automated trading strategy — Learn more about symphonies here
About
A daily, tactical ETF strategy that reads macro regimes, overbought/oversold (RSI), and a quick bottoming test (banks vs insurers) to rotate. It leans into tech/semis in risk‑on, shifts to Treasuries, gold, utilities, USD and volatility hedges, and can use inverse ETFs in selloffs.
How it works1) Reads the macro “weather” by comparing simple scorecards (e.g., copper miners vs mortgages) to pick a regime (inflationary, disinflationary, stagflation, crash).
2) Chooses baskets: offense (semiconductors/SOXX) or defense (Treasuries/TLT, gold/GLD, utilities/XLU), plus FX/volatility hedges (VIXM).
3) RSI (a short‑term speedometer) flags overbought/oversold.
4) Before shorting, it checks if banks beat insurers (EUFN > KIE), a sign a bounce may start.
5) Rebalances daily; sizes trim risk by volatility.
Value propOutperforms on a risk-adjusted basis: OOS Sharpe ~9 vs SPY ~3.9, OOS return ~76.5% vs 41%, and smaller drawdowns. Daily regime rotation stays with leaders (semis) and hedges with bonds, gold, and VIX in downturns.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
| Alpha | Beta | R2 | R | |
|---|---|---|---|---|
| 0.26 | 0.23 | 0.15 | 0.38 |
Performance Metrics
| Cumulative Return | Annualized Return | Trailing 1M Return | Trailing 3M Return | Sharpe Ratio | |
|---|---|---|---|---|---|
| 476.38% | 14.35% | 2.37% | 3.83% | 0.88 | |
| 4,453.48% | 33.96% | 5.11% | 4.34% | 2.88 |
Initial Investment
$10,000.00
Final Value
$455,347.62Regulatory Fees
$3,217.86
Total Slippage
$24,906.95
Invest in this strategy
OOS Start Date
Sep 17, 2026
Trading Setting
Daily
Type
Stocks
Category
Tactical etf,multi-asset,macro regime rotation,momentum + mean reversion,volatility hedging,long/short,daily rebalance,risk-managed
Tickers in this symphonyThis symphony trades 72 assets in total
Ticker
Type
ACWI
iShares MSCI ACWI ETF
Stocks
BTAL
AGF U.S. Market Neutral Anti-Beta Fund
Stocks
COPX
Global X Copper Miners ETF (NEW)
Stocks
CPER
United States Copper Index Fund
Stocks
CWB
State Street SPDR Bloomberg Convertible Securities ETF
Stocks
DBA
Invesco DB Agriculture Fund
Stocks
DBC
Invesco DB Commodity Index Tracking Fund
Stocks
DBP
Invesco DB Precious Metals Fund
Stocks
DGT
State Street SPDR Global Dow ETF
Stocks
DUST
Direxion Daily Gold Miners Index Bear 2X ETF
Stocks