Here is a simple long-term momentum strategy that mitigates large downturns in the overall market. It invests in SPY (S&P 500 index ETF) when SPY's 100-day moving average is above its 500-day moving average. When its 100 MA crosses below its 500 MA, the strategy invests 30/30/30% in 20+ yr t-bonds, gold, and consumer staples ETFs. These asset classes usually weather bear markets relatively well. The remaining 10% sits in cash.
I would love to hear how you would improve this algorithm.
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