I am using this post to illustrate a few concepts to some friends in an organised way, so please ignore these backtests.
8: Instead of 100% SPY during risk apetite periods, hold top 2 risky assets sorted by momentum and allocate according to momentum weight. Also, risky assets should only comprise 80% of portfolio at any time, the rest is 20% TLT.
9: Same as above, but from May-Sep, hold 50% risky 50% TLT
11: Same as above, except 6 month momentum and leveraged x2
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