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Does The 4-ETF Momentum Rotation actually work?

DEAD

No edge left once tested on a fair footing.

The claim

Rotate into the strongest of {SPY, QQQ, GLD, IBB} and you beat buy & hold — Rotation-strategy crowd

What we did

Tested against Buy & hold SPY / honest reconstruction.

The result

Result: Equal-weighting the 4 ETFs (Sharpe 0.83) BEATS every top-1/top-2/gated rotation; cash gate HURT

Equal-weighting the 4 ETFs (Sharpe 0.83) BEATS every top-1/top-2/gated rotation; cash gate HURT

Verdict

The clever rotation loses to just holding all four equally. The basket already self-hedges through gold — the timing layer is subtracting value, not adding it.

What the test did and did not do

point-in-time data
checked for look-ahead
net of real costs
tested out of sample

Almost nobody publishing a backtest says which of these they did. We list the ones we failed as well as the ones we passed.

Tested 2026-06-23. The same treatment, applied to every other system, is on the test bench.

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Written with AI assistance from our own test database. The numbers are computed, not composed.
General market commentary for education, not personalised investment advice. Backtested results are hypothetical. Trading carries a real risk of loss.