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macro, rates, and cross-asset strategies · 2026-07-23

Cross-asset relative-strength rotation with a correlation short hedge

own the strongest sleeves, short the weakest

expected Sharpe 0.35–0.6confidence: medium-lowfree daily data

A practitioner-validated QuantConnect study ranks ~13 equity/bond/commodity/currency ETFs monthly by average 3/6/9/12-month return, holds the top four equal-weighted, and shorts the single worst at 30% weight — a relative-strength cross-asset rotation distinct from the absolute-trend idea in #1. Reported Sharpe ~0.498 (2007-2026), and the short hedge dampens beta in risk-off regimes.

Why it's relevant now

With 2026 institutional views split (Morgan Stanley favoring equities over bonds, JPMorgan seeing sticky inflation and no cuts), cross-asset dispersion is elevated — the exact condition where relative-strength ranking beats picking a single macro thesis.

Universe

SPY, EFA, EEM, TLT, IEF, LQD, HYG, GLD, DBC, UUP and similar liquid cross-asset ETFs (~10-13 names).

How it works

Each month, rank the sleeve by blended 3/6/9/12-month return, hold the top 4 equal-weighted long and short the bottom-ranked ETF at ~30% weight, rebalance monthly.

Expected performance

Research-derived Sharpe estimate: 0.35–0.6. reported 0.498; realistic after costs given monthly turnover across many ETFs).

Backtest this idea with SignalChain

This is a research lead — not a finished backtest. SignalChain takes an idea like this and runs the whole pipeline inside Claude Code: it researches the concept against academic and practitioner sources, sets benchmarks, writes and lints a VectorBT backtest, runs it, and grades the result PASS/FAIL. One command:

/signalchain Monthly cross-asset ETF rotation: rank SPY EFA EEM TLT IEF LQD HYG GLD DBC UUP by blended 3/6/9/12-month return, hold top 4 long and short the worst Get SignalChain — $49 →

Research & sources

More macro, rates, and cross-asset strategies ideas

Cross-asset time-series momentum (ETF trend)
go long/short each asset on its own 12-month trend, vol-scaled
Credit risk-on/off rotation
rotate HYG when credit is healthy, IEF when spreads widen
Treasury yield-curve carry & roll-down
long duration when the curve pays you to wait
Cross-asset gold regime filter
hold gold only when both gold and Treasuries are trending up

Not financial advice. This page describes a research idea, not a recommendation. Any performance figures are hypothetical, research-derived estimates and are not indicative of future results. SignalChain is a research and educational tool; you are solely responsible for any decisions you make.