TLT vs SPY — Bond Rotation Strategy — (Monthly Momentum Strategy In S&P 500 and Treasury Bonds)
The SPY and TLT rotation trading strategy works well because TLT works as a safe haven when the stock market is weak. Below you find the logic and code for this simple SPY and TLT momentum/rotation strategy. The drawdown is low but the total return is better than “buy and hold”.
Let’s test how this strategy performs when rotating between SPY and TLT:
It’s based on monthly quotes in the ETFs SPY and TLT.
Every month rank both based on last month’s performance/momentum.
Go long the one with the best performance the prior month.
Hold for one month and repeat (or continue being long the same instrument).
This is all there is to it. Obviously, this strategy is best performed in a tax-deferred account, but without slippage and taxes the equity curves look like as shown in the image below.
You can find more info about this trading strategy here:
https://www.quantifiedstrategies.com/spy-tlt-bond-rotation-strategy/
#BondRotation #SPY #TLT #MonthlyMomentum #tradingstrategy #systematictrading #investing #trading #tradingtips #algotrading