Multi-asset trend following · 6 and 12 month · 16 ETFs (after Hamill, Rattray & Van Hemert 2016, Man Group)
Man Group's 'Trend Following: Equity and Bond Crisis Alpha' found trend strategies paid off in most equity and bond sell-offs since 1960. Approximation: hold every ETF whose 6-month plus 12-month return is positive, equal weight, cash otherwise. Falsified if drawdowns in 2008, 2020 and 2022 are not smaller than buy-and-hold.
Forward tracking started 2026-10-13. Results appear after 21 trading days.
Backtest
| Metric | Strategy | Benchmark |
|---|---|---|
| CAGR | 3.37% | 4.56% |
| Volatility | 12.43% | 12.83% |
| Sharpe | 0.33 | 0.41 |
| Max drawdown | -42.62% | -40.67% |
| Turnover (per year) | 2.50 |
Deflated Sharpe: 0.00 (n trials: 352) — the probability the Sharpe ratio is real after the number of variants tried.
Spec
{
"costs_bps": 10,
"end": "2025-12-31",
"rebalance": "M",
"side": "long",
"signal": {
"expr": "where(ret(126) + ret(252), 1, log(-1))",
"type": "expr"
},
"start": "2005-01-01",
"top_n": 16,
"universe": [
"SPY",
"QQQ",
"IWM",
"EFA",
"EEM",
"TLT",
"IEF",
"LQD",
"HYG",
"GLD",
"VNQ",
"TIP",
"AGG",
"EWJ",
"EWZ",
"FXI"
]
}Fork this strategy
Re-run it with your own changes. The fork is computed on the server and linked back here.
curl -X POST https://api.finzdata.com/v1/hub/s/multi-asset-trend-following-6-and-12-month-16-etfs-after-ham-6c2015/fork \
-H 'Authorization: Bearer YOUR_KEY' -H 'Content-Type: application/json' \
-d '{"changes": {"signal": {"lookback": 126}}}'Or ask your AI assistant (Claude, ChatGPT, Cursor with the FinzData connector):
Fork the FinzData strategy multi-asset-trend-following-6-and-12-month-16-etfs-after-ham-6c2015 and test it with a 126-day lookback and 20 bps costs, then compare both runs.
Community
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