Home / Ideas / Cross-asset time-series momentum on liquid ETFs, large-tick filtered
Cross-asset time-series momentum on liquid ETFs, large-tick filtered
CTA-style trend following that dodges the microstructure decay
Classic TSMOM (Moskowitz-Ooi-Pedersen) is diversifying and crisis-alpha positive, but 2026 practitioner research shows the trend "feedback loop" broke in *small-tick* contracts post-HFT; large-tick / macro instruments still trend. Restricting to broad, deeply-liquid asset-class ETFs targets the surviving edge.
Why it's relevant now
CTAs had a rough 2025 (SG Trend ~-9% YTD) precisely because of correlation breakdowns in fast-reversing markets; a rising-volatility, higher-dispersion 2026 is where trend historically earns its keep — worth testing whether the surviving instruments still pay.
Universe
Cross-asset ETF sleeve — equities (SPY, EFA, EEM), bonds (IEF, TLT), commodities (GLD, DBC, USO), FX/rates proxies (UUP).
How it works
For each ETF, go long if 12-month excess return > 0 else short (or flat), size inversely to trailing realized vol (vol target ~10%), rebalance monthly.
Expected performance
Research-derived Sharpe estimate: 0.4–0.8. paper gross ~1.0+ diversified; heavy realism discount for decay/costs).
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 Cross-asset time-series momentum: long/short liquid ETFs on sign of 12-month return, volatility-targeted to 10%, monthly rebalance
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Research & sources
- Quantpedia — Time Series Momentum Effect — quantpedia.com
- Harbourfront — Explaining the Decline of Trend-Following CTAs — harbourfronttechnologies.wordpress.com
- Top Traders Unplugged — Trend Following Performance Report April 2025 — toptradersunplugged.com
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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.