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Macro, rates & cross-asset (ETF-based) · 2026-09-05

Dollar-trend overlay on international equity

own EM/developed-ex-US equity only when the US dollar is in a downtrend

expected Sharpe 0.4-0.8confidence: mediumfree daily data

EM and international equities are strongly inversely linked to the US dollar via financing conditions and commodity/capital flows (JPMAM; Mondrian, 2026). A UUP (dollar) trend overlay gates EEM/EFA exposure — long international when the dollar is falling, retreat to SPY or cash when it is rising — capturing the FX regime without an explicit carry trade. This is a trend *overlay* on equity sub-universes, distinct from the dropped FX-carry sleeve and from absolute cross-asset TSMOM.

Universe

UUP (US dollar index) as the regime gate; EEM (EM equity) and EFA (developed ex-US) as the risk-on legs; SPY/SHY as the risk-off fallback.

How it works

Monthly, if UUP is below its ~200-day moving average (dollar downtrend), hold EEM/EFA equal-weighted; if UUP is above its 200-day MA (dollar uptrend), rotate to SPY or SHY, hold 1 month.

Expected performance

Research-derived Sharpe estimate: 0.4-0.8. asset-class trend-following baselines report equity-like returns with lower drawdown; the dollar gate adds a macro conditioning layer, discounted for ETF proxies and single-signal risk).

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 dollar overlay: when UUP is below its 200-day moving average hold EEM and EFA equal-weight, else hold SPY, fall back to SHY in cash Get SignalChain — $49 →

Research & sources

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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.