Home / Ideas / Vigilant Asset Allocation G4 (recency-weighted momentum + breadth crash filter)
Vigilant Asset Allocation G4 (recency-weighted momentum + breadth crash filter)
fast dual momentum with an AGG "spoiler"
VAA-G4 measures momentum with a 12/4/2/1 recency weighting (the last month drives ~40% of the score), reacting to regime turns far faster than 12-1 momentum; the paper reports an in-sample Sharpe of 1.10, and including aggregate bonds as an offensive "spoiler" acts as a leading breadth signal for equity weakness.
Universe
Offensive = SPY, EFA, EEM, AGG. Defensive = LQD, IEF, SHY (SHY treated as cash).
How it works
Monthly, score each asset as 12·r1m + 4·r3m + 2·r6m + 1·r12m; if all four offensive scores > 0 hold the single highest-scoring offensive asset 100%, else hold the single highest-scoring defensive asset; rebalance monthly.
Expected performance
Research-derived Sharpe estimate: 0.6–1.1.
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 VAA-G4: monthly, momentum=12*r1+4*r3+2*r6+r12 on SPY/EFA/EEM/AGG; all positive hold best offensive, else best of LQD/IEF/SHY
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Research & sources
- papers.ssrn.com — papers.ssrn.com
- allocatesmartly.com — allocatesmartly.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.