Growth-Trend Timing

Growth-Trend Timing (Philosophical Economics, 2016): combine a credit-spread proxy (HYG/IEF ratio vs its 12-month SMA) with a price-trend filter (SPY vs its 200-day SMA). Both bullish holds 100% SPY; one bullish holds 50% SPY / 50% TLT; both bearish holds 100% TLT. The middle 50/50 state avoids all-or-nothing whipsaws when the two indicators disagree.

• Type: Tactical
• Frequency: monthly
• Asset classes: US Equity, Long-Term Treasuries, Credit
• Backtest window: 2007-04-11 to 2026-06-12

1Y

17.7%

3Y

43.1%

CAGR

5.3%

Max DD

-26.8%

Sharpe

0.15

Methodology

• Compute the growth signal: HYG/IEF price ratio vs its 12-month SMA.
• Compute the trend signal: SPY price vs its 200-day SMA.
• If both signals are bullish, hold 100% SPY.
• If exactly one is bullish, hold 50% SPY and 50% TLT.
• If neither is bullish, hold 100% TLT.

Source: Jesse Livermore (2016). Growth-Trend Timing: Fixing the Flaws in Moving Average Rules. Philosophical Economics.

Headline backtest performance as of 2026-06-12.

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