LC
Factor Donchian Rotation  ·  Factors + Defensives — 7-ETF
N=30 · shift(1) · pairwise ratio Donchian · latching signal · internal use only
5-ETF View
As of 30 Sep 2026
Updated 2026-10-01 01:08 UTC
Active Holding▶ LIVE
DBMF
Mgd Futures  ·  Defensive leadership
Days In
9
Since
22 Sep 2026
Previous
GLD
Switches
77
SPMO
$151.58
DGRO
$75.39
SPYG
$123.08
SPHQ
$84.08
IVE
$228.28
GLD
$380.84
DBMF
$32.53
SPY
$762.63
Pairwise Donchian Signal StateN=30 · shift(1) · ratio breakout / latch
Pair
Current
Upper
Lower
Status / Direction
Vote
SPMO/DGRO
2.0106
107% of range
1.9987upper
1.8344lower
flip 9d ago
ABOVE
▲ last up
+1 SPMO
vote
SPMO/SPYG
1.2316
64% of range
1.2476upper
1.2033lower
flip 76d ago
IN BAND
▼ last down
+1 SPYG
vote
SPMO/SPHQ
1.8028
96% of range
1.8065upper
1.7016lower
flip 44d ago
IN BAND
▲ last up
+1 SPMO
vote
SPMO/IVE
0.6640
110% of range
0.6595upper
0.6150lower
flip 8d ago
ABOVE
▲ last up
+1 SPMO
vote
SPMO/GLD
0.3980
97% of range
0.4000upper
0.3419lower
flip 8d ago
IN BAND
▲ last up
+1 SPMO
vote
SPMO/DBMF
4.6597
57% of range
4.8211upper
4.4496lower
flip 75d ago
IN BAND
▼ last down
+1 DBMF
vote
DGRO/SPYG
0.6125
-9% of range
0.6673upper
0.6170lower
flip 13d ago
BELOW
▼ last down
+1 SPYG
vote
DGRO/SPHQ
0.8966
-5% of range
0.9323upper
0.8984lower
flip 5d ago
BELOW
▼ last down
+1 SPHQ
vote
DGRO/IVE
0.3303
14% of range
0.3363upper
0.3293lower
flip 27d ago
IN BAND
▼ last down
+1 IVE
vote
DGRO/GLD
0.1980
77% of range
0.2016upper
0.1856lower
flip 2d ago
IN BAND
▲ last up
+1 DGRO
vote
DGRO/DBMF
2.3176
-2% of range
2.5743upper
2.3235lower
flip 21d ago
BELOW
▼ last down
+1 DBMF
vote
SPYG/SPHQ
1.4638
101% of range
1.4633upper
1.3880lower
flip 58d ago
ABOVE
▲ last up
+1 SPYG
vote
SPYG/IVE
0.5392
106% of range
0.5372upper
0.5033lower
flip 9d ago
ABOVE
▲ last up
+1 SPYG
vote
SPYG/GLD
0.3232
95% of range
0.3257upper
0.2793lower
flip 9d ago
IN BAND
▲ last up
+1 SPYG
vote
SPYG/DBMF
3.7836
45% of range
3.8979upper
3.6903lower
flip 16d ago
IN BAND
▼ last down
+1 DBMF
vote
SPHQ/IVE
0.3683
95% of range
0.3689upper
0.3568lower
flip 77d ago
IN BAND
▼ last down
+1 IVE
vote
SPHQ/GLD
0.2208
89% of range
0.2233upper
0.2007lower
flip 2d ago
IN BAND
▲ last up
+1 SPHQ
vote
SPHQ/DBMF
2.5847
7% of range
2.7784upper
2.5706lower
flip 72d ago
IN BAND
▼ last down
+1 DBMF
vote
IVE/GLD
0.5994
82% of range
0.6098upper
0.5525lower
flip 2d ago
IN BAND
▲ last up
+1 IVE
vote
IVE/DBMF
7.0175
-6% of range
7.6764upper
7.0558lower
flip 20d ago
BELOW
▼ last down
+1 DBMF
vote
GLD/DBMF
11.7073
5% of range
13.8043upper
11.5888lower
flip 7d ago
IN BAND
▼ last down
+1 DBMF
vote
Vote Tally  ·  max 6 per factor · latching signal
DBMF
Mgd Futures
6
★★★★★★
SPYG
Growth
5
★★★★★·
SPMO
Momentum
4
★★★★··
IVE
Value
3
★★★···
SPHQ
Quality
2
★★····
DGRO
Div. Growth
1
★·····
GLD
Gold
0
······
Winner: DBMF — Mgd Futures (6/6 votes)  ·  Each ratio votes for the ETF breaking above its 30-day Donchian high (latches until broken down).
Performancevs SPY B&H
Since Inception
Ann. Return
+25.6%
SPY: +16.7%
Sharpe Ratio
1.32
SPY: 0.84
Max Drawdown
-16.6%
SPY: -33.7%
Calmar
1.54
SPY: 0.49
200d MA filter (toggle on chart): +25.9% ann · Sharpe 1.37 · MaxDD -16.6% · now DBMF · 72 switches
Total Returns
Strategy
+384.7%
since inception
SPY B&H
+190.4%
since inception
Volatility
19.4%
annualised
Regime Allocation
SPMO
SPYG
IVE
GLD
DBMF
SPMO 24%
DGRO 4%
SPYG 16%
IVE 10%
GLD 31%
DBMF 14%
Signal Pipeline N=30 · Shift=1 · Pairwise ratio Donchian · Latching · No confirmation window
⚠ MONITORING
DBMF leads by 1 vote  ·  SPYG (5/6) within striking range
Hold DBMF · reassess on any pair flip
Current Regime
DBMF
Mgd Futures  ·  6/6 votes  ·  9 days
since 22 Sep 2026  ·  prev: GLD
Pairs near boundary  ·  vote could shift
IVE ▲ SPHQ  SPHQ/IVE · 95%
Vote Spread
DBMF
6
SPYG
5
SPMO
4
IVE
3
SPHQ
2
DGRO
1
GLD
0
Cumulative Returns — Full Period (rebased 100) Rotation vs Factors vs SPY B&H
SPMO/DGRO ABOVE
+1 SPMO
SPMO/SPYG IN BAND
+1 SPYG
SPMO/SPHQ IN BAND
+1 SPMO
SPMO/IVE ABOVE
+1 SPMO
SPMO/GLD IN BAND
+1 SPMO
SPMO/DBMF IN BAND
+1 DBMF
DGRO/SPYG BELOW
+1 SPYG
DGRO/SPHQ BELOW
+1 SPHQ
DGRO/IVE IN BAND
+1 IVE
DGRO/GLD IN BAND
+1 DGRO
DGRO/DBMF BELOW
+1 DBMF
SPYG/SPHQ ABOVE
+1 SPYG
SPYG/IVE ABOVE
+1 SPYG
SPYG/GLD IN BAND
+1 SPYG
SPYG/DBMF IN BAND
+1 DBMF
SPHQ/IVE IN BAND
+1 IVE
SPHQ/GLD IN BAND
+1 SPHQ
SPHQ/DBMF IN BAND
+1 DBMF
IVE/GLD IN BAND
+1 IVE
IVE/DBMF BELOW
+1 DBMF
GLD/DBMF IN BAND
+1 DBMF
Annual ReturnsStrategy vs SPY
Individual Factor Performance (Buy & Hold)
FactorAnn RetSharpeMax DDTotal Ret
SPMO Momentum +22.4% 0.97 -30.9% +303.7%
DGRO Div. Growth +13.1% 0.71 -35.1% +133.5%
SPYG Growth +19.3% 0.83 -32.7% +239.3%
SPHQ Quality +16.2% 0.82 -31.6% +182.1%
IVE Value +12.8% 0.68 -37.0% +129.4%
GLD Gold +14.9% 0.81 -26.4% +161.3%
DBMF Mgd Futures +7.5% 0.60 -23.3% +65.3%
Switch Log (last 20)Total: 77 switches
DateFrom → To
22 Sep 2026 GLD → DBMF
19 Aug 2026 DGRO → GLD
16 Jul 2026 SPMO → DGRO
08 Apr 2026 DBMF → SPMO
18 Mar 2026 GLD → DBMF
02 Sep 2025 SPMO → GLD
12 May 2025 GLD → SPMO
21 Jan 2025 DBMF → GLD
13 Jan 2025 GLD → DBMF
10 Jan 2025 SPYG → GLD
09 Dec 2024 SPMO → SPYG
06 Nov 2024 GLD → SPMO
05 Aug 2024 IVE → GLD
30 Jul 2024 DGRO → IVE
24 Jul 2024 SPYG → DGRO
16 Jul 2024 SPMO → SPYG
07 Jun 2024 SPYG → SPMO
23 May 2024 GLD → SPYG
15 May 2024 DBMF → GLD
30 Apr 2024 GLD → DBMF
Factors + Defensives — 7-ETF  ·  SPMO, DGRO, SPYG, SPHQ, IVE, GLD, DBMF  ·  N=30 · shift(1) · Pairwise ratio Donchian · Latching signal  ·  Lighthouse Canton Pte. Ltd.  ·  2026-10-01 01:08 UTC
Returns are geometric, on dividend-adjusted closes; Sharpe = ann. return / ann. vol (risk-free = 0); "days in" = calendar days; execution at next close.