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 22 Sep 2026
Updated 2026-09-23 00:08 UTC
Active Holding▶ LIVE
SPYG
Growth  ·  Factor leadership
Days In
1
Since
22 Sep 2026
Previous
GLD
Switches
78
SPMO
$153.30
DGRO
$76.95
SPYG
$124.24
SPHQ
$84.98
IVE
$233.11
GLD
$400.07
DBMF
$31.90
SPY
$773.38
Pairwise Donchian Signal StateN=30 · shift(1) · ratio breakout / latch
Pair
Current
Upper
Lower
Status / Direction
Vote
SPMO/DGRO
1.9922
114% of range
1.9733upper
1.8374lower
flip 1d ago
ABOVE
▲ last up
+1 SPMO
vote
SPMO/SPYG
1.2339
48% of range
1.2668upper
1.2038lower
flip 68d ago
IN BAND
▼ last down
+1 SPYG
vote
SPMO/SPHQ
1.8040
111% of range
1.7939upper
1.7013lower
flip 36d ago
ABOVE
▲ last up
+1 SPMO
vote
SPMO/IVE
0.6576
98% of range
0.6583upper
0.6160lower
flip 68d ago
IN BAND
▼ last down
+1 IVE
vote
SPMO/GLD
0.3832
101% of range
0.3828upper
0.3425lower
flip 0d ago
ABOVE
▲ last up
+1 SPMO
vote
SPMO/DBMF
4.8056
75% of range
4.9195upper
4.4569lower
flip 67d ago
IN BAND
▼ last down
+1 DBMF
vote
DGRO/SPYG
0.6194
-4% of range
0.6665upper
0.6213lower
flip 5d ago
BELOW
▼ last down
+1 SPYG
vote
DGRO/SPHQ
0.9055
18% of range
0.9306upper
0.9000lower
flip 77d ago
IN BAND
▲ last up
+1 DGRO
vote
DGRO/IVE
0.3301
-2% of range
0.3371upper
0.3303lower
flip 19d ago
BELOW
▼ last down
+1 IVE
vote
DGRO/GLD
0.1923
48% of range
0.1995upper
0.1856lower
flip 47d ago
IN BAND
▼ last down
+1 GLD
vote
DGRO/DBMF
2.4122
14% of range
2.5743upper
2.3857lower
flip 13d ago
IN BAND
▼ last down
+1 DBMF
vote
SPYG/SPHQ
1.4620
98% of range
1.4633upper
1.3871lower
flip 50d ago
IN BAND
▲ last up
+1 SPYG
vote
SPYG/IVE
0.5330
105% of range
0.5316upper
0.5039lower
flip 4d ago
ABOVE
▲ last up
+1 SPYG
vote
SPYG/GLD
0.3105
97% of range
0.3115upper
0.2797lower
flip 1d ago
IN BAND
▲ last up
+1 SPYG
vote
SPYG/DBMF
3.8947
82% of range
3.9400upper
3.6948lower
flip 8d ago
IN BAND
▼ last down
+1 DBMF
vote
SPHQ/IVE
0.3645
48% of range
0.3721upper
0.3575lower
flip 69d ago
IN BAND
▼ last down
+1 IVE
vote
SPHQ/GLD
0.2124
63% of range
0.2192upper
0.2011lower
flip 48d ago
IN BAND
▼ last down
+1 GLD
vote
SPHQ/DBMF
2.6639
38% of range
2.7943upper
2.5825lower
flip 64d ago
IN BAND
▼ last down
+1 DBMF
vote
IVE/GLD
0.5827
70% of range
0.5957upper
0.5525lower
flip 47d ago
IN BAND
▼ last down
+1 GLD
vote
IVE/DBMF
7.3075
23% of range
7.6764upper
7.1948lower
flip 12d ago
IN BAND
▼ last down
+1 DBMF
vote
GLD/DBMF
12.5414
21% of range
13.8043upper
12.1961lower
flip 48d ago
IN BAND
▲ last up
+1 GLD
vote
Vote Tally  ·  max 6 per factor · latching signal
SPYG
Growth
5
★★★★★·
DBMF
Mgd Futures
5
★★★★★·
GLD
Gold
4
★★★★··
SPMO
Momentum
3
★★★···
IVE
Value
3
★★★···
DGRO
Div. Growth
1
★·····
SPHQ
Quality
0
······
Winner: SPYG — Growth (5/6 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
+25.5%
SPY: +17.0%
Sharpe Ratio
1.32
SPY: 0.85
Max Drawdown
-16.6%
SPY: -33.7%
Calmar
1.54
SPY: 0.50
200d MA filter (toggle on chart): +25.8% ann · Sharpe 1.37 · MaxDD -16.6% · now SPYG · 73 switches
Total Returns
Strategy
+379.5%
since inception
SPY B&H
+194.5%
since inception
Volatility
19.4%
annualised
Regime Allocation
SPMO
SPYG
IVE
GLD
DBMF
SPMO 24%
DGRO 5%
SPYG 16%
IVE 10%
GLD 31%
DBMF 13%
Signal Pipeline N=30 · Shift=1 · Pairwise ratio Donchian · Latching · No confirmation window
⚡ SWITCH TODAY
Exiting  GLD  →  SPYG — Growth
Effective: 22 Sep 2026  ·  Execute at close
Current Regime
SPYG
Growth  ·  5/6 votes  ·  1 days
since 22 Sep 2026  ·  prev: GLD
Pairs near boundary  ·  vote could shift
IVE ▲ SPMO  SPMO/IVE · 98%
Vote Spread
SPYG
5
DBMF
5
GLD
4
SPMO
3
IVE
3
DGRO
1
SPHQ
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 ABOVE
+1 SPMO
SPMO/IVE IN BAND
+1 IVE
SPMO/GLD ABOVE
+1 SPMO
SPMO/DBMF IN BAND
+1 DBMF
DGRO/SPYG BELOW
+1 SPYG
DGRO/SPHQ IN BAND
+1 DGRO
DGRO/IVE BELOW
+1 IVE
DGRO/GLD IN BAND
+1 GLD
DGRO/DBMF IN BAND
+1 DBMF
SPYG/SPHQ IN BAND
+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 GLD
SPHQ/DBMF IN BAND
+1 DBMF
IVE/GLD IN BAND
+1 GLD
IVE/DBMF IN BAND
+1 DBMF
GLD/DBMF IN BAND
+1 GLD
Annual ReturnsStrategy vs SPY
Individual Factor Performance (Buy & Hold)
FactorAnn RetSharpeMax DDTotal Ret
SPMO Momentum +22.6% 0.98 -30.9% +308.3%
DGRO Div. Growth +13.4% 0.73 -35.1% +138.4%
SPYG Growth +19.6% 0.84 -32.7% +242.5%
SPHQ Quality +16.4% 0.83 -31.6% +185.1%
IVE Value +13.2% 0.70 -37.0% +134.3%
GLD Gold +15.8% 0.86 -26.4% +174.5%
DBMF Mgd Futures +7.3% 0.58 -23.3% +62.1%
Switch Log (last 20)Total: 78 switches
DateFrom → To
22 Sep 2026 GLD → SPYG
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 DGRO → SPYG
15 May 2024 DBMF → DGRO
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.  ·  2026-09-23 00:08 UTC
Returns are geometric, on dividend-adjusted closes; Sharpe = ann. return / ann. vol (risk-free = 0); "days in" = calendar days; execution at next close.