LC · Factor Donchian · Factors + Defensives

Active Holding▶ LIVE

DBMF

Mgd Futures · Defensive leadership

Days In

Since

22 Sep 2026

GLD

Switches

SPMO

$151.25

DGRO

$76.01

SPYG

$123.19

SPHQ

$84.61

IVE

$229.34

GLD

$382.89

DBMF

$32.43

SPY

$764.20

Pairwise Donchian Signal StateN=30 · shift(1) · ratio breakout / latch

Pair

Current

Upper

Lower

Status / Direction

Vote

SPMO/DGRO

1.9899
95% of range

1.9987upper

1.8344lower

flip 8d ago
IN BAND
▲ last up

+1 SPMO
vote

SPMO/SPYG

1.2278
39% of range

1.2663upper

1.2033lower

flip 75d ago
IN BAND
▼ last down

+1 SPYG
vote

SPMO/SPHQ

1.7876
82% of range

1.8065upper

1.7016lower

flip 43d ago
IN BAND
▲ last up

+1 SPMO
vote

SPMO/IVE

0.6595
101% of range

0.6590upper

0.6150lower

flip 7d ago
ABOVE
▲ last up

+1 SPMO
vote

SPMO/GLD

0.3950
91% of range

0.4000upper

0.3419lower

flip 7d ago
IN BAND
▲ last up

+1 SPMO
vote

SPMO/DBMF

4.6639
46% of range

4.9115upper

4.4496lower

flip 74d ago
IN BAND
▼ last down

+1 DBMF
vote

DGRO/SPYG

0.6170
0% of range

0.6673upper

0.6172lower

flip 12d ago
BELOW
▼ last down

+1 SPYG
vote

DGRO/SPHQ

0.8984
-11% of range

0.9323upper

0.9017lower

flip 4d ago
BELOW
▼ last down

+1 SPHQ
vote

DGRO/IVE

0.3314
30% of range

0.3363upper

0.3293lower

flip 26d ago
IN BAND
▼ last down

+1 IVE
vote

DGRO/GLD

0.1985
81% of range

0.2016upper

0.1856lower

flip 1d ago
IN BAND
▲ last up

+1 DGRO
vote

DGRO/DBMF

2.3438
8% of range

2.5743upper

2.3235lower

flip 20d ago
IN BAND
▼ last down

+1 DBMF
vote

SPYG/SPHQ

1.4560
90% of range

1.4633upper

1.3880lower

flip 57d ago
IN BAND
▲ last up

+1 SPYG
vote

SPYG/IVE

0.5372
108% of range

0.5346upper

0.5033lower

flip 8d ago
ABOVE
▲ last up

+1 SPYG
vote

SPYG/GLD

0.3217
91% of range

0.3257upper

0.2793lower

flip 8d ago
IN BAND
▲ last up

+1 SPYG
vote

SPYG/DBMF

3.7986
52% of range

3.8979upper

3.6903lower

flip 15d ago
IN BAND
▼ last down

+1 DBMF
vote

SPHQ/IVE

0.3689
83% of range

0.3714upper

0.3568lower

flip 76d ago
IN BAND
▼ last down

+1 IVE
vote

SPHQ/GLD

0.2210
90% of range

0.2233upper

0.2007lower

flip 1d ago
IN BAND
▲ last up

+1 SPHQ
vote

SPHQ/DBMF

2.6090
18% of range

2.7784upper

2.5706lower

flip 71d ago
IN BAND
▼ last down

+1 DBMF
vote

IVE/GLD

0.5990
81% of range

0.6098upper

0.5525lower

flip 1d ago
IN BAND
▲ last up

+1 IVE
vote

IVE/DBMF

7.0718
3% of range

7.6764upper

7.0558lower

flip 19d ago
IN BAND
▼ last down

+1 DBMF
vote

GLD/DBMF

11.8067
10% of range

13.8043upper

11.5888lower

flip 6d 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: 0.50

200d MA filter (toggle on chart): +25.8% ann · Sharpe 1.37 · MaxDD -16.6% · now DBMF · 72 switches

Total Returns

Strategy

+383.2%

since inception

SPY B&H

+191.0%

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 · 8 days

since 22 Sep 2026 · prev: GLD

Vote Spread

DBMF

SPYG

SPMO

IVE

SPHQ

DGRO

GLD

Cumulative Returns — Full Period (rebased 100) Rotation vs Factors vs SPY B&H 200d MA filter

SPMO/DGRO IN BAND

+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 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 SPHQ

SPHQ/DBMF IN BAND

+1 DBMF

IVE/GLD IN BAND

+1 IVE

IVE/DBMF IN BAND

+1 DBMF

GLD/DBMF IN BAND

+1 DBMF

Annual ReturnsStrategy vs SPY

Individual Factor Performance (Buy & Hold)

Factor	Ann Ret	Sharpe	Max DD	Total Ret
SPMO Momentum	+22.3%	0.97	-30.9%	+302.8%
DGRO Div. Growth	+13.2%	0.72	-35.1%	+135.5%
SPYG Growth	+19.4%	0.83	-32.7%	+239.6%
SPHQ Quality	+16.3%	0.82	-31.6%	+183.8%
IVE Value	+12.8%	0.69	-37.0%	+130.5%
GLD Gold	+15.0%	0.81	-26.4%	+162.7%
DBMF Mgd Futures	+7.5%	0.60	-23.3%	+64.8%

Switch Log (last 20)Total: 77 switches

Date	From → 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