LC · Factor Donchian · Factors + Defensives

Active Holding▶ LIVE

DBMF

Mgd Futures · Defensive leadership

Days In

Since

22 Sep 2026

GLD

Switches

SPMO

$150.84

DGRO

$76.88

SPYG

$124.73

SPHQ

$85.50

IVE

$232.18

GLD

$378.62

DBMF

$32.91

SPY

$773.93

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

Pair

Current

Upper

Lower

Status / Direction

Vote

SPMO/DGRO

1.9620
64% of range

2.0248upper

1.8489lower

flip 17d ago
IN BAND
▲ last up

+1 SPMO
vote

SPMO/SPYG

1.2093
14% of range

1.2451upper

1.2033lower

flip 84d ago
IN BAND
▼ last down

+1 SPYG
vote

SPMO/SPHQ

1.7642
58% of range

1.8065upper

1.7056lower

flip 52d ago
IN BAND
▲ last up

+1 SPMO
vote

SPMO/IVE

0.6497
65% of range

0.6682upper

0.6150lower

flip 16d ago
IN BAND
▲ last up

+1 SPMO
vote

SPMO/GLD

0.3984
85% of range

0.4070upper

0.3496lower

flip 16d ago
IN BAND
▲ last up

+1 SPMO
vote

SPMO/DBMF

4.5834
36% of range

4.8211upper

4.4496lower

flip 83d ago
IN BAND
▼ last down

+1 DBMF
vote

DGRO/SPYG

0.6164
21% of range

0.6622upper

0.6045lower

flip 21d ago
IN BAND
▼ last down

+1 SPYG
vote

DGRO/SPHQ

0.8992
25% of range

0.9323upper

0.8884lower

flip 13d ago
IN BAND
▼ last down

+1 SPHQ
vote

DGRO/IVE

0.3311
32% of range

0.3350upper

0.3293lower

flip 35d ago
IN BAND
▼ last down

+1 IVE
vote

DGRO/GLD

0.2031
100% of range

0.2031upper

0.1867lower

flip 10d ago
IN BAND
▲ last up

+1 DGRO
vote

DGRO/DBMF

2.3361
16% of range

2.5537upper

2.2958lower

flip 29d ago
IN BAND
▼ last down

+1 DBMF
vote

SPYG/SPHQ

1.4588
75% of range

1.4820upper

1.3880lower

flip 66d ago
IN BAND
▲ last up

+1 SPYG
vote

SPYG/IVE

0.5372
76% of range

0.5472upper

0.5059lower

flip 17d ago
IN BAND
▲ last up

+1 SPYG
vote

SPYG/GLD

0.3294
87% of range

0.3360upper

0.2845lower

flip 17d ago
IN BAND
▲ last up

+1 SPYG
vote

SPYG/DBMF

3.7900
48% of range

3.8979upper

3.6903lower

flip 24d ago
IN BAND
▼ last down

+1 DBMF
vote

SPHQ/IVE

0.3682
78% of range

0.3715upper

0.3568lower

flip 7d ago
IN BAND
▲ last up

+1 SPHQ
vote

SPHQ/GLD

0.2258
96% of range

0.2267upper

0.2035lower

flip 10d ago
IN BAND
▲ last up

+1 SPHQ
vote

SPHQ/DBMF

2.5980
13% of range

2.7784upper

2.5706lower

flip 80d ago
IN BAND
▼ last down

+1 DBMF
vote

IVE/GLD

0.6132
99% of range

0.6140upper

0.5587lower

flip 10d ago
IN BAND
▲ last up

+1 IVE
vote

IVE/DBMF

7.0550
15% of range

7.6229upper

6.9577lower

flip 28d ago
IN BAND
▼ last down

+1 DBMF
vote

GLD/DBMF

11.5047
6% of range

13.5560upper

11.3662lower

flip 15d 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

★★★★··

SPHQ

Quality

3

★★★···

IVE

Value

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

+25.7%

SPY: +16.9%

Sharpe Ratio

1.33

SPY: 0.85

Max Drawdown

-16.6%

SPY: -33.7%

Calmar

1.55

SPY: 0.50

200d MA filter (toggle on chart): +26.0% ann · Sharpe 1.38 · MaxDD -16.6% · now DBMF · 72 switches

Total Returns

Strategy

+390.3%

since inception

SPY B&H

+194.7%

since inception

Volatility

19.4%

annualised

Regime Allocation

SPMO

SPYG

IVE

GLD

DBMF

SPMO 23%

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 · 17 days

since 22 Sep 2026 · prev: GLD

Vote Spread

DBMF

SPYG

SPMO

SPHQ

IVE

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 IN BAND

+1 SPMO

SPMO/GLD IN BAND

+1 SPMO

SPMO/DBMF IN BAND

+1 DBMF

DGRO/SPYG IN BAND

+1 SPYG

DGRO/SPHQ IN BAND

+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 IN BAND

+1 SPYG

SPYG/GLD IN BAND

+1 SPYG

SPYG/DBMF IN BAND

+1 DBMF

SPHQ/IVE IN BAND

+1 SPHQ

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	+22.2%	0.96	-30.9%	+301.7%
DGRO Div. Growth	+13.3%	0.73	-35.1%	+138.2%
SPYG Growth	+19.5%	0.84	-32.7%	+243.9%
SPHQ Quality	+16.4%	0.83	-31.6%	+186.8%
IVE Value	+13.0%	0.70	-37.0%	+133.3%
GLD Gold	+14.8%	0.80	-26.4%	+159.8%
DBMF Mgd Futures	+7.7%	0.61	-23.3%	+67.3%

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