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 15 Sep 2026
Updated 2026-09-15 18:23 UTC
Active Holding▶ LIVE
GLD
Gold  ·  Defensive leadership
Days In
28
Since
19 Aug 2026
Previous
DGRO
Switches
78
SPMO
$143.48
DGRO
$77.64
SPYG
$119.07
SPHQ
$83.43
IVE
$233.68
GLD
$394.48
DBMF
$32.26
SPY
$757.86
Pairwise Donchian Signal StateN=30 · shift(1) · ratio breakout / latch
Pair
Current
Upper
Lower
Status / Direction
Vote
SPMO/DGRO
1.8479
15% of range
1.9559upper
1.8283lower
flip 61d ago
IN BAND
▼ last down
+1 DGRO
vote
SPMO/SPYG
1.2050
2% of range
1.2668upper
1.2038lower
flip 61d ago
IN BAND
▼ last down
+1 SPYG
vote
SPMO/SPHQ
1.7198
23% of range
1.7802upper
1.7013lower
flip 29d ago
IN BAND
▲ last up
+1 SPMO
vote
SPMO/IVE
0.6140
1% of range
0.6557upper
0.6137lower
flip 61d ago
IN BAND
▼ last down
+1 IVE
vote
SPMO/GLD
0.3637
34% of range
0.4040upper
0.3425lower
flip 50d ago
IN BAND
▼ last down
+1 GLD
vote
SPMO/DBMF
4.4469
-15% of range
4.9257upper
4.5102lower
flip 60d ago
BELOW
▼ last down
+1 DBMF
vote
DGRO/SPYG
0.6521
26% of range
0.6698upper
0.6459lower
flip 97d ago
IN BAND
▲ last up
+1 DGRO
vote
DGRO/SPHQ
0.9307
85% of range
0.9352upper
0.9045lower
flip 70d ago
IN BAND
▲ last up
+1 DGRO
vote
DGRO/IVE
0.3323
-4% of range
0.3374upper
0.3325lower
flip 12d ago
BELOW
▼ last down
+1 IVE
vote
DGRO/GLD
0.1968
41% of range
0.2115upper
0.1865lower
flip 39d ago
IN BAND
▼ last down
+1 GLD
vote
DGRO/DBMF
2.4065
-20% of range
2.5869upper
2.4367lower
flip 6d ago
BELOW
▼ last down
+1 DBMF
vote
SPYG/SPHQ
1.4272
90% of range
1.4315upper
1.3871lower
flip 43d ago
IN BAND
▲ last up
+1 SPYG
vote
SPYG/IVE
0.5096
38% of range
0.5218upper
0.5019lower
flip 81d ago
IN BAND
▼ last down
+1 IVE
vote
SPYG/GLD
0.3019
46% of range
0.3274upper
0.2797lower
flip 27d ago
IN BAND
▼ last down
+1 GLD
vote
SPYG/DBMF
3.6905
-23% of range
3.9919upper
3.7466lower
flip 1d ago
BELOW
▼ last down
+1 DBMF
vote
SPHQ/IVE
0.3570
2% of range
0.3706upper
0.3567lower
flip 62d ago
IN BAND
▼ last down
+1 IVE
vote
SPHQ/GLD
0.2115
33% of range
0.2328upper
0.2011lower
flip 41d ago
IN BAND
▼ last down
+1 GLD
vote
SPHQ/DBMF
2.5858
-17% of range
2.8387upper
2.6218lower
flip 57d ago
BELOW
▼ last down
+1 DBMF
vote
IVE/GLD
0.5924
50% of range
0.6299upper
0.5547lower
flip 40d ago
IN BAND
▼ last down
+1 GLD
vote
IVE/DBMF
7.2425
-16% of range
7.7069upper
7.3073lower
flip 5d ago
BELOW
▼ last down
+1 DBMF
vote
GLD/DBMF
12.2263
5% of range
13.8043upper
12.1355lower
flip 41d ago
IN BAND
▲ last up
+1 GLD
vote
Vote Tally  ·  max 6 per factor · latching signal
GLD
Gold
6
★★★★★★
DBMF
Mgd Futures
5
★★★★★·
IVE
Value
4
★★★★··
DGRO
Div. Growth
3
★★★···
SPYG
Growth
2
★★····
SPMO
Momentum
1
★·····
SPHQ
Quality
0
······
Winner: GLD — Gold (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
+24.6%
SPY: +16.6%
Sharpe Ratio
1.28
SPY: 0.84
Max Drawdown
-15.0%
SPY: -33.7%
Calmar
1.64
SPY: 0.49
200d MA filter (toggle on chart): +25.2% ann · Sharpe 1.35 · MaxDD -15.0% · now CASH · 73 switches
Total Returns
Strategy
+372.7%
since inception
SPY B&H
+194.9%
since inception
Volatility
19.2%
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
⚠ MONITORING
GLD leads by 1 vote  ·  DBMF (5/6) within striking range
Hold GLD · reassess on any pair flip
Current Regime
GLD
Gold  ·  6/6 votes  ·  28 days
since 19 Aug 2026  ·  prev: DGRO
Pairs near boundary  ·  vote could shift
GLD ▼ DBMF  GLD/DBMF · 5%
Vote Spread
GLD
6
DBMF
5
IVE
4
DGRO
3
SPYG
2
SPMO
1
SPHQ
0
Cumulative Returns — Full Period (rebased 100) Rotation vs Factors vs SPY B&H
SPMO/DGRO IN BAND
+1 DGRO
SPMO/SPYG IN BAND
+1 SPYG
SPMO/SPHQ IN BAND
+1 SPMO
SPMO/IVE IN BAND
+1 IVE
SPMO/GLD IN BAND
+1 GLD
SPMO/DBMF BELOW
+1 DBMF
DGRO/SPYG IN BAND
+1 DGRO
DGRO/SPHQ IN BAND
+1 DGRO
DGRO/IVE BELOW
+1 IVE
DGRO/GLD IN BAND
+1 GLD
DGRO/DBMF BELOW
+1 DBMF
SPYG/SPHQ IN BAND
+1 SPYG
SPYG/IVE IN BAND
+1 IVE
SPYG/GLD IN BAND
+1 GLD
SPYG/DBMF BELOW
+1 DBMF
SPHQ/IVE IN BAND
+1 IVE
SPHQ/GLD IN BAND
+1 GLD
SPHQ/DBMF BELOW
+1 DBMF
IVE/GLD IN BAND
+1 GLD
IVE/DBMF BELOW
+1 DBMF
GLD/DBMF IN BAND
+1 GLD
Annual ReturnsStrategy vs SPY
Individual Factor Performance (Buy & Hold)
FactorAnn RetSharpeMax DDTotal Ret
SPMO Momentum +21.3% 0.93 -30.9% +290.9%
DGRO Div. Growth +13.7% 0.75 -35.1% +147.5%
SPYG Growth +18.7% 0.81 -32.7% +234.8%
SPHQ Quality +16.1% 0.82 -31.6% +187.2%
IVE Value +13.2% 0.72 -37.0% +140.6%
GLD Gold +15.4% 0.85 -26.4% +174.5%
DBMF Mgd Futures +8.5% 0.68 -20.4% +77.5%
Switch Log (last 20)Total: 78 switches
DateFrom → To
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
01 Apr 2024 SPMO → GLD
Factors + Defensives — 7-ETF  ·  SPMO, DGRO, SPYG, SPHQ, IVE, GLD, DBMF  ·  N=30 · shift(1) · Pairwise ratio Donchian · Latching signal  ·  Lighthouse Canton Pte. Ltd.  ·  2026-09-15 18:23 UTC
Returns are geometric, on dividend-adjusted closes; Sharpe = ann. return / ann. vol (risk-free = 0); "days in" = calendar days; execution at next close.