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 18 Sep 2026
Updated 2026-09-18 23:57 UTC
Active Holding▶ LIVE
GLD
Gold  ·  Defensive leadership
Days In
31
Since
19 Aug 2026
Previous
DGRO
Switches
77
SPMO
$149.21
DGRO
$76.89
SPYG
$121.47
SPHQ
$83.93
IVE
$231.89
GLD
$401.17
DBMF
$32.23
SPY
$761.69
Pairwise Donchian Signal StateN=30 · shift(1) · ratio breakout / latch
Pair
Current
Upper
Lower
Status / Direction
Vote
SPMO/DGRO
1.9406
81% of range
1.9655upper
1.8374lower
flip 64d ago
IN BAND
▼ last down
+1 DGRO
vote
SPMO/SPYG
1.2284
39% of range
1.2668upper
1.2038lower
flip 64d ago
IN BAND
▼ last down
+1 SPYG
vote
SPMO/SPHQ
1.7778
97% of range
1.7802upper
1.7013lower
flip 32d ago
IN BAND
▲ last up
+1 SPMO
vote
SPMO/IVE
0.6435
65% of range
0.6583upper
0.6160lower
flip 64d ago
IN BAND
▼ last down
+1 IVE
vote
SPMO/GLD
0.3719
73% of range
0.3828upper
0.3425lower
flip 53d ago
IN BAND
▼ last down
+1 GLD
vote
SPMO/DBMF
4.6295
37% of range
4.9195upper
4.4569lower
flip 63d ago
IN BAND
▼ last down
+1 DBMF
vote
DGRO/SPYG
0.6330
-22% of range
0.6665upper
0.6391lower
flip 1d ago
BELOW
▼ last down
+1 SPYG
vote
DGRO/SPHQ
0.9161
53% of range
0.9306upper
0.9000lower
flip 73d ago
IN BAND
▲ last up
+1 DGRO
vote
DGRO/IVE
0.3316
3% of range
0.3371upper
0.3314lower
flip 15d ago
IN BAND
▼ last down
+1 IVE
vote
DGRO/GLD
0.1917
37% of range
0.2021upper
0.1856lower
flip 43d ago
IN BAND
▼ last down
+1 GLD
vote
DGRO/DBMF
2.3857
-3% of range
2.5743upper
2.3917lower
flip 9d ago
BELOW
▼ last down
+1 DBMF
vote
SPYG/SPHQ
1.4473
99% of range
1.4478upper
1.3871lower
flip 46d ago
IN BAND
▲ last up
+1 SPYG
vote
SPYG/IVE
0.5238
100% of range
0.5238upper
0.5039lower
flip 0d ago
ABOVE
▲ last up
+1 SPYG
vote
SPYG/GLD
0.3028
68% of range
0.3135upper
0.2797lower
flip 30d ago
IN BAND
▼ last down
+1 GLD
vote
SPYG/DBMF
3.7688
26% of range
3.9774upper
3.6948lower
flip 4d ago
IN BAND
▼ last down
+1 DBMF
vote
SPHQ/IVE
0.3619
31% of range
0.3721upper
0.3575lower
flip 65d ago
IN BAND
▼ last down
+1 IVE
vote
SPHQ/GLD
0.2092
42% of range
0.2202upper
0.2011lower
flip 44d ago
IN BAND
▼ last down
+1 GLD
vote
SPHQ/DBMF
2.6041
10% of range
2.7943upper
2.5825lower
flip 60d ago
IN BAND
▼ last down
+1 DBMF
vote
IVE/GLD
0.5780
54% of range
0.5997upper
0.5525lower
flip 43d ago
IN BAND
▼ last down
+1 GLD
vote
IVE/DBMF
7.1948
-1% of range
7.6764upper
7.1993lower
flip 8d ago
BELOW
▼ last down
+1 DBMF
vote
GLD/DBMF
12.4471
16% of range
13.8043upper
12.1961lower
flip 44d ago
IN BAND
▲ last up
+1 GLD
vote
Vote Tally  ·  max 6 per factor · latching signal
GLD
Gold
6
★★★★★★
DBMF
Mgd Futures
5
★★★★★·
SPYG
Growth
4
★★★★··
IVE
Value
3
★★★···
DGRO
Div. 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
+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 CASH · 72 switches
Total Returns
Strategy
+380.8%
since inception
SPY B&H
+190.0%
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
⚠ 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  ·  31 days
since 19 Aug 2026  ·  prev: DGRO
Vote Spread
GLD
6
DBMF
5
SPYG
4
IVE
3
DGRO
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 IN BAND
+1 DBMF
DGRO/SPYG BELOW
+1 SPYG
DGRO/SPHQ IN BAND
+1 DGRO
DGRO/IVE IN BAND
+1 IVE
DGRO/GLD IN BAND
+1 GLD
DGRO/DBMF BELOW
+1 DBMF
SPYG/SPHQ IN BAND
+1 SPYG
SPYG/IVE ABOVE
+1 SPYG
SPYG/GLD IN BAND
+1 GLD
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 BELOW
+1 DBMF
GLD/DBMF IN BAND
+1 GLD
Annual ReturnsStrategy vs SPY
Individual Factor Performance (Buy & Hold)
FactorAnn RetSharpeMax DDTotal Ret
SPMO Momentum +22.2% 0.96 -30.9% +297.4%
DGRO Div. Growth +13.4% 0.73 -35.1% +138.2%
SPYG Growth +19.2% 0.83 -32.7% +234.9%
SPHQ Quality +16.2% 0.82 -31.6% +181.6%
IVE Value +13.1% 0.70 -37.0% +133.0%
GLD Gold +15.8% 0.86 -26.4% +175.2%
DBMF Mgd Futures +7.4% 0.59 -23.3% +63.8%
Switch Log (last 20)Total: 77 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.  ·  2026-09-18 23:57 UTC
Returns are geometric, on dividend-adjusted closes; Sharpe = ann. return / ann. vol (risk-free = 0); "days in" = calendar days; execution at next close.