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Factor Donchian Rotation  ·  Factors + Defensives — 7-ETF
N=30 · shift(1) · pairwise ratio Donchian · latching signal · internal use only
5-ETF View
As of 07 Oct 2026
Updated 2026-10-08 01:38 UTC
Active Holding▶ LIVE
DBMF
Mgd Futures  ·  Defensive leadership
Days In
16
Since
22 Sep 2026
Previous
GLD
Switches
77
SPMO
$153.00
DGRO
$76.33
SPYG
$126.28
SPHQ
$85.21
IVE
$230.78
GLD
$375.88
DBMF
$33.07
SPY
$777.22
Pairwise Donchian Signal StateN=30 · shift(1) · ratio breakout / latch
Pair
Current
Upper
Lower
Status / Direction
Vote
SPMO/DGRO
2.0045
88% of range
2.0248upper
1.8489lower
flip 16d ago
IN BAND
▲ last up
+1 SPMO
vote
SPMO/SPYG
1.2116
20% of range
1.2451upper
1.2033lower
flip 83d ago
IN BAND
▼ last down
+1 SPYG
vote
SPMO/SPHQ
1.7956
89% of range
1.8065upper
1.7056lower
flip 51d ago
IN BAND
▲ last up
+1 SPMO
vote
SPMO/IVE
0.6630
90% of range
0.6682upper
0.6150lower
flip 15d ago
IN BAND
▲ last up
+1 SPMO
vote
SPMO/GLD
0.4070
106% of range
0.4035upper
0.3438lower
flip 15d ago
ABOVE
▲ last up
+1 SPMO
vote
SPMO/DBMF
4.6265
48% of range
4.8211upper
4.4496lower
flip 82d ago
IN BAND
▼ last down
+1 DBMF
vote
DGRO/SPYG
0.6045
-1% of range
0.6622upper
0.6049lower
flip 20d ago
BELOW
▼ last down
+1 SPYG
vote
DGRO/SPHQ
0.8958
17% of range
0.9323upper
0.8884lower
flip 12d ago
IN BAND
▼ last down
+1 SPHQ
vote
DGRO/IVE
0.3307
22% of range
0.3359upper
0.3293lower
flip 34d ago
IN BAND
▼ last down
+1 IVE
vote
DGRO/GLD
0.2031
109% of range
0.2016upper
0.1856lower
flip 9d ago
ABOVE
▲ last up
+1 DGRO
vote
DGRO/DBMF
2.3081
5% of range
2.5620upper
2.2958lower
flip 28d ago
IN BAND
▼ last down
+1 DBMF
vote
SPYG/SPHQ
1.4820
105% of range
1.4778upper
1.3880lower
flip 65d ago
ABOVE
▲ last up
+1 SPYG
vote
SPYG/IVE
0.5472
103% of range
0.5461upper
0.5059lower
flip 16d ago
ABOVE
▲ last up
+1 SPYG
vote
SPYG/GLD
0.3360
109% of range
0.3313upper
0.2803lower
flip 16d ago
ABOVE
▲ last up
+1 SPYG
vote
SPYG/DBMF
3.8186
62% of range
3.8979upper
3.6903lower
flip 23d ago
IN BAND
▼ last down
+1 DBMF
vote
SPHQ/IVE
0.3692
85% of range
0.3715upper
0.3568lower
flip 6d ago
IN BAND
▲ last up
+1 SPHQ
vote
SPHQ/GLD
0.2267
105% of range
0.2254upper
0.2007lower
flip 9d ago
ABOVE
▲ last up
+1 SPHQ
vote
SPHQ/DBMF
2.5767
3% of range
2.7784upper
2.5706lower
flip 79d ago
IN BAND
▼ last down
+1 DBMF
vote
IVE/GLD
0.6140
107% of range
0.6098upper
0.5525lower
flip 9d ago
ABOVE
▲ last up
+1 IVE
vote
IVE/DBMF
6.9785
3% of range
7.6270upper
6.9577lower
flip 27d ago
IN BAND
▼ last down
+1 DBMF
vote
GLD/DBMF
11.3662
-4% of range
13.8043upper
11.4564lower
flip 14d ago
BELOW
▼ 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
+25.9%
SPY: +16.9%
Sharpe Ratio
1.33
SPY: 0.85
Max Drawdown
-16.6%
SPY: -33.7%
Calmar
1.56
SPY: 0.50
200d MA filter (toggle on chart): +26.1% ann · Sharpe 1.38 · MaxDD -16.6% · now DBMF · 72 switches
Total Returns
Strategy
+392.7%
since inception
SPY B&H
+196.0%
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  ·  16 days
since 22 Sep 2026  ·  prev: GLD
Vote Spread
DBMF
6
SPYG
5
SPMO
4
SPHQ
3
IVE
2
DGRO
1
GLD
0
Cumulative Returns — Full Period (rebased 100) Rotation vs Factors vs SPY B&H
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 ABOVE
+1 SPMO
SPMO/DBMF IN BAND
+1 DBMF
DGRO/SPYG BELOW
+1 SPYG
DGRO/SPHQ IN BAND
+1 SPHQ
DGRO/IVE IN BAND
+1 IVE
DGRO/GLD ABOVE
+1 DGRO
DGRO/DBMF IN BAND
+1 DBMF
SPYG/SPHQ ABOVE
+1 SPYG
SPYG/IVE ABOVE
+1 SPYG
SPYG/GLD ABOVE
+1 SPYG
SPYG/DBMF IN BAND
+1 DBMF
SPHQ/IVE IN BAND
+1 SPHQ
SPHQ/GLD ABOVE
+1 SPHQ
SPHQ/DBMF IN BAND
+1 DBMF
IVE/GLD ABOVE
+1 IVE
IVE/DBMF IN BAND
+1 DBMF
GLD/DBMF BELOW
+1 DBMF
Annual ReturnsStrategy vs SPY
Individual Factor Performance (Buy & Hold)
FactorAnn RetSharpeMax DDTotal Ret
SPMO Momentum +22.4% 0.97 -30.9% +307.5%
DGRO Div. Growth +13.2% 0.72 -35.1% +136.5%
SPYG Growth +19.7% 0.85 -32.7% +248.1%
SPHQ Quality +16.4% 0.83 -31.6% +185.8%
IVE Value +12.9% 0.69 -37.0% +131.9%
GLD Gold +14.6% 0.80 -26.4% +157.9%
DBMF Mgd Futures +7.8% 0.62 -23.3% +68.1%
Switch Log (last 20)Total: 77 switches
DateFrom → 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
Factors + Defensives — 7-ETF  ·  SPMO, DGRO, SPYG, SPHQ, IVE, GLD, DBMF  ·  N=30 · shift(1) · Pairwise ratio Donchian · Latching signal  ·  Lighthouse Canton Pte. Ltd.  ·  2026-10-08 01:38 UTC
Returns are geometric, on dividend-adjusted closes; Sharpe = ann. return / ann. vol (risk-free = 0); "days in" = calendar days; execution at next close.