Why Our Momentum Framework Sits in Cash This Month
The regime filter triggered on 29 July. We publish the exact rule, the historical hit rate, and the cost of ignoring it.
The regime filter on our Momentum Rotation framework triggered on 29 July and the strategy is fully in cash. We publish the exact rule, the historical frequency of the signal, and what ignoring it has cost in past instances.
- Current exposure
- 0%
- Triggered
- 29 Jul
- Signals / yr
- ~2.4
- Discretion
- None
Key findings
- The rule is mechanical and public
The framework exits to cash when the index closes below its long-term trend filter for a defined number of consecutive sessions. There is no discretion in the trigger.
- False positives are frequent and cheap
The filter has produced more false signals than true ones. It earns its place because the cost asymmetry is heavily in its favour, not because it is accurate.
- The cost of overriding it is asymmetric
In the sample, overriding the filter improved outcomes slightly in most instances and damaged them severely in a small minority — the classic shape of a risk control worth keeping.
Percentage of capital deployed. Sample data.
The rule as written
The exit condition, the re-entry condition and the confirmation window are documented in full in the strategy specification. We reproduce them here rather than describing them, because a rule you cannot reproduce is not a rule.
No parameter in the filter has been changed since the framework was published. Where we have considered changes, the consideration is documented and dated.
Why this signal is uncomfortable
The filter has moved to cash while breadth remains reasonable and sentiment is constructive. That is the normal condition under which a trend filter triggers — if it only fired when the outcome was obvious, it would fire too late to matter.
Being in cash during a market that continues higher is the expected cost of this framework, and it is budgeted for in the drawdown allowance.
Re-entry conditions
The framework re-enters on a defined close above the trend filter with a confirmation window, not on discretionary judgement about whether the signal was a false alarm.
Subscribers receive the re-entry alert the same session the condition is met.
Download the full report and model
14-page PDF plus the three-statement model as an editable spreadsheet. Change an assumption and see what the answer becomes.
Downloads are available to subscribers on the Professional and Premium tiers. Demo links on this build are inactive.
Strategist · SkyGrowthWealth Research
Maintains the model behind this note and publishes every revision to it.
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