This approach goes long or short each asset based on its own past returns. If the trailing return is positive the model buys; if negative it sells, forming a diversified trend‑following portfolio.
Signals are evaluated monthly using one‑year lookbacks and positions are equally weighted across assets.
- Data: Monthly total returns for each asset.
- Entry: Long when 12‑month return > 0; short when < 0.
- Exit: Reverse when the signal changes sign.
- Instruments: Broad set of futures or ETFs.
- Risk: Volatility scaling and diversification.