Strategy Builder

Configure a custom TAA model

Risk-On Asset Selection

Universe (5 selected)

SPY ×EFA ×EEM ×IEF ×GLD ×

Momentum Type

Score = N-month total return. Rank assets, hold top-K.

Ranks assets by return over a single lookback window. Simple and transparent relative strength signal used across many TAA strategies.

Lookback Period (months)

Lookback of 12 months determines how far back price data is used to compute the momentum signal. Shorter = more responsive but more whipsaw. Longer = smoother but slower to react.

Top N Assets to Hold

Risk-On Allocation

Each selected asset receives 1/K allocation. No estimation needed — robust and transparent.

Protection Style

Protection Method

Selected asset price < SMA → that slot shifts to defensive.

Post-ranking gate: each selected asset must be above its SMA to stay invested. A broken trend overrides a strong momentum rank. Used in Faber's GTAA/Ivy family.

SMA Period

Simple Moving Average period in months.

Risk-Off Asset Selection

Defensive Universe (2 selected)

BIL ×IEF ×

Selection Method

All defensive assets held equally — no ranking. Simplest approach, used by most GTAA strategies.

Defensive Assets to Hold

When protection triggers, invest in top 1 of 2 defensive assets. All held equally.

Absolute Momentum Filter

Defensive Allocation

Each selected asset receives 1/K allocation. No estimation needed — robust and transparent.

Rebalance

Custom Model Results

5 risk-on · 2 defensive · Top 3 · LB 12M · Monthly · Jan 2008 – Feb 2026

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Configure your model and click Run Simulation

Build any TAA strategy from scratch