Vol Target Momentum

The rules

Hold up to three ETFs with the best positive 6-month return, scaled to a 15% volatility target (42-day estimate, up to 2x leverage).

Universe

SPY, EFA, EEM, TLT, IEF, GLD, DBC and VNQ

Bars

daily

Position size

Equal weight max 40%, scaled to 15% vol

Rebalance

month-end

Results

Rebuild it in Orbital

Paste this into Orbital Chat. The Strategy Developer builds the workflow and asks before it runs any backtest.

Closest Orbital version: each of the three picks is sized by its own 42-day volatility, 33% of equity at 15% volatility and at most twice that, instead of scaling the whole basket to 15% volatility, because Orbital sizes a position from that symbol's data alone; that ignores how the picks offset each other, so it holds somewhat less than the original. Orbital never sells a holding for a better one, so each monthly switch sells everything and buys the new picks a day later.

Rotate among SPY, EFA, EEM, TLT, IEF, GLD, DBC and VNQ on daily bars. On the first trading day of each month, sell every holding, and the next day buy the three ETFs with the highest 126-day return, skipping any whose 126-day return is negative. Size each purchase by its annualized volatility, the standard deviation of its last 42 daily returns times the square root of 252: 33% of equity for an ETF at 15% volatility, scaled inversely (16.5% at 30%), between 1% and 66% of equity. Long only, on a margin account so the total can pass 100%; uninvested capital stays in cash. Backtest the last 10 years with $100,000.

Why it was not re-tested

It scales the whole portfolio to a volatility target with up to 2x leverage. Orbital sizes each position once, at entry, from that symbol's own data.

Sources