Working version of the Dual Momentum Sector Rotation Strategy, based on Gary Antanacci's book Dual Momentum. If the SPY is trending up, strategy re-balances each month to the top 4 sectors (based on yearly momentum) of the SPY. If the SPY is trending down, the strategy moves 100% to the AGG Bond ETF.

Gary's book doesn't specify how the many sectors he invests in at a given time, or if this number may vary based on other criteria. I have used 4 here for simplicity. Wanted to post this to see what you all think, and maybe some additional rules may be that could improve performance (MichaelH, you linked to an algo that utilized the CAPE metric to identify down moves, that may be something to look into).