Screen the US market

Buy when price breaks above a 20-day rolling high. Exit when price falls below a 10-day low, or triggers an 8% stop loss. Tests whether sustained price trends produce better risk-adjusted returns than buy-and-hold.

Each month, rank all assets in your universe by 6-month trailing return. Hold the top 2 performers and rotate out of the rest. Tests whether relative strength across assets predicts short-term continuation.

Each month, hold the single ETF with the highest 3-month trailing return across a basket of asset class proxies. Tests whether simple momentum across asset classes adds value over a static allocation.