Publications

2026 / Time Series Momentum Strategy with Macro-Instrumented Regime Switching.

A research project on Time Series Momentum (TSMOM) using SPY and GLD, incorporating macro-aware regime switching to improve risk-adjusted returns. As part of the work, I ran a full backtest on a two-asset momentum system and identified a simple but powerful enhancement: whenever the model reduces exposure to SPY, investing the unused allocation into gold meaningfully improves Sharpe and drawdown stability. Gold’s low and regime-dependent correlation with equities allows the strategy to stay fully invested while dynamically shifting toward a defensive asset during adverse momentum or macro conditions (e.g., high uncertainty, regime 2 in the State Gate model). This improvement complements the paper’s broader contribution—combining multi-horizon momentum signals with macro-instrumented gates (yield-curve-based State Gate + oil-volatility OVX gate) to reduce momentum-crash risk. The final integrated approach achieves higher Sharpe, smoother return paths, and materially reduced drawdowns, all while maintaining a simple, ETF-only implementation accessible to any investor.