HAA TIP Momentum (Wouter Keller)
A monthly risk-on / risk-off regime indicator based on the TIPS momentum "canary" from Wouter Keller & Jan Willem Keuning's Hybrid Asset Allocation paper (SSRN 4346906).
How it works
The indicator pulls monthly closes of TIP (iShares TIPS Bond ETF) and computes:
Momentum = average( 1-month, 3-month, 6-month, 12-month returns )
At each month-end close, the four lookback returns are calculated from confirmed monthly bars (no repaint), then simple-averaged into a single score:
The intuition: TIPS rally when investors flee to safety. When TIPS momentum is positive across all four lookbacks, the macro environment favors risk assets. When it turns negative, it's a flight-to-safety signal — historically appearing before the worst of equity drawdowns (e.g. 2022). Averaging four lookbacks instead of using a single one smooths out whipsaws and keeps the signal responsive to both fast shocks (1m/3m) and slower regime shifts (6m/12m).
Features
How to use
One trade per regime flip — set the two alerts and you'll be notified the moment a monthly bar closes with the signal flipped.
How it works
The indicator pulls monthly closes of TIP (iShares TIPS Bond ETF) and computes:
Momentum = average( 1-month, 3-month, 6-month, 12-month returns )
At each month-end close, the four lookback returns are calculated from confirmed monthly bars (no repaint), then simple-averaged into a single score:
- Momentum > 0 → RISK-ON (hold equities / TQQQ)
- Momentum ≤ 0 → RISK-OFF (rotate to SGOV, BTAL, or cash)
The intuition: TIPS rally when investors flee to safety. When TIPS momentum is positive across all four lookbacks, the macro environment favors risk assets. When it turns negative, it's a flight-to-safety signal — historically appearing before the worst of equity drawdowns (e.g. 2022). Averaging four lookbacks instead of using a single one smooths out whipsaws and keeps the signal responsive to both fast shocks (1m/3m) and slower regime shifts (6m/12m).
Features
- Monthly rebalance (configurable timeframe)
- No-repaint mode — signals confirm only on monthly bar close
- Histogram colored by regime, with optional background shading
- Current-signal label with momentum breakdown by lookback
- Built-in alerts for regime flips (risk-on crossover / risk-off crossunder)
- Optional overlay of the four component returns for debugging
How to use
- Add it to any chart (TQQQ, QQQ, SPY — the indicator fetches TIP itself). Check once a month at the monthly close:
- Green histogram / green background → stay in your risk asset (TQQQ, QQQ, SPY, etc.)
- Red histogram / red background → rotate to a defensive sleeve (SGOV for cash-like, BTAL for anti-beta hedge)
One trade per regime flip — set the two alerts and you'll be notified the moment a monthly bar closes with the signal flipped.
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면책사항
해당 정보와 게시물은 금융, 투자, 트레이딩 또는 기타 유형의 조언이나 권장 사항으로 간주되지 않으며, 트레이딩뷰에서 제공하거나 보증하는 것이 아닙니다. 자세한 내용은 이용 약관을 참조하세요.
Hedge Fund Manager | Wealth Educator | 20+ yrs investing | Stocks, ETFs & Crypto alerts | Join Henrique Wealth Academy for trade alerts & indicators → skool.com/be-limitless/
면책사항
해당 정보와 게시물은 금융, 투자, 트레이딩 또는 기타 유형의 조언이나 권장 사항으로 간주되지 않으며, 트레이딩뷰에서 제공하거나 보증하는 것이 아닙니다. 자세한 내용은 이용 약관을 참조하세요.