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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Hedge Fund Manager | Wealth Educator | 20+ yrs investing | Stocks, ETFs & Crypto alerts | Join Henrique Wealth Academy for trade alerts & indicators → skool.com/be-limitless/
Thông báo miễn trừ trách nhiệm
Thông tin và các ấn phẩm này không nhằm mục đích, và không cấu thành, lời khuyên hoặc khuyến nghị về tài chính, đầu tư, giao dịch hay các loại khác do TradingView cung cấp hoặc xác nhận. Đọc thêm tại Điều khoản Sử dụng.