October | 2025 | iMarketSignals

This is a dynamic ETF allocation strategy using the CAPE-MA35 ratio—the Shiller CAPE divided by its 35-year moving average—to identify market phases and adjust portfolio exposure.
The model defines four primary phases with respective ETFs—Growth (QQQ), Defensive (GLD, XLU), Uptrend (QQQ, XLE), and Downtrend (GLD)—based on the trend and relative valuation of CAPE-MA35. ETF allocations are adjusted monthly in response to these phases.
Backtesting from 1999 to 2025 shows the model outperforms SPY with 20.1% annualized returns, lower drawdowns, and consistent long-term performance with low turnover.
The strategy offers a practical, rules-based approach to market timing, blending long-term valuation with trend analysis for superior risk-adjusted returns.