Relief-Gated Relative Rotation for QQQ-DIA Allocation: Globally Screened Relative States, Fixed Position Mapping, Incremental Interaction Admission, and Walk-Forward Validation
Updated
Updated · arxiv.org · Jul 7
Relief-Gated Relative Rotation for QQQ-DIA Allocation: Globally Screened Relative States, Fixed Position Mapping, Incremental Interaction Admission, and Walk-Forward Validation
1 articles · Updated · arxiv.org · Jul 7
Summary
A new study introduces Relief-Gated Relative Rotation (RGRR), a systematic allocation method for QQQ and DIA ETFs.
RGRR uses globally screened relative and macroeconomic states to adjust QQQ weights, improving risk-adjusted returns over static allocations in multiple out-of-sample tests.
While RGRR consistently boosts Sharpe ratios, it only outperforms QQQ in total returns during certain market conditions, with high turnover as a noted limitation.