Relief-Gated Relative Rotation for QQQ–DIA Allocation
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摘要
This paper develops Relief-Gated Relative Rotation (RGRR), a two-ETF relative-allocation rule that maps screened relative and macro states into a continuous QQQ weight to rotate between QQQ and DIA. RGRR is designed as an economic, not purely mechanical, rule, triggering rotations only under rate, volatility, credit, or broad-market relief conditions. The framework relies on a hierarchy of signals (one main effect, nine second-order interactions, and two third-order interactions) admitted through global screening and incremental OOS validation, with a fixed, globally mapped weight function and a modest 10 bps one-way turnover cost. Across 2018, 2020, and 2022 OOS starts, RGRR improves Sharpe versus 100% QQQ and 50/50 QQQ–DIA in every tested interval and enhances CAGR versus 50/50 in all windows, though it only beats 100% QQQ on CAGR in the 2022 window. The primary weakness is high turnover (354%–506% annualized), highlighting practicality concerns and the need for turnover-reduction mechanisms in future work [page::0].
