Question
When both gold and SPX are in drawdown, does parking in T-bills (Returnstream’s escape hatch) actually improve CAGR/DD over the simpler always-in-market gold-spx-rs-ratio-rotation — or is the cash leg marketing?
Why it matters
This is the structural disagreement between our two seed sources, and neither vendor has an incentive to test the sibling system: quantified-strategies never adds a cash leg; returnstream never reports the no-cash variant. The answer decides which skeleton we build on, and it generalizes to every two-asset rotation we’ll ever look at. If the cash leg adds nothing, every “risk-managed” rotation pitch loses its main selling point.
First cheap check
Run the fully-disclosed QS ratio rule on identical monthly data ± a cash rule (“both assets’ trailing return < 3-mo T-bill → cash”), same period, same costs. One data pull (also needed by both proposed studies), one extra column. Compare CAGR, max DD, Sharpe, and behavior in 2008, 2020, 2022.
Status notes
- 2026-10-08: opened from seed-article cross-reading (Frank’s opinion request). Not promoted yet — waiting on the shared data pull; folds naturally into gold-spx-ratio-rotation-replication step 6 if we run that first.
- 2026-10-08: reframed by Frank’s ingest — this IS gary-antonacci’s absolute-momentum claim tested on the gold/SPX pair. Both seed systems are degenerate cases of dual-momentum (see table on that page). Frank’s own working answer is yes (he caught 2024–26 with the filtered ratio approach); record the prior, still run the test. Study legs live in filtered-levered-gold-vs-bnh (single-asset absolute momentum) and co-rally-tax (shared vs per-asset absolute filter).