Study: Co-Rally Tax (rotation-onset test)
Code: https://github.com/receiptsandregimes/receipts-lab/tree/main/studies/co-rally-tax (status: protocol-only, seeded 2026-10-12)
Question
Forward-lookingly, when gold AND SPX both break their own trailing highs in the same window (a rotation onset, per rotation-onset-co-rally), how much return does a one-of-two rotation rule (gold-spx-rs-ratio-rotation) give up versus holding both 50/50 — and does dual momentum with per-asset absolute filters capture the difference?
Claims tested
- rotation-onset-co-rally (primary)
- contextualizes qs-rotation-gfc-divergence (regime-switch timing)
Data & assumptions
- Gold + SPX (price and total-return) monthly, 1971→present (1968 LBMA-peg episode discussed qualitatively only — no reliable monthly SPX-vs-peg series; date verification pending). Gold leg per lbma-gold-price composite (frozen fix history + GLD/GC=F live extension; free fix feeds died 2026-02, log 2026-10-12). Bills TB3MS. Costs 10 bps/switch.
- Onset definition (pre-registered, no hindsight labels): month t is an onset if BOTH assets make a new trailing-12-month high at t AND at least one had been >10% below its 24-month high at t−6. (Tune the 10%/6mo knobs in a sensitivity grid, but the base definition is fixed before looking.)
Method
- Enumerate onsets 1971+; for each, forward 6/12-mo returns of gold, SPX, 50/50, ratio-rotation, and dual-momentum-with-cash on the same pair.
- Co-rally months table: % of onset-window months where both rise together; rotation’s realized position (the faster riser) vs 50/50 — the tax.
- Post-onset divergence: after how many months does one-asset dominance reassert? (This is where rotation earns its keep; measure both sides.)
- Report the full distribution of onsets, not a cherry-picked episode list.
Questions this study must answer or update
- both-assets-down-regimes (mirror image: same correlation machinery)
- does-the-cash-leg-earn-its-keep (per-asset vs shared absolute filter)
Results
(pending — no code run yet)
Verdict
(pending)
Next tests prompted
- If tax is large: per-asset dual momentum (hold both when both trend) is a structurally better skeleton than one-of-two rotation → new study.
- 1968 peg-break episode: verify Pool collapse date vs SPX ATHs before any historical citation of Frank’s version.