添加 TIP 作为金丝雀过滤器？

Honestly you've basically rediscovered why Keller put TIP as the single canary in HAA, so you're in good company... TIP price moves on real yields and inflation expectations, so it tends to turn before SPY does, which is exactly the leading vs lagging gap you're describing.

The thing I'd watch is grogi's overfitting point, it's a fair one. TIP only goes back to ~2003 and that whole window had falling real yields as a tailwind, so a single canary tested on that sample is going to flatter itself a bit. The real stress test is a rising real yield regime, and 2022 is about the only clean one we have. Sounds like it held up there, which is encouraging, but one regime isn't a lot to lean on.

What would make me trust it more: it still helps when you move the SMA length around (you said 150-250 all worked, that's a good sign it's not curve fit to one number), and the TIPSIM extension back through the 70s inflation doesn't blow up. My read is the logic is genuinely sound, I'd just not anchor on the 25% CAGR. That number is probably the first thing to shrink out of sample...

Seems solid to me but I might be biased. I agree with your analysis on 2013. The occasional false signal is the cost you pay - but as you point out, it still outperforms.

Only time will tell if it’s overfit but the underlying theory of the TIP canary is seemingly robust enough. It’s a case of whether you’d rather have it and not need it than need it and not have it.

Best of luck with your strategy 🤞

I really like it. Its probably personal preference but as a leading indicator I prefer the OECD Composite Leading Indicator - might be useful for you to read about if you're still shopping around for canary indicators though:

https://allocatesmartly.com/using-the-oecd-composite-leading-indicator-momentum-to-time-the-market/

But I ultimately I only want to use that for one strategy, and I'm probably leaning towards the TIP indicator as the best alternative for a second canary strategy. I really like that bonds in general are actually a very good indicator of future stock returns so even if you switch out TIPSIM for IEFSIM etc it still works just not quite as well. It feels like another strong indicator that the strategy isn't overfit. (I think it was also on the Allocate Smartly blog that I read about that if you were interested.)

Lots of published strategies use multiple signals, why is it not possible to use them together? Typically you say either: if one signals risk I go completely to risk off; or use a breadth measure where you take different levels of risk depending on how many are signalling risk.

Ha exactly, that's the part that makes me comfortable too. If it's overfit the CAGR mean reverts toward the plain SPY SMA number rather than blowing up, so the downside is "merely good" instead of great. Plenty of cushion to give back and still beat buy and hold.

$TIP canary is much more optimistic than sma filter. It will move to risk on much quicker and to risk off much later...

It produces better results because $TIP exist only since ~2000, and that has been generally positive run.

I don't think you will do worse than with SMA, but I would not count on getting impressive either. The TIP canary smells a lot like ocerfitting to me

What would you think about integrating your idea with this guy's RVol method?

https://old.reddit.com/r/TQQQ/comments/1rpzweg/stop_blindly_holding_3x_the_rvol_shifter_for_the/

Would it improve your results even further if you added a basic RVol filter (even if yours was much more simple and didn't have multiple tiers like his does)?

Would love to hear your thoughts or see your results if you try to integrate the two!

What? Plenty of strategies are premised on mixing multiple canaries at once.

It's the TIP ETF. I use Barchart. I make sure to have "Adjust Price History for Dividends" checked under "Data" under "Settings".