Overview


Triple Filter Momentum (TFM) is a systematic, rules-based approach to portfolio allocation built on a simple objective:
participate in trends while managing downside risk.

The framework combines three key elements:

  • market regime (broad trend)

  • relative strength (momentum)

  • risk control (defensive allocation)

It is designed to remove discretion, reduce emotional decision-making, and provide a repeatable process over time.

 

Core Allocation: QQQ, SPY or Cash

At its core, the strategy rotates between:

  • QQQ (growth / technology exposure)

  • SPY (broad market exposure)

  • Cash (defensive position)

Why these ETFs

  • QQQ captures high-beta, growth-driven trends, typically leading in strong bull markets

  • SPY provides diversified exposure to the overall market, often more resilient in mixed environments

  • Cash is used as a risk-off asset when conditions deteriorate

This simple universe ensures:

  • high liquidity

  • low costs

  • ease of execution

  • robustness across market cycles

 

Advanced Version: TFM ++ (TQQQ / UPRO / Cash)

A more aggressive variation replaces core ETFs with leveraged equivalents:

  • TQQQ (leveraged Nasdaq exposure)

  • UPRO (leveraged S&P 500 exposure)

  • Cash

Important considerations

This version is designed for experienced investors only.

  • significantly higher volatility

  • large drawdowns are possible

  • requires strict discipline and adherence to rules

The objective is not to increase complexity, but to amplify exposure to strong trends, while still relying on the same defensive framework.

This approach is not suitable for all investors and requires a strong tolerance of drawdown.

 

The Three Filters

1. Market Regime (Macro Filter)

The first layer evaluates the overall market environment.

The goal is simple:

  • participate in favorable conditions

  • reduce exposure during adverse regimes

This prevents remaining fully invested during prolonged downturns.

 

2. Momentum (Relative Strength)

The second layer determines which asset to hold.

Between QQQ and SPY, the strategy selects the one showing stronger relative performance.

This ensures capital is allocated to the leading segment of the market, rather than holding a static allocation.

 

3. Risk Control (Defensive Allocation)

When both trend and momentum conditions weaken, the strategy moves to cash.

This is a critical component:

  • limits drawdowns

  • reduces volatility

  • preserves capital for future opportunities

 

Cash Management

During defensive periods, cash is not held idle.

Instead, capital is allocated to short-term Treasury ETFs such as SGOV, which provide exposure to U.S. Treasury bills.

Rationale

  • earn yield on idle capital

  • maintain high liquidity

  • preserve capital with low risk

This approach allows the portfolio to remain defensive while still generating interest during risk-off environments.

 

Why Monthly Execution

The strategy operates on a monthly basis.

Rationale

  • Lower transaction costs

  • Reduced noise (avoids reacting to short-term volatility)

  • Simpler execution (easy to follow and implement)

  • Better investor behavior (less emotional decision-making)

High-frequency adjustments often lead to overtrading and inconsistent results.
A monthly process strikes a balance between responsiveness and stability.

 

Execution

Rebalancing is done once per month at market close.
In practice, this can be implemented using standard ETF orders, including market-on-close (MOC) orders where available.

 

Philosophy

TFM is built on a few core principles:

  • Simplicity over complexity

  • Process over prediction

  • Discipline over discretion

The objective is not to forecast markets, but to systematically react to them.

 

Limitations

No strategy is perfect.

  • performance will vary across market regimes

  • periods of underperformance are expected

  • backtests are not guarantees of future results

The strength of the approach lies in its consistency, not in short-term outcomes.

 

Access to Allocation

The framework is public.

Execution is not.

Monthly allocations, ETF selection, and portfolio updates are shared in the newsletter.

 

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Backtest & Data

For transparency, the full historical backtests and data are available below
These are historical simulations used to illustrate the framework.

 

 

Disclaimer

This content is provided for informational and educational purposes only and does not constitute investment advice, an offer, or a solicitation to buy or sell any securities.
Past performance is not indicative of future results, and all investment decisions remain the sole responsibility of the reader.

 

 

You can explore the methodology and access the dedicated newsletter:

ANALYM LLC is a private investment company dedicated exclusively to managing its own capital for proprietary purposes. The company focuses on strategic investments and long-term capital allocation in public equity markets, as well as ongoing portfolio and asset optimization.

It does not provide any financial services, investment advice, or asset management services to third parties and does not operate as a broker or fund manager.


Separately, we develop and publish the Triple Filter Momentum (TFM) approach — a systematic investment framework combining trend, confirmation, and risk filters to identify high-probability opportunities.
TFM is a personal project and is not operated by, or affiliated with, this LLC.

You can explore the methodology and access the dedicated newsletter:

 

 

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