Engine 10 rotates across 30 curated US-listed ETFs using Antonacci-style dual momentum for monthly allocation and IBS/RSI(2) mean reversion for tactical dip-buying. A separate scanner discovers additional ETFs across US, European, and Asia-Pacific markets every 4 hours for expanded signal coverage.
The foundation is dual momentum (Antonacci 2014) — combining relative strength with absolute momentum. Every month, we rank all 30 ETFs by 3-month total return (relative momentum) and apply an absolute momentum gate: only ETFs trading above their 200-day SMA are eligible.
The top 5 ETFs passing both filters receive equal-weight allocation ($5,000 each). If fewer than 5 qualify, the remainder rotates to SHY (short-term Treasuries) — providing built-in crash protection.
Academic backing: Faber (2007) showed this SMA filter reduces maximum drawdown from ~50% to ~20% while maintaining returns. Antonacci (2014) documented dual momentum GEM with Sharpe ~0.8.
Daily, we scan all 30 ETFs for deeply oversold conditions using two indicators simultaneously:
2-period RSI deeply oversold — Connors RSI adapted for ETFs. Historically followed by positive returns within 2-5 days.
Internal Bar Strength showing close near the day’s low. IBS = (Close - Low) / (High - Low). Values below 0.2 indicate strong selling pressure that typically reverses.
Both must trigger simultaneously, with price above the 200-day SMA (same uptrend gate). Exit: price crosses above the 5-day SMA (typically 2-3 day hold). Stop: 3x ATR(14) below entry. Based on Pagonidis (2014) IBS research on equity ETFs.
With 5,400+ ETFs globally, the curated 30 are just what we trade. Every 4 hours, a separate scanner service uses IBKR’s reqScannerData to discover liquid ETFs across three regions:
| Region | Scan Codes | Expected Results |
|---|---|---|
| US (STK.US.MAJOR) | 6 codes (most active, gainers, losers, volume, 52-week extremes) | ~200 raw, ~120 unique |
| Europe (STK.EU) | 4 codes | ~100 raw, ~60 unique |
| Asia-Pacific (STK.HK.SEHK) | 3 codes | ~80 raw, ~50 unique |
Candidates pass through our gates: liquidity (ADV > 500K), AUM ($500M+), momentum ranking, and entry criteria. Leveraged/inverse ETFs (2x/3x) are excluded — volatility decay makes them unsuitable. The top 20 that pass all gates are delivered as a single consolidated digest.
E10 mirrors the E2 MES (S&P 500 futures) regime:
Full rotation active. All ETFs eligible for ranking and entry. MR scanning active.
Defensive bias: TLT, GLD, XLU, XLP receive a ranking bonus, naturally shifting allocation toward safe havens. MR still active.
Rotate to SHY/cash. All equity ETF entries paused. The SMA(200) gate provides additional crash protection independent of GateKeeper.
Monthly rotation rebalance (top 5 ETFs, weights, entries/exits) and daily MR entries from the curated 30. These trades are executed on our paper account.
Scanner digest with momentum leaders (top 15) and MR candidates from the expanded universe, plus NAV premium/discount flow signals. One consolidated embed per cycle.
GateSig is an information-only service. Engine 10 trades on a paper account and generates signals. No investment advice is provided. Subscribers receive signals; they decide what to do with them.