Paired Switching

The three-gate gauntlet · genuine only if it clears all three and survives adversarial refutation

Gate 1

Survivorship-free

immune

clean panel

Gate 2

Placebo ≥ P95

P96

outranked ~192 of 200 baskets

Gate 3

Cost-aware net

RF +9.06

positive, not certified

Failedfailed refutation

Worst 12-month leg (RF)-0.70

−1.00 floor0

Every strategy here — winners included — loses in its worst 12 months. Depth is honest context, not the verdict.

Cleared the numeric checkpoints it reached but failed adversarial refutation — the positive figure is market beta or a single-period jackpot, not a repeatable edge.

Paired switching rotates a portfolio between two negatively- or weakly-correlated assets, holding whichever had the stronger recent return and re-evaluating each quarter. In our test the pair is SPY (equities) and AGG (bonds), switched on quarterly momentum.

What we found

The switch is survivorship-immune - both legs are broad ETFs, so there is no delisting or dead-name bias to flatter the result. But it does not hold up as a genuine effect: the placebo margin is thin (P96, only about one point above the P95 bar), the whole record rests on just 84 trades, and the aggregate is dominated by a single 2016 jackpot year (that year's RF was 1335). That concentration makes the result too fragile to call genuine, so it does not clear our bar.

How we tested it

2005–2026 test windowmodelled liquidity-aware costssurvivorship immune

Tested on a set of liquid ETFs (SPY and AGG), daily. Realistic modelled costs.
Placebo / robustness test: real result vs random baskets or shuffled signals (real vs the 95th percentile of random)

Source: Maewal & Bock (2011), "Paired-switching for tactical portfolio allocation"
Read the paper ↗

← The Academic Audit — all 54 studies

Research, not investment advice. “Validated” factor-legs are market-neutral diversifying building blocks with a losing worst year — none is a standalone tradeable strategy. Metrics are cost-aware and modelled (not live fills); the 2005–2026 test window is out-of-sample versus the source paper. Dollar figures are not returns and are omitted by design.