Keller, Wouter J. and Keuning, Jan Willem, Protective Asset Allocation (PAA): A Simple Momentum-Based Alternative for Term Deposits (April 5, 2016, SSRN) successfully protects your portfolio from returns.
This paper, superseded their VAA and DAA papers. The key differences between them can be found here. The paper used the Emerging Market ETF – EEM – to be one of the canary assets. While EM equities are indeed risky, a risk-off in them doesn’t really mean a risk-off in DM equities. So, we ran a parallel backtest with SPHB (High-Beta ETF) instead of EEM.
Here too, the out-of-sample performance leaves much to be desired.
Once again, investors are better off managing drawdowns through asset allocation (hence giving up the upside during booms) or through using simple trend-following to avoid steep drawdowns (hence incurring higher transaction costs due to whipsaws) than trying to construct a Rube Goldberg machine.
Code and charts are on github.