How to rank country ETFs by it's currency strength?

Research
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So I formulated this for P123.
Accelerated Momentum SPY | VEA | TLT

Weight formula:
eval($RetSPY<0 & $RetVEA<0,TICKER(“TLT”),EVAL($RetSPY>$RetVEA, Ticker(“SPY”),Ticker(“VEA”)))

where $Ret is the momentum score, the sum of each asset’s 1 month, 3-month, and 6-month returns.

Starting on 1/2/1999 the model shows an annualized return of 11.5%. But when starting on 1/14/1999 the return becomes 9.1%. Rebalancing every 4 weeks.
So this is not a stable model which requires this selection at the beginning of every month, and collapses if one starts in the middle of the month.

44

You should offer your model as a DM.

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