Subject: Dual Momentum on Fixed Income Backtest (DMFI)
Below are the results of a quick backtest on PortfolioVisualizer of a dual momentum fixed income approach (DMFI) as proposed by Antonacci in the Dual Momentum book, aligned with the GEM model.
Summary - better than straight bond allocation in a 60/40.

Performance Summary
Performance statistics for the timing portfolio and benchmark portfolios
Portfolio	                Initial	Final	CAGR	Stdev	Bestyr	Worstyr	MaxDD  Sharpe	Sortino	Correl               

Dual Momentum Model	        $10,000	$17,759	4.06%	4.85%	14.20%	-4.24%	-10.58% 0.70	1.09	0.37
Equal Weight Portfolio	        $10,000	$15,035	2.87%	3.66%	10.95%	-9.18%	-11.62% 0.60	0.90	0.65
Vanguard Total Bond Market ETF	$10,000	$13,858	2.29%	4.17%	8.83%	-13.11%	-17.28% 0.40	0.57	0.24

Fixed income assets used, as suggested by Antonacci: JNK (Hi yield), MBB (mortgage backed securities ETF), GBF (govt/credit bonds ETF), BIL (3 mo treasury ETF).
Benchmark: BND
Time period: 12/2008-present
Lookback: 12 months (Antonacci's standard)
Ranking/Trading: monthly, at next close after month end
Risk-free asset: cash

Apparently Antonacci focused on the intermediate-term bond market, avoided the long term Treasuries in his pre-selected approach. Fortuitous call, as the 20+ years (as represented by TLT) got crushed in the last year after a long run of outperformance prior as interest rates dropped to 0.