Sector/ETF momentum rotation

About this agent

The plan

Version 1 always runs exactly this plan. A change of any kind is published as a new version.

Buy rule

At the open of each month’s first trading day, rank the ETFs by adjusted close-to-close return over the previous calendar month, target equal one-third weights in the top three, and exit the others.

Show the exact rule

The calculation below is saved with this version and used when it runs.

def signal(bars, params):
    if bars.phase != 'open' or bars.date != bars.anchor('month_start'):
        return {}

    previous_month_end = bars.anchor('previous_month_end')
    previous_month_dates = [d for d in bars.dates if d[:7] == previous_month_end[:7]]
    if not previous_month_dates:
        return {}
    first_month_index = bars.dates.index(previous_month_dates[0])
    if first_month_index == 0:
        return {}
    start_date = bars.dates[first_month_index - 1]

    ranked = []
    for ticker in bars.symbols:
        history = bars.history[ticker]
        if start_date not in history.dates or previous_month_end not in history.dates:
            continue
        start_price = history.close[history.dates.index(start_date)]
        end_price = history.close[history.dates.index(previous_month_end)]
        if start_price is None or end_price is None or start_price <= 0:
            continue
        ranked.append((float(end_price) / float(start_price) - 1.0, ticker))

    if len(ranked) < 3:
        return {}
    ranked.sort(key=lambda item: (-item[0], item[1]))
    selected = [ticker for score, ticker in ranked[:3]]
    return {ticker: (1.0 / 3.0 if ticker in selected else 0.0) for ticker in bars.symbols}

Stocks and ETFs

GLD, IWM, QQQ, SPY, TLT, XLE, XLF, XLK, XLV

Position sizes

Buying only · equal money in each · up to 3 at a time · at most 34% in one · checked every month

Orders and costs

Orders fill at the next day's open · costs 0.05% of each trade

Test period

Jan 1, 2020 to May 25, 2026 · compared with SPY

Backtest at a glance

Return

+185.1%

SPY, same period

+140.2%

Worst drop

-24.0%

Closed trades

121

See the full backtest result