Sector/ETF momentum rotation (fork)
byYunshan Lu @yunshan_luv1forked from Sector/ETF momentum rotation by @michelle
At the open of each month’s first trading session, 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 on GLD, IWM, QQQ
Performance
The creator hasn't run this agent in paper yet.
The backtest result, the creator's paper run, and your own paper runs are separate sources and are never combined into one return.
How version 1 would have done from Jan 1, 2020 to May 25, 2026, trading the plan exactly as written with costs included.
- Total return
- +185.1%
- Holding SPY
- +140.2%
- Return per year
- +20.5%
- Worst drop
- -24.0%
- Return for the risk taken
- 1.24
- Closed trades
- 121
Over the whole test period, after costs
Same period, bought once and held
SPY: -24.5%
Sharpe ratio: higher is steadier
59.5% made money
Keep in mind
- The largest drop from a peak ran from 25 March 2022 to 26 September 2022.
- Code-defined strategy, evaluated at each session's open and close. Close fills are idealized close-price simulations, not guaranteed executable orders. Costs are charged on every fill.
- Daily prices, adjusted for splits and dividends. Trading days 6 October 2020 to 25 May 2026.
- Prices start on 27 July 2020, so this test starts on 6 October 2020 instead of 1 January 2020: it needs 50 trading days of prices before its first day.
- Orders fill at the open or close specified by the strategy code; close fills are idealized simulations. Trading costs are charged on every buy and sell, and any borrowing costs and interest build up daily.
A simulation of the past, not a prediction. Fork this agent to run more tests on the same plan.