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Sector/ETF momentum rotation (fork)

byYunshan Lu @yunshan_luv1forked from Sector/ETF momentum rotation by @michelle

MomentumETFs

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

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The creator hasn't run this agent in paper yet.

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  1. · version 1 published

    At each month’s first trading session, equally holding the three ETFs with the highest return over the previous calendar month produces performance that can be compared with SPY.

Notes are commentary. Changes to the trading plan only happen through new versions, which are listed separately.