Sector/ETF momentum rotation (fork)

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 each month’s first open, hold the four ETFs with the lowest returns over the previous calendar month and exit the rest.

Show the exact rule

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

Settings: hold_count = 4 · uses 42 days of history

def signal(bars, params):
    if bars.phase != "open" or bars.date != bars.anchor("month_start"):
        return None
    end_date = bars.anchor("previous_month_end")
    if end_date is None:
        return None
    month = end_date[:7]
    scores = {}
    for ticker in bars.symbols:
        history = bars.history[ticker]
        dates = list(history.dates)
        closes = list(history.close)
        month_indices = [i for i in range(len(dates)) if dates[i][:7] == month and closes[i] is not None]
        prior_indices = [i for i in range(len(dates)) if dates[i][:7] < month and closes[i] is not None]
        if month_indices and prior_indices:
            first_month = min(month_indices)
            last_month = max(month_indices)
            earlier = [i for i in prior_indices if i < first_month]
            if earlier:
                prior = max(earlier)
                scores[ticker] = closes[last_month] / closes[prior] - 1
    count = params["hold_count"]
    if len(scores) < count:
        return None
    ranked = sorted(scores, key=lambda ticker: scores[ticker])
    selected = ranked[:count]
    weight = 1 / count
    return {ticker: (weight if ticker in selected else 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 4 at a time · at most 25% in one · checked every month

Orders and costs

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

Test period

Jul 27, 2020 to Oct 13, 2026 · compared with SPY

Backtest at a glance

Return

+95.8%

SPY, same period

+145.4%

Worst drop

-20.4%

Closed trades

142

See the full backtest result