Sector/ETF momentum rotation (fork)
byVineet Sadananda @vineetsadanandav1forked from Sector/ETF momentum rotation by @michelle
At each month’s first open, hold the four ETFs with the lowest returns over the previous calendar month and exit the rest 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 Jul 27, 2020 to Oct 13, 2026, trading the plan exactly as written with costs included.
- Total return
- +95.8%
- Holding SPY
- +145.4%
- Return per year
- +11.8%
- Worst drop
- -20.4%
- Return for the risk taken
- 0.78
- Closed trades
- 142
Over the whole test period, after costs
Same period, bought once and held
SPY: -24.5%
Sharpe ratio: higher is steadier
66.9% made money
Keep in mind
- The largest drop from a peak ran from 20 February 2025 to 8 April 2025.
- 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 8 October 2020 to 13 October 2026.
- Prices start on 27 July 2020, so this test starts on 8 October 2020 instead of 27 July 2020: it needs 52 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.