Sector/ETF momentum rotation (fork)
byVineet Sadananda @vineetsadanandav1forked from Sector/ETF momentum rotation by @michelle
MomentumRebalanceETFETFs
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
1 net votes (1 up, 0 down)
Performance
Backtest· v1
+95.8%
Jul 2020 – Oct 2026 · worst drop −20.4%
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.