The rules
On the first trading day of each month, rank the eight ETFs by 126-day return and hold the top three in equal dollar amounts, selling any that drop out.
- Universe
- SPY, EFA, EEM, TLT, IEF, GLD, DBC and VNQ
- Bars
- daily
- Position size
- One third of equity per holding
- On Orbital
- 33% of equity per holding
- Rebalance
- monthly
Results
| Measure | Orbital re-test | Published | SPY, same days |
|---|---|---|---|
| Window | Oct 31, 2016 to Oct 30, 2026 | 2007-2025 | Oct 31, 2016 to Oct 30, 2026 |
| Total return | +139.72% | +380.52% | +316.62% |
| CAGR | +9.14% | +8.62% | +15.35% |
| Sharpe | 0.44 | 0.53 | 0.65 |
| Discounted Sharpe | −0.56 | — | — |
| Max drawdown | −18.8% | −28.2% | −33.7% |
| Win rate | 59.1% | 52.1% | — |
| Profit factor | 1.63 | 1.78 | — |
| Trades | 357 | — | — |
Hypothetical: a backtest with modeled costs, not traded with real money.
Hypothetical growth of $10,000
O17 Monthly Rotation Orders · +139.7% vs SPY +316.6%
$10k$20k$40k20172019202120232025SPY
Rebuild it in Orbital
Paste this into Orbital Chat. The Strategy Developer builds the workflow and asks before it runs any backtest.
Rotate among SPY, EFA, EEM, TLT, IEF, GLD, DBC and VNQ on daily bars. On the first trading day of each month, sell every holding, and the next day buy the three ETFs with the highest 126-day return, 33% of equity each. Long only; uninvested capital stays in cash. Backtest the last 10 years with $100,000.
Is it real?
- Strategies tested together
- 22
- Beta to SPY
- 0.30
- Alpha vs SPY
- +1.7% a year
- Costs paid
- $17,536, 11% of the gain before costs
- Data
- Daily bars, 2,514 sessions
- Fills
- Next open at market, sized at the fill
Read this before you trust it
Orbital never sells a holding because a better one appears. On the first trading day of each month the strategy sells everything and buys the new top three at the next day's open, so a name that stays in the top three is sold and bought back, and the account spends a day in cash each month. Each holding is 33% of equity, leaving room for costs.
Sources