The rules
Buy on a flat-to-long SMA(20/50) flip and sell on a long-to-flat flip; do nothing in between. Functionally the same rule as O01.
- Universe
- SPY, QQQ and IWM
- Bars
- daily
- Position size
- 18% of equity per ETF
- Rebalance
- on each crossover
Results
| Measure | Orbital re-test | Published | SPY, same days |
|---|---|---|---|
| Window | Oct 31, 2016 to Oct 30, 2026 | 2001-2025 | Oct 31, 2016 to Oct 30, 2026 |
| Total return | +54.55% | +129.76% | +316.62% |
| CAGR | +4.45% | +3.38% | +15.35% |
| Sharpe | 0.05 | 0.22 | 0.65 |
| Discounted Sharpe | −0.95 | — | — |
| Max drawdown | −15.7% | −16.3% | −33.7% |
| Win rate | 55.7% | 52.4% | — |
| Profit factor | 2.65 | 2.21 | — |
| Trades | 70 | — | — |
Hypothetical: a backtest with modeled costs, not traded with real money.
Hypothetical growth of $10,000
O18 Signal Change Rotation Orders · +54.5% 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.
Trade SPY, QQQ and IWM on daily bars. Buy an ETF when it moves from flat to long on its 20-day SMA crossing above its 50-day SMA, using 18% of equity, and sell it when the 20-day SMA crosses back below. 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
- 0.25
- Alpha vs SPY
- −2.6% a year
- Costs paid
- $1,640, 3% 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
Same entry, exit and sizing as O01; the published results differ by a few tenths of a percent.
Sources