The rules
Hold each sector ETF while its 50-day SMA is above its 200-day SMA.
- Universe
- XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV and XLY
- Bars
- daily
- Position size
- Equal weight across holders, max 25% each
- On Orbital
- 11% of equity per ETF
- Rebalance
- daily
Results
| Measure | Orbital re-test | Published | SPY, same days |
|---|---|---|---|
| Window | Nov 21, 2016 to Oct 30, 2026 | 2000-2025 | Nov 21, 2016 to Oct 30, 2026 |
| Total return | +89.03% | +536.96% | +302.23% |
| CAGR | +6.62% | +7.38% | +15.03% |
| Sharpe | 0.24 | 0.45 | 0.63 |
| Discounted Sharpe | −0.76 | — | — |
| Max drawdown | −28.6% | −34.7% | −33.7% |
| Win rate | 54.4% | 72.6% | — |
| Profit factor | 2.36 | 2.48 | — |
| Trades | 68 | — | — |
Hypothetical: a backtest with modeled costs, not traded with real money.
Hypothetical growth of $10,000
W01 Daily SMA Trend · +89.0% vs SPY +302.2%
$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 the sector ETFs XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV and XLY on daily bars. Buy an ETF with 11% of equity when its 50-day SMA is above its 200-day SMA, and sell it when the 50-day falls below the 200-day. Long only; uninvested capital stays in cash. Backtest from November 21, 2016 to October 30, 2026 with $100,000.
Is it real?
- Strategies tested together
- 22
- Beta to SPY
- 0.57
- Alpha vs SPY
- −3.7% a year
- Costs paid
- $1,061, 1% of the gain before costs
- Data
- Daily bars, 2,499 sessions
- Fills
- Next open at market, sized at the fill
Read this before you trust it
Orbital sizes a position once, at entry, and never rebalances. Each ETF gets a fixed 11% of equity, about one ninth, instead of an equal share of the current holders capped at 25%.
Sources