The rules
Hold each ETF while its 50-day SMA is above its 200-day SMA; rebalance at month-end or when a weight drifts 5% from target.
- Universe
- SPY, EFA, EEM, TLT, IEF, GLD, DBC and VNQ
- Bars
- daily
- Position size
- Equal weight across holders, max 30% each
- On Orbital
- 12% of equity per ETF
- Rebalance
- month-end + 5% drift band
Results
| Measure | Orbital re-test | Published | SPY, same days |
|---|---|---|---|
| Window | Nov 21, 2016 to Oct 30, 2026 | 2007-2025 | Nov 21, 2016 to Oct 30, 2026 |
| Total return | +66.06% | +137.66% | +302.23% |
| CAGR | +5.24% | +4.66% | +15.03% |
| Sharpe | 0.15 | 0.31 | 0.63 |
| Discounted Sharpe | −0.84 | — | — |
| Max drawdown | −16.9% | −19.4% | −33.7% |
| Win rate | 44.8% | 63.5% | — |
| Profit factor | 2.02 | 1.73 | — |
| Trades | 58 | — | — |
Hypothetical: a backtest with modeled costs, not traded with real money.
Hypothetical growth of $10,000
W02 Monthly Drift ETF · +66.1% 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 SPY, EFA, EEM, TLT, IEF, GLD, DBC and VNQ on daily bars. Buy an ETF with 12% 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
- 0.24
- Alpha vs SPY
- −1.6% a year
- Costs paid
- $866, 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
Each ETF gets a fixed 12% of equity, about one eighth, instead of an equal share of the holders capped at 30%. There is no month-end rebalance or 5% drift band.
Sources