The rules
Always hold all eight ETFs, weighted by the inverse of their 63-day volatility.
- Universe
- SPY, EFA, EEM, TLT, IEF, GLD, DBC and VNQ
- Bars
- daily
- Position size
- Inverse-vol weights, max 35% each
- Rebalance
- month-end
Results
| Measure | Orbital re-test | Published | SPY, same days |
|---|---|---|---|
| Window | Not re-tested | 2007-2025 | — |
| Total return | — | +174.15% | — |
| CAGR | — | +5.45% | — |
| Sharpe | — | 0.45 | — |
| Discounted Sharpe | — | — | — |
| Max drawdown | — | −20.4% | — |
| Win rate | — | 73.2% | — |
| Profit factor | — | 3.59 | — |
| Trades | — | — | — |
Rebuild it in Orbital
Paste this into Orbital Chat. The Strategy Developer builds the workflow and asks before it runs any backtest.
Closest Orbital version: Orbital sizes each ETF from its own volatility and cannot rescale the eight weights to add up to 100%, so this version is about two-thirds invested in a typical month, holds more cash as volatility rises and passes 100% on margin only in the calmest months. Each monthly rebalance sells everything and buys all eight back the next day.
Trade 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 all eight. Size each purchase by its annualized volatility, the standard deviation of its last 63 daily returns times the square root of 252: 10% of equity for an ETF at 10% volatility, scaled inversely (20% at 5%), between 1% and 35% of equity. Long only, on a margin account so the total can pass 100% in the calmest months; uninvested capital stays in cash. Backtest the last 10 years with $100,000.
Why it was not re-tested
Its weights depend on every ETF's volatility at once. Orbital sizes each position from that ETF's own data, so it cannot normalise weights across the basket.
Sources