The rules
If SPY closes above its 200-day SMA, hold SPY, EFA, EEM, DBC and VNQ; otherwise hold TLT, IEF and GLD. Trade only when the regime flips.
- Universe
- SPY, EFA, EEM, TLT, IEF, GLD, DBC and VNQ
- Bars
- daily
- Position size
- Equal weight within the active group
- Rebalance
- on regime change
Results
| Measure | Orbital re-test | Published | SPY, same days |
|---|---|---|---|
| Window | Not re-tested | 2007-2025 | — |
| Total return | — | +132.21% | — |
| CAGR | — | +4.54% | — |
| Sharpe | — | 0.26 | — |
| Discounted Sharpe | — | — | — |
| Max drawdown | — | −24.6% | — |
| Win rate | — | 41.1% | — |
| Profit factor | — | 1.64 | — |
| 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 decides each ETF on its own bars, so each one follows its own 200-day SMA instead of SPY's, at a fixed 12% of equity. Without the switch between the risk-on and defensive groups, this is a per-ETF trend filter rather than a regime rotation.
Trade SPY, EFA, EEM, TLT, IEF, GLD, DBC and VNQ on daily bars. Buy an ETF with 12% of equity when it closes above its own 200-day SMA, and sell it when it closes below its 200-day SMA. Long only; uninvested capital stays in cash. Backtest from November 21, 2016 to October 30, 2026 with $100,000.
Why it was not re-tested
Its signal is SPY's trend, applied to other ETFs. An Orbital strategy decides each symbol on that symbol's own bars.
Sources