The rules
SMA(50/200) trend on the multi-asset basket, rebalanced monthly; if the account falls 15% from its peak, go to cash for 10 days.
- Universe
- SPY, EFA, EEM, TLT, IEF, GLD, DBC and VNQ
- Bars
- daily
- Position size
- Equal weight across holders, max 30% each
- Rebalance
- month-end + drawdown breaker
Results
| Measure | Orbital re-test | Published | SPY, same days |
|---|---|---|---|
| Window | Not re-tested | 2007-2025 | — |
| Total return | — | +14.19% | — |
| CAGR | — | +0.70% | — |
| Sharpe | — | −0.45 | — |
| Discounted Sharpe | — | — | — |
| Max drawdown | — | −10.6% | — |
| Win rate | — | 53.3% | — |
| Profit factor | — | 1.11 | — |
| 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 cannot see the account's drawdown, so the 15% circuit breaker and its 10-day pause apply to each ETF from its own highest close since purchase. Each holding is a fixed 12% of equity instead of an equal share of the holders capped at 30%, and keeps that size until it is sold, with no monthly rebalance.
Trade SPY, EFA, EEM, TLT, IEF, GLD, DBC and VNQ on daily bars. On the first trading day of each month, sell any holding whose 50-day SMA is below its 200-day SMA, and buy any ETF not held whose 50-day SMA is above its 200-day, with 12% of equity. On any day, if a holding closes more than 15% below its highest close since it was bought, sell it, and do not buy it again for 10 trading days. 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 circuit breaker reads the account's drawdown, which an Orbital strategy cannot see.
Sources