The rules
Hold the top three ETFs by 126-day return, rebalanced quarterly, earlier if tracking error versus SPY exceeds 6%, within an annual turnover budget of 4x.
- Universe
- SPY, EFA, EEM, TLT, IEF, GLD, DBC and VNQ
- Bars
- daily
- Position size
- Equal weight, max 40% each
- Rebalance
- quarter-end + tracking-error trigger
Results
| Measure | Orbital re-test | Published | SPY, same days |
|---|---|---|---|
| Window | Not re-tested | 2007-2025 | — |
| Total return | — | +266.04% | — |
| CAGR | — | +7.07% | — |
| Sharpe | — | 0.44 | — |
| Discounted Sharpe | — | — | — |
| Max drawdown | — | −25.5% | — |
| Win rate | — | 66.4% | — |
| Profit factor | — | 2.67 | — |
| 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: the quarterly top-three rotation without its early rebalance on a 6% tracking error against SPY or its 4x turnover budget, which need the whole portfolio and SPY in one decision. Each quarter it sells everything and buys the new top three the next day, 33% each, which makes it O17's rule run quarterly instead of monthly.
Rotate among SPY, EFA, EEM, TLT, IEF, GLD, DBC and VNQ on daily bars. On the first trading day of each quarter, sell every holding, and the next day buy the three ETFs with the highest 126-day return, 33% of equity each. Long only; uninvested capital stays in cash. Backtest the last 10 years with $100,000.
Why it was not re-tested
It rebalances on tracking error against SPY within a turnover budget, which needs the whole portfolio and SPY in one decision.
Sources