[{"data":1,"prerenderedAt":40},["ShallowReactive",2],{"strategy-w11":3},{"id":4,"name":5,"family":6,"tags":7,"universe":9,"bars":10,"rules":11,"sizing":12,"cadence":13,"original":14,"testable":22,"not_testable_reason":23,"prompt":24,"deviation":25,"source_file":26,"prompt_note":27,"collection":28,"collection_name":29,"bars_label":30,"universe_short":31,"rule_short":11,"links":32,"verdict":39,"result":25,"chart":25},"W11","Quarterly TE Cost Gate","Momentum rotation",[8],"Momentum","SPY, EFA, EEM, TLT, IEF, GLD, DBC and VNQ","daily","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.","Equal weight, max 40% each","quarter-end + tracking-error trigger",{"total_return":15,"cagr":16,"sharpe":17,"max_dd":18,"win_rate":19,"profit_factor":20,"span":21},266.04,7.07,0.44,-25.47,66.4,2.67,"2007-2025",false,"It rebalances on tracking error against SPY within a turnover budget, which needs the whole portfolio and SPY in one decision.","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.",null,"example_weights_11_quarterly_te_cost_gate.py","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.","retest","The viral 50, re-tested","Daily","8 multi-asset ETFs",[33,36],[34,35],"Source code","https://github.com/QuantJourneyOrg/quantjourney-bt/blob/main/strategies/example_weights_11_quarterly_te_cost_gate.py",[37,38],"Original results","https://backtester.quantjourney.cloud/strategies/example-weights-11-quarterly-te-cost-gate","skip",1794261303665]