The rules
Each month-end, buy the three sector ETFs with the best 12-month return and short the three with the worst.
- Universe
- XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV and XLY
- Bars
- daily
- Position size
- +50% split across longs, -50% across shorts
- Rebalance
- month-end
Results
| Measure | Orbital re-test | Published | SPY, same days |
|---|---|---|---|
| Window | Not re-tested | 2000-2025 | — |
| Total return | — | +1.34% | — |
| CAGR | — | +0.05% | — |
| Sharpe | — | −0.24 | — |
| Discounted Sharpe | — | — | — |
| Max drawdown | — | −25.4% | — |
| Win rate | — | 49.4% | — |
| Profit factor | — | 1.00 | — |
| 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: a run can take only one end of its ranking, so it keeps only the long half, the three strongest sectors at the original's one-sixth weight each with the rest of the account in cash, and is no longer market neutral. Orbital never sells a holding for a better one, so each monthly switch sells everything and buys the new three a day later; the 252-day lookback needs a year of history, which Orbital's data first has in January 2017, so the first two months of the ten-year window are in cash.
Rotate among the sector ETFs XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV and XLY on daily bars. On the first trading day of each month, sell every holding, and the next day buy the three ETFs with the highest 252-day return, 16.7% of equity each. Long only; uninvested capital stays in cash. Backtest from March 1, 2017 to October 30, 2026 with $100,000.
Why it was not re-tested
It buys the top three and shorts the bottom three of one ranking. Orbital ranks entries best first and cannot take both ends at once.
Sources