[{"data":1,"prerenderedAt":41},["ShallowReactive",2],{"strategy-w15":3},{"id":4,"name":5,"family":6,"tags":7,"universe":10,"bars":11,"rules":12,"sizing":13,"cadence":14,"original":15,"testable":23,"not_testable_reason":24,"prompt":25,"deviation":26,"source_file":27,"prompt_note":28,"collection":29,"collection_name":30,"bars_label":31,"universe_short":32,"rule_short":12,"links":33,"verdict":40,"result":26,"chart":26},"W15","Cross Sectional Momentum","Cross-sectional long/short",[8,9],"Momentum","Market neutral","XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV and XLY","daily","Each month-end, buy the three sector ETFs with the best 12-month return and short the three with the worst.","+50% split across longs, -50% across shorts","month-end",{"total_return":16,"cagr":17,"sharpe":18,"max_dd":19,"win_rate":20,"profit_factor":21,"span":22},1.34,0.05,-0.24,-25.38,49.4,1,"2000-2025",false,"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.","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.",null,"example_weights_15_cross_sectional_momentum.py","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.","retest","The viral 50, re-tested","Daily","9 sector ETFs",[34,37],[35,36],"Source code","https://github.com/QuantJourneyOrg/quantjourney-bt/blob/main/strategies/example_weights_15_cross_sectional_momentum.py",[38,39],"Original results","https://backtester.quantjourney.cloud/strategies/example-weights-15-cross-sectional-momentum","skip",1794261303665]