The rules
Each Friday, buy the three sector ETFs with the worst 1-month return and short the three with the best.
- Universe
- XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV and XLY
- Bars
- daily
- Position size
- +50% split across longs, -50% across shorts
- Rebalance
- weekly (Friday)
Results
| Measure | Orbital re-test | Published | SPY, same days |
|---|---|---|---|
| Window | Not re-tested | 2000-2025 | — |
| Total return | — | −1.69% | — |
| CAGR | — | −0.07% | — |
| Sharpe | — | −0.24 | — |
| Discounted Sharpe | — | — | — |
| Max drawdown | — | −33.7% | — |
| Win rate | — | 47.5% | — |
| 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 weakest sectors of the past month 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 week it sells everything after Friday's close and buys the new three a day later, ranked on the next trading day's close rather than Friday's.
Rotate among the sector ETFs XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV and XLY on daily bars. Every Friday, sell every holding, and on the next trading day buy the three ETFs with the lowest 21-day return, 16.7% 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 buys the bottom three and shorts the top three of one ranking. Orbital ranks entries best first and cannot take both ends at once.
Sources