The rules
SMA(50/200) trend basket, scaled so the portfolio targets 10% annualized volatility (63-day estimate, up to 1.5x leverage).
- Universe
- SPY, EFA, EEM, TLT, IEF, GLD, DBC and VNQ
- Bars
- daily
- Position size
- Equal weight max 34%, scaled to 10% vol
- Rebalance
- month-end
Results
| Measure | Orbital re-test | Published | SPY, same days |
|---|---|---|---|
| Window | Not re-tested | 2007-2025 | — |
| Total return | — | +169.00% | — |
| CAGR | — | +5.35% | — |
| Sharpe | — | 0.36 | — |
| Discounted Sharpe | — | — | — |
| Max drawdown | — | −28.9% | — |
| Win rate | — | 63.8% | — |
| Profit factor | — | 1.93 | — |
| 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: each ETF in an uptrend is sized by its own 63-day volatility, 12% of equity at 10% volatility and at most 1.5 times that, instead of scaling the whole portfolio to 10% volatility, because Orbital sizes a position from that symbol's data alone; that ignores how the ETFs offset each other, so it usually holds less than half of what the original holds. Positions keep their entry size, so each month it sells everything and buys back the next day.
Trade SPY, EFA, EEM, TLT, IEF, GLD, DBC and VNQ on daily bars. On the first trading day of each month, sell every holding, and the next day buy every ETF whose 50-day SMA is above its 200-day SMA. Size each purchase by its annualized volatility, the standard deviation of its last 63 daily returns times the square root of 252: 12% of equity for an ETF at 10% volatility, scaled inversely (6% at 20%), between 1% and 18% of equity. Long only, on a margin account so the total can pass 100%; uninvested capital stays in cash. Backtest from November 21, 2016 to October 30, 2026 with $100,000.
Why it was not re-tested
It scales the whole portfolio to a volatility target with up to 1.5x leverage. Orbital sizes each position once, at entry, from that symbol's own data.
Sources