The rules
Hold all eight ETFs with weights set so each contributes equal risk, from a 63-day covariance estimate.
- Universe
- SPY, EFA, EEM, TLT, IEF, GLD, DBC and VNQ
- Bars
- daily
- Position size
- Equal risk contribution
- Rebalance
- month-end
Results
| Measure | Orbital re-test | Published | SPY, same days |
|---|---|---|---|
| Window | Not re-tested | 2007-2025 | — |
| Total return | — | +84.50% | — |
| CAGR | — | +3.28% | — |
| Sharpe | — | 0.16 | — |
| Discounted Sharpe | — | — | — |
| Max drawdown | — | −35.6% | — |
| Win rate | — | 60.9% | — |
| Profit factor | — | 1.34 | — |
| 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 is weighted by the inverse of its own 63-day volatility, not by equal risk contribution, which needs all eight ETFs' covariance in one decision, so on Orbital it is W05's rule at one and a half times the size, capped at 50% instead of 35%. The weights are not scaled to add up to 100%, so the account is about fully invested in an ordinary market, above 100% on margin in a calm one and below it in a rough one, and since positions keep their entry size, 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 all eight ETFs. Size each purchase by its annualized volatility, the standard deviation of its last 63 daily returns times the square root of 252: 15% of equity for an ETF at 10% volatility, scaled inversely (7.5% at 20%, 30% at 5%), between 1% and 50% of equity. Long only, on a margin account so the total can pass 100%; uninvested capital stays in cash. Backtest the last 10 years with $100,000.
Why it was not re-tested
Equal risk contribution needs the covariance of all eight ETFs at once. Orbital sizes each position from that symbol's own data.
Sources