The rules
Equal-risk-contribution weights across the sector ETFs from a 126-day covariance, capped at 25% each.
- Universe
- XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV and XLY
- Bars
- daily
- Position size
- Equal risk contribution, max 25% each
- Rebalance
- month-end
Results
| Measure | Orbital re-test | Published | SPY, same days |
|---|---|---|---|
| Window | Not re-tested | 2000-2025 | — |
| Total return | — | +677.16% | — |
| CAGR | — | +8.21% | — |
| Sharpe | — | 0.45 | — |
| Discounted Sharpe | — | — | — |
| Max drawdown | — | −47.9% | — |
| Win rate | — | 82.0% | — |
| Profit factor | — | 11.14 | — |
| 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 sector is weighted by the inverse of its own 126-day volatility, capped at 25%, not by equal risk contribution, which needs all nine sectors' covariance in one decision; 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. Positions keep their entry size, so each month it sells everything and buys back the next day.
Trade 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 all nine ETFs. Size each purchase by its annualized volatility, the standard deviation of its last 126 daily returns times the square root of 252: 18% of equity for an ETF at 10% volatility, scaled inversely (9% at 20%), between 1% and 25% 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 nine ETFs at once. Orbital sizes each position from that symbol's own data.
Sources