The rules
Hold each sector ETF while its MACD (12, 26) is above its 9-day signal line.
- Universe
- XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV and XLY
- Bars
- daily
- Position size
- Equal weight across holders, max 25% each
- On Orbital
- 11% of equity per ETF
- Rebalance
- daily
Results
| Measure | Orbital re-test | Published | SPY, same days |
|---|---|---|---|
| Window | Nov 21, 2016 to Oct 30, 2026 | 2000-2025 | Nov 21, 2016 to Oct 30, 2026 |
| Total return | +111.56% | +186.27% | +302.23% |
| CAGR | +7.83% | +4.13% | +15.03% |
| Sharpe | 0.42 | 0.22 | 0.63 |
| Discounted Sharpe | −0.58 | — | — |
| Max drawdown | −11.3% | −35.6% | −33.7% |
| Win rate | 43.7% | 63.5% | — |
| Profit factor | 1.56 | 1.24 | — |
| Trades | 887 | — | — |
Hypothetical: a backtest with modeled costs, not traded with real money.
Hypothetical growth of $10,000
W22 MACD Trend · +111.6% vs SPY +302.2%
$10k$20k$40k20172019202120232025SPY
Rebuild it in Orbital
Paste this into Orbital Chat. The Strategy Developer builds the workflow and asks before it runs any backtest.
Trade the sector ETFs XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV and XLY on daily bars. Hold an ETF with 11% of equity while its MACD line (12-day EMA minus 26-day EMA) is above its 9-day signal line. Long only; uninvested capital stays in cash. Backtest the last 10 years with $100,000.
Is it real?
- Strategies tested together
- 22
- Beta to SPY
- 0.30
- Alpha vs SPY
- +0.3% a year
- Costs paid
- $15,194, 12% of the gain before costs
- Data
- Daily bars, 2,499 sessions
- Fills
- Next open at market, sized at the fill
Read this before you trust it
Each ETF gets a fixed 11% of equity, about one ninth, instead of an equal share of the current holders capped at 25%. No rebalancing between trades.
Sources