The rules
Re-checks the SMA(50/200) sector rule (W01) with an expanding training window.
- Universe
- XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV and XLY
- Bars
- daily
- Position size
- -
- Rebalance
- -
Results
| Measure | Orbital re-test | Published | SPY, same days |
|---|---|---|---|
| Window | Not re-tested | — | — |
| Total return | — | — | — |
| CAGR | — | — | — |
| Sharpe | — | — | — |
| Discounted Sharpe | — | — | — |
| Max drawdown | — | — | — |
| Win rate | — | — | — |
| Profit factor | — | — | — |
| 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: this library's version of W01 (a fixed 11% of equity per ETF) on WF01's three two-year test windows, with training windows that start in November 2016 and grow by two years instead of sliding. Each window is its own backtest from cash, six in all where the original's 24-month and 6-month windows would need more than 30, and the three-to-five-week gaps are the original's purge of 5 trading days plus 1% of the training window, which grows with it.
Trade the sector ETFs XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV and XLY on daily bars. Buy an ETF with 11% of equity when its 50-day SMA is above its 200-day SMA, and sell it when the 50-day falls below the 200-day. Long only; uninvested capital stays in cash. Then check it with an expanding walk-forward, keeping the rule the same in every window: three training windows of about four, six and eight years, all starting on 2016-11-21, each ending three to five weeks before the two-year test window that follows it. Backtest each window separately with $100,000: training 2016-11-21 to 2020-10-09 and test 2020-11-02 to 2022-10-28; training 2016-11-21 to 2022-09-30 and test 2022-10-31 to 2024-10-30; training 2016-11-21 to 2024-09-25 and test 2024-10-31 to 2026-10-30. That is six backtests. When all six have finished, compare them in one table with annual return, Sharpe and maximum drawdown, and say whether each test window kept up with its training window and whether the test Sharpe fell from one window to the next.
Why it was not re-tested
A validation workflow around W01's rule rather than a strategy of its own. Orbital covers part of the same ground for every strategy: its Backtesting list discounts the Sharpe for every configuration tried, and each report resamples the trades 1,000 times.
Sources