The rules
Searches nine SMA fast/slow pairs for the sector rule; best was SMA(20/200).
- 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: the original's nine SMA pairs, run on this library's version of W01 (a fixed 11% of equity per ETF from November 2016) rather than equal weights rebalanced monthly from 2000 to 2025, so the winner may not be 20/200 again. Keeping all nine in one strategy lets Orbital discount the best Sharpe for every pair tried.
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 fast SMA is above its slow SMA, and sell it when the fast SMA falls below the slow SMA. Long only; uninvested capital stays in cash. Build it as one strategy with the two SMA lengths as settings, then backtest every pair of a 20-, 50- or 80-day fast SMA with a 100-, 150- or 200-day slow SMA from November 21, 2016 to October 30, 2026 with $100,000. That is nine backtests. When all nine have finished, rank them by Sharpe in one table with annual return and maximum drawdown, and give the best pair's Sharpe after allowing for every pair tried.
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