Asset Class Momentum Selects ETFs in different asset classes with the highest momentum and assigns an equal... / CAD v1
run 7548 as portfolio versions hold it (snapshot 81) · started 2026-09-27 08:57:59 · finished 2026-09-27 08:57:59 · peak 29 MB · the strategy now
held in portfolio versions: Retired couple, 68 v32 (withdrawal, primary, LIF 5.40%, Non-registered 7.90%, RRSP 13.72%, Spousal RRSP 9.98%, TFSA 4.57%, TFSA2 4.57%) · Retired, 66 v31 (withdrawal, primary, LIF 6.93%, Non-registered 4.24%, RRSP 19.26%, TFSA 7.32%) · Mid-life couple, 55 v30 (cagr_dd, primary, Non-registered 15.41%, RRSP 25.69%, Spousal RRSP 14.13%, TFSA 12.20%, TFSA2 12.20%) · Mid-life saver, 45 v29 (cagr_dd, primary, Non-registered 9.37%, RRSP 43.11%, TFSA 23.24%) · Mid-life couple, 55 v26 (withdrawal, primary, Non-registered 7.98%, RRSP 13.30%, Spousal RRSP 7.32%, TFSA 6.32%, TFSA2 6.32%) · Mid-life saver, 45 v25 (withdrawal, primary, Non-registered 4.35%, RRSP 20.03%, TFSA 10.80%) · Mid-life couple, 55 v24 (withdrawal, primary, Non-registered 7.98%, RRSP 13.30%, Spousal RRSP 7.32%, TFSA 6.32%, TFSA2 6.32%) · Mid-life saver, 45 v23 (withdrawal, primary, Non-registered 4.35%, RRSP 20.03%, TFSA 10.80%)
How it invests (strategy version 1)
It trades only XIU, XUS, XEF, XEM, XBB, XLB, XRE and CGL.
At the end of every month, it ranks the names by their return over the past 12 months (252 trading days), and holds the 3 ranked highest in equal amounts.
Trades are placed on the day after the signal, at that day's close, with commissions charged.
Source: https://www.quantconnect.com/docs/v2/writing-algorithms/strategy-library · rules: --roster universe --names 'USD=SPY,EFA,EEM,IEF,TLT,VNQ,GLD,DBC;CAD=XIU,XUS,XEF,XEM,XBB,XLB,XRE,CGL' --select ret:252 --hold 3 --every M
Key metrics
Quality
B evidence supports an edge: 16.5 years out of sample, alpha +4.8% (t 2.3)
Hypothetical: a backtest of a published rule. The results include commissions and leave out the spread, market impact and taxes; that overstates them. Rated before 2026-10-02: against the index alone, with no Outlook, Risk, Protection or Fit yet.
| Evidence: is there an edge beyond what index funds and cash give, since the rule was published? | ||
|---|---|---|
| rule fidelity | A | the rule as stated (the rule as stated) |
| published | 2010-04-08 | |
| out of sample from | 2010-04-08 | 16.5 years |
| alpha before | 5.9% | a year against the sleeve's index fund, t 3.3 |
| alpha after (out of sample) | 4.8% | t 2.3 |
| alpha after 2021-08-14 | 3.2% | the fixed 15 + 5 year check, t 0.9 |
| beta | 0.39 | against the sleeve's index fund, whole run |
| deflated Sharpe | 0.19 | chance the Sharpe (0.97) beats the luck of 620 independent tries |
| decades with positive alpha | 3 of 3 | 2003-09, 2010-19, 2020- |
| fees a year | 0.6% | share of the starting capital |
Equity
Fills — 780
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| Day ▲ | Ticker | Quantity | Price | Fee |
|---|---|---|---|---|
| 2015-02-02 | XRE | 93,449 | 10.0763 | 934.49 |
| 2015-02-02 | XRE | 93,449 | 10.0763 | 934.49 |
| 2015-03-02 | XEM | 41,512 | 22.9111 | 415.12 |
| 2015-03-02 | XEM | 41,512 | 22.9111 | 415.12 |
| 2015-03-02 | XLB | 1,523 | 16.6492 | 15.23 |
| 2015-03-02 | XLB | 1,523 | 16.6492 | 15.23 |
| 2015-03-02 | XRE | -93,449 | 10.0992 | 934.49 |
| 2015-03-02 | XRE | -93,449 | 10.0992 | 934.49 |
| 2015-03-02 | XUS | -2,583 | 14.0157 | 25.83 |
| 2015-03-02 | XUS | -2,583 | 14.0157 | 25.83 |
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Log
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