Sector rotation with dual momentum / CAD v1

run 8895 as portfolio versions hold it (snapshot 82) · started 2026-09-27 19:09:38 · finished 2026-09-27 19:09:39 · peak 30 MB · the strategy now

held in portfolio versions: Retired couple, 68 v32 (withdrawal, primary, LIF 5.44%, Non-registered 7.95%, RRSP 13.81%, Spousal RRSP 10.05%, TFSA 4.60%, TFSA2 4.60%) · Retired, 66 v31 (withdrawal, primary, LIF 9.46%, Non-registered 5.78%, RRSP 26.27%, TFSA 9.98%) · Mid-life couple, 55 v26 (withdrawal, primary, Non-registered 6.31%, RRSP 10.51%, Spousal RRSP 5.78%, TFSA 4.99%, TFSA2 4.99%) · Mid-life saver, 45 v25 (withdrawal, primary, Non-registered 3.90%, RRSP 17.95%, TFSA 9.68%) · Mid-life couple, 55 v24 (withdrawal, primary, Non-registered 6.31%, RRSP 10.51%, Spousal RRSP 5.78%, TFSA 4.99%, TFSA2 4.99%) · Mid-life saver, 45 v23 (withdrawal, primary, Non-registered 3.90%, RRSP 17.95%, TFSA 9.68%)

How it invests (strategy version 1)

It trades only XEG, XFN, XIT, XMA, XRE and XUT.

At the end of every month, it ranks the names by their return over the past 12 months (252 trading days), keeping only those where its return over the past 12 months (252 trading days) is positive, and holds the 3 ranked highest in equal amounts.

Money not placed in a qualifying name goes into XSB (a safe asset) instead of cash.

Trades are placed on the day after the signal, at that day's close, with commissions charged.

Note on the rule: relative + absolute momentum over sector funds

Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3247865 · rules: --roster universe --names 'USD=XLB,XLE,XLF,XLI,XLK,XLP,XLU,XLV,XLY;CAD=XEG,XFN,XIT,XMA,XRE,XUT' --select ret:252 --min 0 --hold 3 --safe 'USD=SHY;CAD=XSB' --every M

Key metrics

CAGR

12.83%

2003-01-02 → 2026-09-25 (23.7 years)

Sortino

1.220

daily, target 0

Max drawdown

36.90%

2020-02-20 → 2020-03-23, recovered 2020-12-17

Total return

1655.51%

900,000 → 15,799,555 undefined

Sharpe

0.889

risk-free 0

Volatility

14.84%

annualized, daily returns

Calmar

0.348

CAGR / max drawdown

Longest under water

1,777 days

2008-06-18 → 2013-04-30

Best year

43.58%

2025

Worst year

-18.83%

2008

Positive months

67.02%

of 285

Fills

764

fees 221,735 undefined

Quality

B evidence supports an edge: 8.1 years out of sample, alpha +6.5% (t 1.8)

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	2018-08-17
out of sample from	2018-08-17	8.1 years
alpha before	5.6%	a year against the sleeve's index fund, t 2.1
alpha after (out of sample)	6.5%	t 1.8
alpha after 2021-08-14	6.3%	the fixed 15 + 5 year check, t 1.5
beta	0.62	against the sleeve's index fund, whole run
deflated Sharpe	0.10	chance the Sharpe (0.89) beats the luck of 620 independent tries
decades with positive alpha	3 of 3	2003-09, 2010-19, 2020-
fees a year	1.0%	share of the starting capital

Equity

2003-01-02 900,000 → 2026-09-25 15,799,555 · log scale · 5960 days · hover or use the arrow keys for values

Drawdown: the fall below the highest value reached so far. Worst 36.90% below its peak, from 2020-02-20 to 2020-03-23, back to that peak 2020-12-17 (301 days from the peak) · 2.84% below its peak on the last day

Fills — 764

Day ▲	Ticker	Quantity	Price	Fee
2003-02-03	XEG	70,037	4.2694	700.37
2003-02-03	XEG	70,037	4.2694	700.37
2003-02-03	XSB	45,349	13.1807	453.49
2003-02-03	XSB	45,349	13.1807	453.49
2003-03-03	XEG	-692	4.3703	6.92
2003-03-03	XEG	-692	4.3703	6.92
2003-03-03	XSB	212	13.3032	2.12
2003-03-03	XSB	212	13.3032	2.12
2003-04-01	XEG	-69,345	4.2079	693.45
2003-04-01	XEG	-69,345	4.2079	693.45

Log

(no log)