BACKTEST · ROTATION
Defensive sector rotation
Monthly: SPY above 200 day average holds SPY; below it, hold XLP, XLU and XLV equally.
From 2015-01-02 to 2024-12-31, this rule made 41 trades and returned +139.6%. Buying and holding SPY returned +185.3% over the same dates. The largest drop from a past high was 34.1%.
Loading trades...
SCORE
Portfolio equity vs benchmark
The rule
Monthly: SPY above 200 day average holds SPY; below it, hold XLP, XLU and XLV equally. Orders fill at the next close.
ENTER WHEN
Monthly: SPY above its 200 day average holds SPY
EXIT WHEN
Below it, hold XLP, XLU and XLV
FIRST TRADE, FROM THE REPORT
Loading the first trade...
Did it beat SPY?
Loading statistics...
How it did over time
Strategy in orange-red. SPY buy and hold in light.
Loading equity...
The same result in an AI chat
This is how the result looks when an AI agent such as Claude or ChatGPT runs it. It uses the same engine report.
Strategy equity in orange-red, SPY in light. Historical test only.
Every trade
41 trades and 111 fills, straight from the engine report. Each fill shows the day the signal fired, the day it filled, and why. This run used 0 bps fees and 0 bps slippage on each fill, except when a modeled option expires. A basis point (bps) is one hundredth of one percent.
| Signal date | Fill date | Ticker | Side | Price | Reason |
|---|---|---|---|---|---|
| 2015-11-02 | 2015-11-03 | SPY | Buy | $211.00 | allocation |
| 2016-01-04 | 2016-01-05 | SPY | Sell | $201.36 | allocation |
| 2016-01-04 | 2016-01-05 | XLP | Buy | $50.17 | allocation |
| 2016-01-04 | 2016-01-05 | XLU | Buy | $43.50 | allocation |
| 2016-01-04 | 2016-01-05 | XLV | Buy | $71.07 | allocation |
| 2016-02-01 | 2016-02-02 | XLP | Sell | $50.28 | allocation |
| 2016-02-01 | 2016-02-02 | XLU | Sell | $46.05 | allocation |
| 2016-02-01 | 2016-02-02 | XLV | Buy | $65.61 | allocation |
| 2016-03-01 | 2016-03-02 | XLP | Sell | $51.56 | allocation |
| 2016-03-01 | 2016-03-02 | XLV | Sell | $67.76 | allocation |
| 2016-03-01 | 2016-03-02 | XLU | Buy | $46.31 | allocation |
| 2016-04-01 | 2016-04-04 | XLP | Sell | $53.64 | allocation |
| 2016-04-01 | 2016-04-04 | XLU | Sell | $49.60 | allocation |
| 2016-04-01 | 2016-04-04 | XLV | Sell | $69.37 | allocation |
| 2016-04-01 | 2016-04-04 | SPY | Buy | $206.25 | allocation |
| 2018-04-02 | 2018-04-03 | SPY | Sell | $260.77 | allocation |
| 2018-04-02 | 2018-04-03 | XLP | Buy | $52.02 | allocation |
| 2018-04-02 | 2018-04-03 | XLU | Buy | $50.31 | allocation |
| 2018-04-02 | 2018-04-03 | XLV | Buy | $80.76 | allocation |
| 2018-05-01 | 2018-05-02 | XLP | Sell | $49.03 | allocation |
| 2018-05-01 | 2018-05-02 | XLU | Sell | $51.35 | allocation |
| 2018-05-01 | 2018-05-02 | XLV | Sell | $81.09 | allocation |
| 2018-05-01 | 2018-05-02 | SPY | Buy | $263.20 | allocation |
| 2018-11-01 | 2018-11-02 | SPY | Sell | $271.89 | allocation |
| 2018-11-01 | 2018-11-02 | XLP | Buy | $55.11 | allocation |
| 2018-11-01 | 2018-11-02 | XLU | Buy | $53.15 | allocation |
| 2018-11-01 | 2018-11-02 | XLV | Buy | $89.26 | allocation |
| 2018-12-03 | 2018-12-04 | XLP | Sell | $55.36 | allocation |
| 2018-12-03 | 2018-12-04 | XLU | Sell | $56.19 | allocation |
| 2018-12-03 | 2018-12-04 | XLV | Sell | $93.28 | allocation |
| 2018-12-03 | 2018-12-04 | SPY | Buy | $270.25 | allocation |
| 2019-01-02 | 2019-01-03 | SPY | Sell | $244.21 | allocation |
| 2019-01-02 | 2019-01-03 | XLP | Buy | $50.19 | allocation |
| 2019-01-02 | 2019-01-03 | XLU | Buy | $52.00 | allocation |
| 2019-01-02 | 2019-01-03 | XLV | Buy | $83.47 | allocation |
| 2019-02-01 | 2019-02-04 | XLV | Sell | $90.49 | allocation |
| 2019-02-01 | 2019-02-04 | XLP | Buy | $53.56 | allocation |
| 2019-02-01 | 2019-02-04 | XLU | Buy | $54.64 | allocation |
| 2019-03-01 | 2019-03-04 | XLP | Sell | $54.15 | allocation |
| 2019-03-01 | 2019-03-04 | XLU | Sell | $57.23 | allocation |
Show all 111 fills
| Signal date | Fill date | Ticker | Side | Price | Reason |
|---|---|---|---|---|---|
| 2019-03-01 | 2019-03-04 | XLV | Sell | $91.69 | allocation |
| 2019-03-01 | 2019-03-04 | SPY | Buy | $279.40 | allocation |
| 2019-06-03 | 2019-06-04 | SPY | Sell | $280.53 | allocation |
| 2019-06-03 | 2019-06-04 | XLP | Buy | $56.82 | allocation |
| 2019-06-03 | 2019-06-04 | XLU | Buy | $58.88 | allocation |
| 2019-06-03 | 2019-06-04 | XLV | Buy | $88.94 | allocation |
| 2019-07-01 | 2019-07-02 | XLP | Sell | $58.93 | allocation |
| 2019-07-01 | 2019-07-02 | XLU | Sell | $60.29 | allocation |
| 2019-07-01 | 2019-07-02 | XLV | Sell | $93.60 | allocation |
| 2019-07-01 | 2019-07-02 | SPY | Buy | $296.43 | allocation |
| 2020-04-01 | 2020-04-02 | SPY | Sell | $251.83 | allocation |
| 2020-04-01 | 2020-04-02 | XLP | Buy | $54.92 | allocation |
| 2020-04-01 | 2020-04-02 | XLU | Buy | $53.71 | allocation |
| 2020-04-01 | 2020-04-02 | XLV | Buy | $87.57 | allocation |
| 2020-05-01 | 2020-05-04 | XLV | Sell | $97.78 | allocation |
| 2020-05-01 | 2020-05-04 | XLP | Buy | $57.59 | allocation |
| 2020-05-01 | 2020-05-04 | XLU | Buy | $56.30 | allocation |
| 2020-06-01 | 2020-06-02 | XLP | Sell | $59.80 | allocation |
| 2020-06-01 | 2020-06-02 | XLU | Sell | $60.79 | allocation |
| 2020-06-01 | 2020-06-02 | XLV | Sell | $102.58 | allocation |
| 2020-06-01 | 2020-06-02 | SPY | Buy | $308.08 | allocation |
| 2022-03-01 | 2022-03-02 | SPY | Sell | $437.89 | allocation |
| 2022-03-01 | 2022-03-02 | XLP | Buy | $75.25 | allocation |
| 2022-03-01 | 2022-03-02 | XLU | Buy | $68.16 | allocation |
| 2022-03-01 | 2022-03-02 | XLV | Buy | $131.19 | allocation |
| 2022-04-01 | 2022-04-04 | XLP | Sell | $76.41 | allocation |
| 2022-04-01 | 2022-04-04 | XLU | Sell | $74.92 | allocation |
| 2022-04-01 | 2022-04-04 | XLV | Sell | $136.92 | allocation |
| 2022-04-01 | 2022-04-04 | SPY | Buy | $456.80 | allocation |
| 2022-05-02 | 2022-05-03 | SPY | Sell | $416.38 | allocation |
| 2022-05-02 | 2022-05-03 | XLP | Buy | $76.40 | allocation |
| 2022-05-02 | 2022-05-03 | XLU | Buy | $70.80 | allocation |
| 2022-05-02 | 2022-05-03 | XLV | Buy | $129.89 | allocation |
| 2022-06-01 | 2022-06-02 | XLU | Sell | $74.71 | allocation |
| 2022-06-01 | 2022-06-02 | XLP | Buy | $74.57 | allocation |
| 2022-06-01 | 2022-06-02 | XLV | Buy | $131.36 | allocation |
| 2022-07-01 | 2022-07-05 | XLP | Sell | $72.75 | allocation |
| 2022-07-01 | 2022-07-05 | XLV | Sell | $128.93 | allocation |
| 2022-07-01 | 2022-07-05 | XLU | Buy | $69.40 | allocation |
| 2022-08-01 | 2022-08-02 | XLU | Sell | $73.88 | allocation |
| 2022-08-01 | 2022-08-02 | XLP | Buy | $74.82 | allocation |
| 2022-08-01 | 2022-08-02 | XLV | Buy | $130.95 | allocation |
| 2022-09-01 | 2022-09-02 | XLU | Sell | $74.60 | allocation |
| 2022-09-01 | 2022-09-02 | XLP | Buy | $72.56 | allocation |
| 2022-09-01 | 2022-09-02 | XLV | Buy | $124.99 | allocation |
| 2022-10-03 | 2022-10-04 | XLV | Sell | $126.47 | allocation |
| 2022-10-03 | 2022-10-04 | XLP | Buy | $68.91 | allocation |
| 2022-10-03 | 2022-10-04 | XLU | Buy | $68.86 | allocation |
| 2022-11-01 | 2022-11-02 | XLP | Sell | $71.25 | allocation |
| 2022-11-01 | 2022-11-02 | XLV | Sell | $130.57 | allocation |
| 2022-11-01 | 2022-11-02 | XLU | Buy | $66.39 | allocation |
| 2022-12-01 | 2022-12-02 | XLP | Sell | $77.19 | allocation |
| 2022-12-01 | 2022-12-02 | XLU | Sell | $71.03 | allocation |
| 2022-12-01 | 2022-12-02 | XLV | Sell | $139.78 | allocation |
| 2022-12-01 | 2022-12-02 | SPY | Buy | $406.91 | allocation |
| 2023-01-03 | 2023-01-04 | SPY | Sell | $383.76 | allocation |
| 2023-01-03 | 2023-01-04 | XLP | Buy | $74.56 | allocation |
| 2023-01-03 | 2023-01-04 | XLU | Buy | $71.14 | allocation |
| 2023-01-03 | 2023-01-04 | XLV | Buy | $135.82 | allocation |
| 2023-02-01 | 2023-02-02 | XLP | Sell | $73.69 | allocation |
| 2023-02-01 | 2023-02-02 | XLU | Sell | $69.36 | allocation |
| 2023-02-01 | 2023-02-02 | XLV | Sell | $133.08 | allocation |
| 2023-02-01 | 2023-02-02 | SPY | Buy | $416.78 | allocation |
| 2023-11-01 | 2023-11-02 | SPY | Sell | $430.76 | allocation |
| 2023-11-01 | 2023-11-02 | XLP | Buy | $68.67 | allocation |
| 2023-11-01 | 2023-11-02 | XLU | Buy | $61.50 | allocation |
| 2023-11-01 | 2023-11-02 | XLV | Buy | $126.78 | allocation |
| 2023-12-01 | 2023-12-04 | XLP | Sell | $71.04 | allocation |
| 2023-12-01 | 2023-12-04 | XLU | Sell | $63.28 | allocation |
| 2023-12-01 | 2023-12-04 | XLV | Sell | $132.08 | allocation |
| 2023-12-01 | 2023-12-04 | SPY | Buy | $456.69 | allocation |
Want to change this rule?
Ask the chat to try another ticker, other dates, a stop, or different fees. It runs the same engine on real past prices.
Risk warning
Past results do not predict future returns. Not investment advice.