Window: 2006-08-14 .. 2026-08-12 (5027 days) | universe: top-100 as of 2007-06-01 | sectors: 11 GICS | signal: median SMA200 distance per sector | gross returns
| Variant | Ret | Sharpe | MaxDD | PF |
|---|---|---|---|---|
| SPY buy-and-hold | +499.09% | 0.67 | -56.47% | 1.12 |
| all-sector EW | +285.77% | 0.56 | -61.81% | 1.10 |
| top-2 sectors | +366.97% | 0.55 | -68.06% | 1.09 |
| top-3 sectors | +382.44% | 0.59 | -67.48% | 1.09 |
| top-5 sectors | +441.80% | 0.66 | -61.39% | 1.11 |
IS/OOS split at 2016-01-01
| Variant | Segment | Ret | Sharpe | MaxDD | PF | |---|---|---|---|---|---|---| | top-3 | IS SPY | +60.39% | 0.41 | -56.47% | 1.07 | | top-3 | IS top-3sec | +8.40% | 0.19 | -67.48% | 1.03 | | top-3 | OOS SPY | +273.53% | 0.95 | -34.10% | 1.16 | | top-3 | OOS top-3sec | +345.06% | 0.97 | -32.63% | 1.15 |
OOS significance
top-3sec vs SPY: OOS dret +19.25%, bootstrap p=0.351
Per-decade: SPY vs all-sector EW vs top-3 sectors
| Decade | SPY | All-sector | Top-3 |
|---|---|---|---|
| 2006s | +60.4% | +22.6% | +8.4% |
| 2016s | +234.5% | +161.1% | +242.2% |
| 2026s | +11.7% | +20.5% | +30.1% |
Decision memo
Sector rotation within a PIT universe. Tests whether sector-level momentum adds value beyond equal-weight.
- Adopt if: OOS Sharpe improves, p<0.05.
- Otherwise: reject and ledger.