Sectors, gap fill, VIX, multi-asset portfolio.
1. Sector ETF reversal (9 GICS sectors)
Does the dir=-1 reversal work on sector ETFs?
XLK (last-15min target)
Window: 2020-01-03 .. 2025-12-30 (1492 days)
| baseline (always long) | +16.98% | 0.58 | -17.48% | 1.11 | 1477 |
| Signal | Ret | Sharpe | MaxDD | PF | Days |
|---|---|---|---|---|---|
| dir=-1 | +5.45% | 0.27 | -11.89% | 1.07 | 706 |
| dir=-1 AND consec_red>=2 | +1.05% | 0.08 | -7.62% | 1.04 | 320 |
| ret_15<0 | +4.94% | 0.25 | -11.87% | 1.07 | 700 |
| dir=+1 (momentum) | +10.93% | 0.56 | -9.93% | 1.14 | 771 |
XLF (last-15min target)
Window: 2020-01-03 .. 2025-12-30 (1494 days)
| baseline (always long) | -3.91% | -0.14 | -20.48% | 0.98 | 1462 |
| Signal | Ret | Sharpe | MaxDD | PF | Days |
|---|---|---|---|---|---|
| dir=-1 | +4.56% | 0.28 | -10.70% | 1.07 | 695 |
| dir=-1 AND consec_red>=2 | +3.01% | 0.24 | -7.79% | 1.10 | 309 |
| ret_15<0 | +3.18% | 0.20 | -11.05% | 1.05 | 675 |
| dir=+1 (momentum) | -8.10% | -0.49 | -13.63% | 0.89 | 767 |
XLE (last-15min target)
Window: 2020-01-03 .. 2025-12-30 (1493 days)
| baseline (always long) | -3.45% | -0.09 | -24.89% | 0.98 | 1470 |
| Signal | Ret | Sharpe | MaxDD | PF | Days |
|---|---|---|---|---|---|
| dir=-1 | +9.34% | 0.42 | -10.41% | 1.12 | 737 |
| dir=-1 AND consec_red>=2 | +1.35% | 0.09 | -11.40% | 1.04 | 357 |
| ret_15<0 | +9.53% | 0.43 | -10.38% | 1.12 | 723 |
| dir=+1 (momentum) | -11.70% | -0.70 | -19.78% | 0.85 | 733 |
XLV (last-15min target)
Window: 2020-01-03 .. 2025-12-30 (1491 days)
| baseline (always long) | +1.53% | 0.10 | -15.24% | 1.02 | 1469 |
| Signal | Ret | Sharpe | MaxDD | PF | Days |
|---|---|---|---|---|---|
| dir=-1 | +1.49% | 0.12 | -6.89% | 1.03 | 747 |
| dir=-1 AND consec_red>=2 | +5.73% | 0.49 | -3.82% | 1.19 | 383 |
| ret_15<0 | +1.97% | 0.15 | -6.25% | 1.04 | 734 |
| dir=+1 (momentum) | +0.03% | 0.02 | -10.85% | 1.00 | 722 |
XLI (last-15min target)
Window: 2020-01-03 .. 2025-12-30 (1491 days)
| baseline (always long) | -6.71% | -0.30 | -21.22% | 0.95 | 1469 |
| Signal | Ret | Sharpe | MaxDD | PF | Days |
|---|---|---|---|---|---|
| dir=-1 | -4.61% | -0.29 | -11.37% | 0.93 | 723 |
| dir=-1 AND consec_red>=2 | -2.10% | -0.22 | -4.75% | 0.93 | 341 |
| ret_15<0 | -4.89% | -0.31 | -11.59% | 0.93 | 711 |
| dir=+1 (momentum) | -2.20% | -0.13 | -11.83% | 0.97 | 746 |
XLP (last-15min target)
Window: 2020-01-03 .. 2025-12-30 (1491 days)
| baseline (always long) | -3.66% | -0.17 | -17.96% | 0.97 | 1459 |
| Signal | Ret | Sharpe | MaxDD | PF | Days |
|---|---|---|---|---|---|
| dir=-1 | -0.29% | -0.01 | -6.95% | 1.00 | 693 |
| dir=-1 AND consec_red>=2 | -1.01% | -0.12 | -4.38% | 0.96 | 347 |
| ret_15<0 | +0.52% | 0.06 | -6.66% | 1.01 | 678 |
| dir=+1 (momentum) | -3.38% | -0.24 | -12.37% | 0.95 | 766 |
XLY (last-15min target)
Window: 2020-01-03 .. 2025-12-30 (1491 days)
| baseline (always long) | +9.20% | 0.41 | -14.17% | 1.07 | 1473 |
| Signal | Ret | Sharpe | MaxDD | PF | Days |
|---|---|---|---|---|---|
| dir=-1 | +1.44% | 0.11 | -9.13% | 1.02 | 732 |
| dir=-1 AND consec_red>=2 | +1.39% | 0.13 | -4.81% | 1.05 | 346 |
| ret_15<0 | +1.23% | 0.10 | -8.83% | 1.02 | 721 |
| dir=+1 (momentum) | +7.65% | 0.48 | -9.12% | 1.12 | 741 |
XLU (last-15min target)
Window: 2020-01-03 .. 2025-12-30 (1491 days)
| baseline (always long) | -6.09% | -0.25 | -16.86% | 0.96 | 1467 |
| Signal | Ret | Sharpe | MaxDD | PF | Days |
|---|---|---|---|---|---|
| dir=-1 | -10.25% | -0.61 | -16.19% | 0.86 | 751 |
| dir=-1 AND consec_red>=2 | -3.78% | -0.27 | -8.92% | 0.90 | 372 |
| ret_15<0 | -9.47% | -0.56 | -15.55% | 0.87 | 736 |
| dir=+1 (momentum) | +4.63% | 0.34 | -7.75% | 1.08 | 716 |
XLB (last-15min target)
Window: 2020-01-03 .. 2025-12-30 (1491 days)
| baseline (always long) | -7.82% | -0.37 | -19.57% | 0.94 | 1452 |
| Signal | Ret | Sharpe | MaxDD | PF | Days |
|---|---|---|---|---|---|
| dir=-1 | -3.46% | -0.22 | -9.36% | 0.95 | 730 |
| dir=-1 AND consec_red>=2 | +2.74% | 0.26 | -5.08% | 1.09 | 363 |
| ret_15<0 | -3.13% | -0.20 | -9.41% | 0.96 | 720 |
| dir=+1 (momentum) | -4.52% | -0.30 | -11.67% | 0.93 | 722 |
2. Multi-asset portfolio (SPY + QQQ + 9 sectors)
Equal-weight reversal signals across all 11 ETFs.
| Segment | Metric | Ret | Sharpe | MaxDD | PF |
|---|---|---|---|---|---|
| IS | dir=-1 EW portfolio | -2.21% | -0.20 | -9.25% | 0.96 |
| OOS | dir=-1 EW portfolio | +1.73% | 0.56 | -2.02% | 1.12 |
| OOS | always long (baseline) | +4.69% | 1.00 | -3.87% | 1.17 |
OOS bootstrap p(no edge): 0.917
3. Gap fill (SPY)
Does SPY fill overnight gaps (open back to prior close)?
| Gap type | Ret (full day) | Sharpe | MaxDD | PF | Days |
|---|---|---|---|---|---|
| gap down -5% to -1% | +8.10% | 0.31 | -6.66% | 1.34 | 37 |
| gap down -1% to -0.3% | +40.92% | 1.12 | -7.04% | 1.58 | 180 |
| gap down -0.3% to 0% | -18.24% | -0.43 | -25.95% | 0.89 | 422 |
| gap up 0% to +0.3% | +30.35% | 0.57 | -25.38% | 1.15 | 610 |
| gap up +0.3% to +1% | +13.53% | 0.44 | -16.72% | 1.17 | 218 |
| gap up +1% to +5% | +11.92% | 0.52 | -7.03% | 1.76 | 29 |
Gap fill: buy at open if gapped down, sell at close
| Gap threshold | Ret (full day) | Sharpe | MaxDD | PF | Days |
|---|---|---|---|---|---|
| gap < -1.0% | +10.80% | 0.38 | -6.66% | 1.41 | 39 |
| gap < -0.5% | +47.45% | 1.06 | -5.68% | 1.80 | 114 |
| gap < -0.3% | +56.14% | 1.08 | -7.55% | 1.53 | 219 |
4. VIX regime (SPY reversal in high vs low vol)
Does the dir=-1 reversal work better in high-VIX regimes?
Fetching VIX...
VIX data unavailable: no VIX data
5. Day-of-week seasonality (SPY reversal)
| Day | Ret (last-15min) | Sharpe | MaxDD | PF | Days |
|---|---|---|---|---|---|
| Mon | +6.77% | 2.31 | -1.05% | 1.74 | 128 |
| Tue | -1.81% | -0.57 | -5.51% | 0.88 | 174 |
| Wed | -6.76% | -2.62 | -7.38% | 0.55 | 143 |
| Thu | -2.72% | -0.83 | -3.22% | 0.83 | 162 |
| Fri | +0.43% | 0.12 | -4.14% | 1.04 | 138 |
Decision memo
Expanded intraday research: sectors, gaps, VIX, day-of-week. All fee-free assumed. Adopt if OOS Sharpe > 0, p<0.05.