Signal-Change Rotation (orders)
Trend following · Equity ETFs · Daily · Market order
The rules, in plain English
This rotation has no calendar at all. It trades only when an SMA trend signal actually flips, moving on signal changes rather than on a fixed date. Fewer, event-driven trades can mean less turnover — but signals can also flip back and forth in choppy markets.
The published backtest
| Total return | +130.0% |
|---|---|
| CAGR (annual growth rate) | +3.38% |
| Sharpe ratio | 0.22 |
| Maximum drawdown (worst peak-to-trough fall) | -16.3% |
| Win rate | 52.4% |
| Profit factor | 2.21 |
| Risk grade (our shorthand, from the published figures) | C |
| Asset class | Equity ETFs |
| Style | Trend following |
| Timeframe | Daily · Market order |
| Type | Orders |
— means no figure was published for this strategy. Ungraded and workflow entries publish diagnostics rather than a graded portfolio backtest, so some metrics are not published for them.
Honest verdict
Modest
This one made money in its published backtest, but modestly for the risk taken — look at the Sharpe ratio and the worst drawdown together before forming any opinion.
Worst drawdown in the published test: -16.3% — at its lowest point, a follower of this test would have been down that much from the peak before any recovery.
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Attribution: strategy and published backtest results from the QuantJourney open-source library (Apache-2.0), via quants.md — published backtest results by QuantJourney, reproduced with attribution. Results are hypothetical backtest results based on historical data; they are not live trading results and do not guarantee future performance. Educational content only — not financial advice, and not a recommendation to buy, sell, or hold any security.