Signal-Change Defensive Rotation
Trend following · Multi-asset · Daily
The rules, in plain English
This watches one big switch: if SPY is above its 200-day average, it holds risk-on ETFs; if not, it rotates into defensive holdings. It only trades when that signal changes, not on a schedule. One simple line is doing all of the defensive work.
The published backtest
| Total return | +132.0% |
|---|---|
| CAGR (annual growth rate) | +4.54% |
| Sharpe ratio | 0.26 |
| Maximum drawdown (worst peak-to-trough fall) | -24.6% |
| Win rate | 41.1% |
| Profit factor | 1.64 |
| Risk grade (our shorthand, from the published figures) | C |
| Asset class | Multi-asset |
| Style | Trend following |
| Timeframe | Daily |
| Type | Weights |
— 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: -24.6% — 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.