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⚠ Strategy did NOT beat SPY net of 1 bps trading cost in the backtest since May 2011. Cumulative: strategy +619.57% vs SPY +626.89%.
Mid-cycle
INDPRO YoY +1.1% between 0.0% and 4.0% with curve +0.48: steady expansion.
Sector Scores & Signals
| ETF |
Name |
Last |
% From 52W High |
Seasonality |
n yrs |
Cycle Fit |
Rel Strength |
RS 3m |
Composite |
Signal |
| XLK |
Technology |
$190.01 |
-4.02% |
64.2 |
20 |
100.0 |
84.6 |
1.95% |
85.7 |
Buy |
| XLC |
Communications |
$112.95 |
-5.39% |
74.3 ⚠ |
9 |
100.0 |
24.2 |
-6.29% |
67.0 |
Watch |
| XLE |
Energy |
$61.91 |
-0.33% |
39.6 |
20 |
50.0 |
65.0 |
3.35% |
52.6 |
Hold |
| XLI |
Industrials |
$186.51 |
0.00% |
55.0 |
20 |
50.0 |
43.2 |
3.11% |
48.9 |
Hold |
| XLF |
Financials |
$58.16 |
-0.17% |
55.1 |
20 |
50.0 |
39.1 |
9.76% |
47.4 |
Hold |
| XLB |
Materials |
$52.54 |
-1.31% |
46.1 |
20 |
50.0 |
40.7 |
-2.89% |
45.8 |
Hold |
| XLRE |
Real Estate |
$45.27 |
-1.61% |
61.7 |
11 |
50.0 |
23.9 |
-0.03% |
43.8 |
Hold |
| XLY |
Consumer Discretionary |
$118.20 |
-4.70% |
56.8 |
20 |
50.0 |
26.3 |
-4.23% |
43.4 |
Hold |
| XLV |
Healthcare |
$167.37 |
-0.64% |
59.9 |
20 |
35.0 |
36.3 |
10.62% |
41.7 |
Hold |
| XLP |
Consumer Staples |
$86.09 |
-3.15% |
57.7 |
20 |
35.0 |
21.3 |
-2.02% |
35.9 |
Avoid |
| XLU |
Utilities |
$44.31 |
-5.92% |
52.2 |
20 |
35.0 |
12.4 |
-4.72% |
31.4 |
Avoid |
Click any column header to sort. ⚠ flags sectors with under 10 years of history. Composite weights and signal thresholds tunable in config.py.
Backtest since May 2011
Strategy cum return
+619.57%
SPY: +626.89%
Strategy CAGR
+13.90%
SPY: +13.97%
Strategy Sharpe
0.87
SPY: 0.98
Max drawdown
-18.78%
SPY: -22.93%
Equity curves start at 1.00. Trading cost 1 bps applied to turnover at each rebalance. Cash held when no sectors clear MIN_SCORE_TO_HOLD=50.
Seasonality Heatmap (avg monthly return by sector)
| Sector |
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| XLK |
+0.1% |
+0.7% |
+1.5% |
+2.8% |
+3.3% |
+0.9% |
+2.9% |
+1.1% |
-0.2% |
+1.8% |
+2.0% |
+0.8% |
| XLF |
-0.2% |
-0.5% |
+0.2% |
+2.6% |
+0.1% |
-1.0% |
+2.9% |
+0.3% |
-0.6% |
+1.1% |
+2.3% |
+1.0% |
| XLE |
+1.3% |
+1.6% |
+1.3% |
+3.4% |
-0.2% |
-0.1% |
+1.1% |
-1.1% |
-0.8% |
+1.6% |
+2.3% |
-0.1% |
| XLV |
+0.9% |
-0.2% |
+0.8% |
+1.0% |
+0.7% |
+1.2% |
+2.1% |
+0.6% |
-0.3% |
+0.6% |
+2.7% |
+0.9% |
| XLI |
+0.5% |
+1.0% |
+0.8% |
+2.2% |
+0.5% |
-0.1% |
+2.6% |
+0.1% |
-0.0% |
+0.9% |
+3.5% |
+0.6% |
| XLY |
+0.8% |
-0.0% |
+0.8% |
+3.1% |
+0.3% |
+0.1% |
+3.0% |
+0.7% |
+0.4% |
+0.5% |
+2.7% |
+0.5% |
| XLP |
-0.2% |
+0.6% |
+1.6% |
+1.5% |
+0.0% |
+0.0% |
+2.2% |
+0.4% |
-0.3% |
+0.8% |
+2.2% |
+0.7% |
| XLU |
+0.2% |
-0.7% |
+2.6% |
+2.0% |
+0.3% |
+0.0% |
+1.9% |
+0.0% |
-0.5% |
+1.7% |
+0.9% |
+0.7% |
| XLB |
-0.0% |
+1.5% |
+1.3% |
+2.6% |
+0.4% |
-0.7% |
+2.4% |
-0.2% |
-1.4% |
+0.8% |
+2.9% |
+0.6% |
| XLRE |
+0.5% |
-0.3% |
+0.9% |
+1.0% |
+0.4% |
+1.8% |
+3.2% |
+0.6% |
-2.9% |
-0.9% |
+3.1% |
+0.5% |
| XLC |
+4.2% |
-0.9% |
-0.8% |
+2.0% |
+2.6% |
+0.8% |
+2.1% |
+2.0% |
-2.0% |
-0.7% |
+3.5% |
-0.0% |
Green > 0%, red < 0%. Cells require ≥5 years of history for that month.
3-Month Relative Strength vs SPY