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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 +0.47: steady expansion.
Sector Scores & Signals
| ETF |
Name |
Last |
% From 52W High |
Seasonality |
n yrs |
Cycle Fit |
Rel Strength |
RS 3m |
Composite |
Signal |
| XLK |
Technology |
$185.69 |
-6.20% |
63.1 |
20 |
100.0 |
75.4 |
-4.64% |
82.2 |
Buy |
| XLC |
Communications |
$112.99 |
-5.36% |
73.1 ⚠ |
9 |
100.0 |
45.3 |
-4.04% |
74.1 |
Buy |
| XLY |
Consumer Discretionary |
$117.21 |
-5.49% |
56.4 |
20 |
50.0 |
49.7 |
-4.80% |
51.5 |
Hold |
| XLF |
Financials |
$58.10 |
-0.36% |
55.0 |
20 |
50.0 |
40.7 |
11.07% |
48.0 |
Hold |
| XLV |
Healthcare |
$171.16 |
-2.57% |
61.0 |
20 |
35.0 |
46.1 |
13.05% |
45.4 |
Hold |
| XLE |
Energy |
$62.68 |
-1.68% |
40.2 |
20 |
50.0 |
43.1 |
10.19% |
45.1 |
Hold |
| XLI |
Industrials |
$177.14 |
-5.02% |
50.4 |
20 |
50.0 |
33.3 |
0.60% |
44.2 |
Hold |
| XLB |
Materials |
$53.18 |
-0.91% |
47.9 |
20 |
50.0 |
32.6 |
2.39% |
43.4 |
Hold |
| XLRE |
Real Estate |
$44.48 |
-3.33% |
56.5 |
11 |
50.0 |
19.4 |
0.04% |
40.9 |
Hold |
| XLP |
Consumer Staples |
$85.45 |
-3.87% |
57.3 |
20 |
35.0 |
21.7 |
1.82% |
35.9 |
Avoid |
| XLU |
Utilities |
$42.73 |
-9.27% |
50.4 |
20 |
35.0 |
11.2 |
-5.15% |
30.5 |
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% |
+0.9% |
-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% |
-1.0% |
-0.8% |
+1.6% |
+2.3% |
-0.1% |
| XLV |
+0.9% |
-0.2% |
+0.8% |
+1.0% |
+0.7% |
+1.2% |
+2.1% |
+0.7% |
-0.3% |
+0.6% |
+2.7% |
+0.9% |
| XLI |
+0.5% |
+1.0% |
+0.8% |
+2.2% |
+0.5% |
-0.1% |
+2.6% |
-0.2% |
-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% |
+0.3% |
-0.3% |
+0.8% |
+2.2% |
+0.7% |
| XLU |
+0.2% |
-0.7% |
+2.6% |
+2.0% |
+0.3% |
+0.0% |
+1.9% |
-0.2% |
-0.5% |
+1.7% |
+0.9% |
+0.7% |
| XLB |
-0.0% |
+1.5% |
+1.3% |
+2.6% |
+0.4% |
-0.7% |
+2.3% |
-0.0% |
-1.4% |
+0.8% |
+2.9% |
+0.6% |
| XLRE |
+0.5% |
-0.3% |
+0.9% |
+1.0% |
+0.4% |
+1.8% |
+3.2% |
+0.5% |
-2.9% |
-0.9% |
+3.1% |
+0.5% |
| XLC |
+4.2% |
-0.9% |
-0.8% |
+2.0% |
+2.6% |
+0.8% |
+2.2% |
+1.8% |
-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