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⚠ Strategy did NOT beat SPY net of 10 bps trading cost over the 15-year backtest. Cumulative: strategy +224.93% vs SPY +595.59%.
Mid-cycle
INDPRO YoY +0.7% between 0.0% and 4.0% with curve +0.49: steady expansion.
Sector Scores & Signals
| ETF |
Name |
Last |
% From 52W High |
Seasonality |
n yrs |
Cycle Fit |
Rel Strength |
RS 3m |
Composite |
Signal |
| XLK |
Technology |
$175.52 |
0.00% |
80.0 |
20 |
100.0 |
93.3 |
17.43% |
91.3 |
Buy |
| XLC |
Communications |
$116.94 |
-2.30% |
86.6 ⚠ |
8 |
100.0 |
23.7 |
-5.76% |
65.5 |
Buy |
| XLRE |
Real Estate |
$44.41 |
-0.74% |
67.9 |
11 |
50.0 |
45.1 |
-0.62% |
53.4 |
Hold |
| XLB |
Materials |
$51.59 |
-3.36% |
62.2 |
20 |
50.0 |
44.8 |
-6.50% |
51.6 |
Hold |
| XLE |
Energy |
$55.70 |
-10.97% |
47.2 |
20 |
50.0 |
53.1 |
-1.81% |
50.4 |
Hold |
| XLI |
Industrials |
$173.20 |
-2.91% |
58.9 |
20 |
50.0 |
37.0 |
-6.80% |
47.5 |
Hold |
| XLY |
Consumer Discretionary |
$120.20 |
-3.28% |
58.7 |
20 |
50.0 |
25.6 |
-5.02% |
42.8 |
Hold |
| XLP |
Consumer Staples |
$84.18 |
-5.95% |
54.8 |
20 |
35.0 |
31.0 |
-10.83% |
39.3 |
Avoid |
| XLU |
Utilities |
$44.72 |
-5.65% |
57.8 |
20 |
35.0 |
21.9 |
-3.22% |
36.6 |
Avoid |
| XLF |
Financials |
$51.24 |
-8.68% |
52.9 |
20 |
50.0 |
10.3 |
-12.18% |
35.0 |
Avoid |
| XLV |
Healthcare |
$143.49 |
-10.06% |
63.1 |
20 |
35.0 |
7.6 |
-15.74% |
32.5 |
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 — last 15 years
Strategy cum return
+224.93%
SPY: +595.59%
Strategy CAGR
+8.22%
SPY: +13.89%
Strategy Sharpe
0.61
SPY: 0.97
Max drawdown
-29.12%
SPY: -22.93%
Equity curves start at 1.00. Trading cost 10 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% |
+2.8% |
+0.8% |
+3.2% |
+1.0% |
-0.2% |
+1.8% |
+2.0% |
+0.8% |
| XLF |
-0.2% |
-0.5% |
+0.2% |
+2.6% |
+0.1% |
-1.2% |
+2.7% |
+0.3% |
-0.6% |
+1.1% |
+2.3% |
+1.0% |
| XLE |
+1.3% |
+1.6% |
+1.3% |
+3.4% |
-0.3% |
+0.3% |
+0.6% |
-1.5% |
-0.8% |
+1.6% |
+2.3% |
-0.1% |
| XLV |
+0.9% |
-0.2% |
+0.8% |
+1.0% |
+0.5% |
+0.9% |
+2.2% |
+0.6% |
-0.3% |
+0.6% |
+2.7% |
+0.9% |
| XLI |
+0.5% |
+1.0% |
+0.8% |
+2.2% |
+0.5% |
-0.4% |
+2.4% |
-0.0% |
-0.0% |
+0.9% |
+3.5% |
+0.6% |
| XLY |
+0.8% |
-0.0% |
+0.8% |
+3.1% |
+0.3% |
+0.2% |
+2.9% |
+0.7% |
+0.4% |
+0.5% |
+2.7% |
+0.5% |
| XLP |
-0.2% |
+0.6% |
+1.6% |
+1.5% |
+0.1% |
+0.1% |
+2.1% |
+0.5% |
-0.3% |
+0.8% |
+2.2% |
+0.7% |
| XLU |
+0.2% |
-0.7% |
+2.6% |
+2.0% |
+0.4% |
+0.0% |
+2.3% |
+0.2% |
-0.5% |
+1.7% |
+0.9% |
+0.7% |
| XLB |
-0.0% |
+1.5% |
+1.3% |
+2.6% |
+0.4% |
-0.7% |
+2.1% |
-0.1% |
-1.4% |
+0.8% |
+2.9% |
+0.6% |
| XLRE |
+0.5% |
-0.3% |
+0.9% |
+1.0% |
+0.5% |
+1.9% |
+3.3% |
+0.7% |
-2.9% |
-0.9% |
+3.1% |
+0.5% |
| XLC |
+4.2% |
-0.9% |
-0.8% |
+2.0% |
+2.7% |
+1.9% |
+2.4% |
+1.5% |
-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