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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 +0.44: steady expansion.
Sector Scores & Signals
| ETF |
Name |
Last |
% From 52W High |
Seasonality |
n yrs |
Cycle Fit |
Rel Strength |
RS 3m |
Composite |
Signal |
| XLK |
Technology |
$187.97 |
-5.05% |
66.9 |
21 |
100.0 |
63.7 |
4.94% |
79.0 |
Buy |
| XLC |
Communications |
$111.25 |
-6.82% |
71.8 ⚠ |
9 |
100.0 |
28.9 |
-10.95% |
68.1 |
Watch |
| XLB |
Materials |
$52.86 |
-0.61% |
50.1 |
21 |
50.0 |
52.4 |
-2.74% |
50.9 |
Hold |
| XLE |
Energy |
$57.50 |
-7.43% |
32.3 |
21 |
50.0 |
64.5 |
-2.46% |
50.7 |
Hold |
| XLRE |
Real Estate |
$44.98 |
-2.24% |
57.5 |
11 |
50.0 |
38.7 |
-3.78% |
47.9 |
Hold |
| XLY |
Consumer Discretionary |
$119.86 |
-3.36% |
59.0 |
21 |
50.0 |
35.4 |
-5.79% |
47.2 |
Hold |
| XLF |
Financials |
$57.60 |
-0.69% |
55.9 |
21 |
50.0 |
37.6 |
6.16% |
47.1 |
Hold |
| XLI |
Industrials |
$185.18 |
-0.65% |
55.9 |
21 |
50.0 |
34.9 |
0.72% |
46.2 |
Hold |
| XLP |
Consumer Staples |
$85.12 |
-4.24% |
59.6 |
21 |
35.0 |
37.7 |
-3.91% |
42.1 |
Hold |
| XLV |
Healthcare |
$165.68 |
-0.94% |
61.2 |
21 |
35.0 |
35.9 |
9.02% |
41.9 |
Hold |
| XLU |
Utilities |
$43.61 |
-7.41% |
53.6 |
21 |
35.0 |
9.8 |
-8.70% |
30.8 |
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% |
+1.3% |
-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% |
-1.6% |
-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% |
+0.1% |
-0.0% |
+0.9% |
+3.5% |
+0.6% |
| XLY |
+0.8% |
-0.0% |
+0.8% |
+3.1% |
+0.3% |
+0.1% |
+3.0% |
+0.8% |
+0.4% |
+0.5% |
+2.7% |
+0.5% |
| XLP |
-0.2% |
+0.6% |
+1.6% |
+1.5% |
+0.0% |
+0.0% |
+2.2% |
+0.5% |
-0.3% |
+0.8% |
+2.2% |
+0.7% |
| XLU |
+0.2% |
-0.7% |
+2.6% |
+2.0% |
+0.3% |
+0.0% |
+1.9% |
+0.1% |
-0.5% |
+1.7% |
+0.9% |
+0.7% |
| XLB |
-0.0% |
+1.5% |
+1.3% |
+2.6% |
+0.4% |
-0.7% |
+2.3% |
+0.1% |
-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% |
+2.2% |
+1.7% |
-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