Systematic Sector Rotation

Rank 11 GICS sectors by 3-month relative strength vs SPY, long top 3

Systematic Sector Rotation — gap audit strategy

Total Return

+24.6%

Sharpe Ratio

0.33

Max Drawdown

-17.2%

Win Rate

53.3%

Alpha

-15.5%

Comp. Score *

0.08

Risk Parameters

Max Allocation5.5%

Stop Loss17.2%

Take Profit5.0%

Max DD Tolerance17.2%

Rebalanceweekly

Execution Guidance

Order TypeLimit

Entry RuleBuy 0.5% below market in uptrend.

TimingSAFE TO BUY. *

ScalingEnter in 3 tranches over 1-2 weeks.

Positions — Vol-Adjusted Sizing

Symbol	Action	Vol	Stop Loss	Take Profit	Size	Links
XLK	BUY	26%	18.9% below entry	5.5% above entry	5.0%	TV YH
TLT	BUY	13%	9.1% below entry	3.0% above entry	10.5%	TV YH
IEF	BUY	6%	8.6% below entry	3.0% above entry	11.0%	TV YH
XLV	BUY	15%	11.1% below entry	3.2% above entry	8.5%	TV YH

▶ For Passive Investors (Buy & Hold)

Marginal long-term returns. Treat as tactical, not core. Small allocation (<2%) if any.

Avg 5Y Return

38.1%

Avg 5Y Sharpe

0.23

Avg 5Y Max DD

-24.0%

10Y Return (2015-2024)

65.0%

10Y Sharpe

0.15

10Y Max DD

-26.9%

HODL Composite

0.21

Windows Tested

Consistency

82%