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A long-only rotation strategy that shifts weekly between value (IWD) and growth (IWF) ETFs – based on end-of-week signals
5%✔️ Max drawdown: -19%
8% annual return (CAGR)✔️ 15% market exposure✔️ Max drawdown: -5%
though rotation strategies may degrade over time
6% annual return (CAGR)✔️ 90% market exposure✔️ Risk-adjusted return: 9
Turn of the Month Strategy – S&P 500 (SPY) (#82) Seasonal Trading A long-only rotation strategy thatA swing trading strategy based on the well documented turn of the month effect backtested on the SPY ETF and the S&P 500 cash index going back to 1960. This was our Monthly Trading Edge for September 2023. 650 trades 0. 65% average gain per trade 62% win rate Profit factor: 2 6. 3% annual return (CAGR) 24% market exposure Risk adjusted return: 26% Max drawdown: 28% Youll get the full trading rules ready to test and validate. Some example code for