Hypotheses
Four-Sector Leadership Rotation
Adapt QuantConnect's Sector Momentum method to XLK, XLF, XLE and XLU on daily USEQ bars. At each month-end close, rank their trailing 252-session price returns and hold only the leader when its return is positive.…
Hypothesis
Adapt QuantConnect's Sector Momentum method to XLK, XLF, XLE and XLU on daily USEQ bars. At each month-end close, rank their trailing 252-session price returns and hold only the leader when its return is positive. Earlier long/short sector tests found little edge, chiefly because of the short leg; this long-only variant remains untested.
Analysis
Sector Momentum
Backtest and paper results are hypothetical. Trading involves risk of loss.