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Hypotheses

Dispersion-Gated Cross-Sectional Sector Momentum, Dollar-Neutral Long/Short (US Equity SPDR Sector ETFs, Daily Bars, Monthly Rebalance) — Rotate Into 6-Month Leader Sectors / Short Laggards ONLY When Cross-Sectional Return Dispersion Is High Enough to Exploit; Sit Flat When Sectors Move Together

A dollar-neutral, MULTI-INSTRUMENT, cross-sectional relative-strength momentum rotation across the 9 long-history US SPDR sector ETFs (XLK, XLF, XLE, XLV, XLI, XLY, XLP, XLU, XLB) on DAILY bars, rebalanced monthly.…

Hypothesis

A dollar-neutral, MULTI-INSTRUMENT, cross-sectional relative-strength momentum rotation across the 9 long-history US SPDR sector ETFs (XLK, XLF, XLE, XLV, XLI, XLY, XLP, XLU, XLB) on DAILY bars, rebalanced monthly. This is a deliberate MECHANISM and ASSET-CLASS pivot away from the flagged idea and its dead siblings: it is NOT single-instrument crypto directional trend, NOT a Kaufman Efficiency-Ratio / trend-quality gate, NOT EMA-cross or Donchian breakout, NOT funding/OI/liquidation gated, NOT sub-hourly, and NOT……Show moreShow less

A dollar-neutral, MULTI-INSTRUMENT, cross-sectional relative-strength momentum rotation across the 9 long-history US SPDR sector ETFs (XLK, XLF, XLE, XLV, XLI, XLY, XLP, XLU, XLB) on DAILY bars, rebalanced monthly. This is a deliberate MECHANISM and ASSET-CLASS pivot away from the flagged idea and its dead siblings: it is NOT single-instrument crypto directional trend, NOT a Kaufman Efficiency-Ratio / trend-quality gate, NOT EMA-cross or Donchian breakout, NOT funding/OI/liquidation gated, NOT sub-hourly, and NOT on a perp at all. The engine is the classic equity cross-sectional momentum premium (Moskowitz/Grinblatt/Asness): rank the sectors by their trailing 6-month total return (126 daily bars, skipping the most recent 10 to sidestep short-term reversal), go long the top-K and short the bottom-K equal-weighted so the book is ~dollar-neutral. The novel, non-textbook edge that distinguishes this from the equity anomalies that already died on USEQ (sector-ETF short-horizon REVERSION, dual-TF trend confluence, staples cointegration pairs, calendar seasonality, vol-regime switching — all abandoned per the lessons) is a CROSS-SECTIONAL DISPERSION gate: a momentum rotation only has spread to harvest when the sectors are actually differentiating from each other. When the cross-sectional standard deviation of the formation-window returns is in a low percentile (sectors moving together, macro beta dominating), the strategy holds NO position — that is the fee/edge-defense mechanism, the cross-sectional analogue of 'only trade when there is edge', applied to a different asset class than the flagged idea. US equities are chosen because (a) the USEQ venue is essentially unmined in the corpus, (b) daily sector-ETF history runs to 1998 giving DECADES of robustly-backtestable data (the single most backtestable regime in the whole factory), (c) shorts are allowed on the 2x Reg-T margin account so the book is genuinely dollar-neutral, and (d) commissions are ~0 so a low-turnover monthly rebalance carries negligible fee drag — escaping the crypto fee graveyard that killed the flagged family.

Backtest and paper results are hypothetical. Trading involves risk of loss.