Can someone backtest this portfolio?

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Can someone backtest this portfolio?

posted

Using the SPDR ETFs:

XLY
XLP
XLE
XLF
XLV
XLI
XLB
XLRE
XLK
XLU

If you re-balanced a portfolio on the first trading day of each year and weighted the sectors with the worst performing sector getting the highest allocation (20% being the ceiling) and best performing sector (from the past year) getting the lowest (2% being the floor), how would this portfolio perform over time? Each sector must have at least a 2% allocation and the "middle" sector ETFs should have relative allocations based on the look-back period performance (in other words, they would have allocations reflecting the inverse of their look-back period performance). What about with a 2/3/4/5 year look-back period for determining the new yearly sector weightings?

Thanks in advance for any help!

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.