Cycle Trading

[Duma]

I took on another rather involved project for the weekend to back test Sector Trading for 2015. Since 2009 the annual yield for SPY has been:

 
 2009	25.90% 
 2010	14.80% 
 2011	2.10% 
 2012	16.1% 
 2013	32.2% 
 2014	13.5% 
 2015	1.2% 
 2016	13.1%

The 2016 yield was the lowest of the good years and since the Sector Trading for good for 2016, I was not worried about the other good years. 2015 was the lowest year, so it was selected for back testing.

After a lot of work, I can up with the following results:

Buy & Hold

1.23% SPY
1.36% holding each sector with 12/31/16 weighting

Phase Trading
5.34% SPY only
3.97% Independently trading each sector to max 125% investment, see note
6.11% Rebalance each sector to 125% max investment, see note


NOTE: In 2015, XLRE (real estate) sector did not exist at the beginning of the year. The other 9 sectors were weights were scaled up to meet either 100% or 125% totals.

Conclusion: If it is really a dead year, Sector Trading does not give the advantage that I was hoping for. However, the yields still out perform just B&Hing.