Composer
Pick the Trending Sector
Fragile
“Buy the three U.S. sectors with the best 200-day performance using Vanguard ETFs, equal-weighted and rebalanced monthly.”
From Composer
As tested: Monthly: the 3 best 200-day returns among the 11 Vanguard sector ETFs, equal weight.
Holding today: VDE 33% · VGT 33% · VHT 33% · last switch Sep 30, 2026
Edge per month-0.07 pts/mopts per month vs SPY
t-stat-0.3295% range -0.46 to +0.33
Months120Nov 1, 2016 – Oct 12, 2026
CAGR15.0%SPY 15.8%
Max drawdown-32.2%SPY -33.8%
Since published-0.11 pts/mo56 months from Feb 13, 2022; -0.09 pts/mo before
Last 12 months-7.12 pts12 months, summed
Why fragile
- t-stat -0.32 is inside the noise
- 62% of resamples have no edge
- only 38% of nudged versions keep the edge, so it's a lucky setting
- the edge vanished after publication: -0.11 since it was published in 2022-02, vs -0.09 before
Growth of $1
Pick the Trending SectorSPY
Log scale. Traded at the next open after each signal, monthly rebalance, slippage on every trade.
Year by year
2016
+1.15 pts/mo2
2017
-0.67 pts/mo12
2018
+0.32 pts/mo12
2019
-0.56 pts/mo12
2020
+0.83 pts/mo12
2021
-0.36 pts/mo12
2022
+2.00 pts/mo12
2023
-1.21 pts/mo12
2024
-0.11 pts/mo12
2025
-0.62 pts/mo12
2026
-0.55 pts/mo10