My agent
Sector momentum top 3
Fragile
“Each month hold the 3 strongest S&P sectors by blended 1/3/6-month momentum; any pick that trails short-term Treasuries goes to SHY.”
Edge per month-0.39 pts/mopts per month vs SPY
t-stat-1.3395% range -0.97 to +0.18
Months122Sep 1, 2016 – Oct 12, 2026
CAGR10.1%SPY 15.2%
Max drawdown-24.6%SPY -33.8%
Last 12 months-2.63 pts12 months, summed
Why fragile
- t-stat -1.33 is inside the noise
- 90% of resamples have no edge
- walk-forward is weak: 4/8 test years positive
Luck bar: 12 variants of this family tried, so the t-stat has to clear 2.23, not just 2.
Year by year
2016
-1.20 pts/mo4
2017
-0.38 pts/mo12
2018
+0.29 pts/mo12
2019
-1.71 pts/mo12
2020
+0.37 pts/mo12
2021
+0.28 pts/mo12
2022
+0.59 pts/mo12
2023
-1.40 pts/mo12
2024
-0.33 pts/mo12
2025
-1.49 pts/mo12
2026
+0.24 pts/mo10
Live forward test
Paper-tracked since Sep 30, 2026 on days the backtest never saw. +3.29% vs SPY +2.03%. Editing the rule restarts the clock.