Weekly Rotating System Between S&P 500 And Utilities (SPY And XLU)
The strategy consists of a weekly rotation system between the SPY and XLU based on the past performance of each one. It has outperformed the market since 1926, but the best years seem to have been before the paper was published.
We backtest the following trading rules:
When the S&P 500 is outperforming utilities over the last 4 weeks, buy SPY.
When the S&P 500 is underperforming utilities over the last 4 weeks, buy XLU.
Re-evaluate/rebalance weekly.
We backtested it from 1999, and the data is adjusted for dividends and splits. The equity curve looks like the image shown below.
You can find more info about this trading strategy here:
https://www.quantifiedstrategies.com/rotating-system-sp500-and-utilities/