RealTest Strategies / RealTest ETF Rotate Monthly Rebalance Investing Strategy

RealTest ETF Rotate Monthly Rebalance Investing Strategy

A RealTest rotation strategy that each month ranks a basket of ETFs across equities, bonds, commodities, and crypto, then holds the few with the strongest momentum. It follows what is already trending rather than predicting, and it rebalances only once a month. Tested on data back to 2000 with commissions and slippage modeled, and trading live since January 2024.

Beating SPY
$100k grows to $1.5M. SPY only $585k
Steady Growth
Last 3 years profitable streak.
Low Drawdown Period
Strategy remained below 10% drawdown for the last 3.6 months.
Live Market Performing
Performs in live market conditions since 2024-01-08
Premium

Portfolio Growth

+179%

1,355.6%

SPY 485.4%

Sharpe Ratio

+82%

0.87

SPY 0.48

Max Drawdown

+63%

-18.7%

SPY -49.9%

RealTest ETF Rotate Monthly Rebalance Investing Strategy equity curve vs SPY benchmark $100k$300k$1.0M '02'04'06'08'10'12'14'16'18'20'22'24'26
Strategy SPY ETF

Strategy Overview

Why it follows momentum

Trends in whole asset classes tend to persist for months at a time, longer than most people expect. This strategy ranks a basket of ETFs by recent momentum and holds the strongest, then re-ranks once a month. Instead of predicting which asset class will lead, it stays with the ones that already are, and steps out of them when their momentum fades. Cross-sectional momentum across asset classes is one of the most studied effects in the research, and the strategy applies it with a plain ranking rule.

How it was tested

The backtest covers every month back to 2000 and includes Interactive Brokers commissions and per-side slippage, so the equity curve is after real costs. Because it rebalances monthly, turnover is low and costs stay small. The ranking rule is simple and uses few parameters, and it was checked with walk-forward analysis. Results are shown on this page.

How it fits your trading

A rotation that can move between equities, bonds, and commodities behaves like a core holding rather than a single bet. When equities are trending it holds them, and when they weaken it can rotate into whatever is strong instead, which softens the ride through a stock-market decline. It takes a few minutes once a month to run, so it sits well next to more active strategies without adding daily work.

What You Get

RealTest by MHP Trading logo
RealTest Strategy Code (.rts)
Complete RealTest (.rts) strategy code. Import, backtest, and modify.
Trading strategy rules plain text document
Plain Text Rules
Full strategy logic in plain text. Clear rules for implementation on any trading platform.

Advanced Backtest Insights

Stress Test Analysis

Crisis PeriodDatesPortfolioSPY
Dotcom Crash 2000-03-10 → 2002-10-09 3.9% -41.8%
2008 Financial Crisis 2007-10-09 → 2009-03-09 4.2% -49.9%
COVID-19 Crash 2020-02-19 → 2020-03-23 -8.2% -28.7%
2022 Bear Market 2022-01-03 → 2022-10-12 1.8% -21.3%
2025 Tariffs Crash 2025-02-19 → 2025-04-08 -7.6% -16.3%

Monthly Returns

YearJanFebMarAprMayJunJulAugSepOctNovDecTotalMaxDD
2000-0.8-0.31.9-1.22.00.2-1.93.20.1-0.00.00.03.1%-2.9%
20010.00.00.00.00.00.00.00.00.00.00.00.00.0%-0.0%
20020.00.00.00.00.00.00.00.00.00.00.00.00.0%-0.0%
20030.00.00.00.01.70.6-0.31.3-0.62.20.95.011.3%-4.5%
20041.52.7-1.10.50.11.6-2.1-0.40.00.01.50.54.8%-4.4%
20050.33.4-1.2-0.30.11.12.11.30.6-3.91.91.16.5%-6.9%
20066.9-1.52.93.1-2.00.92.40.6-0.72.42.50.118.7%-9.9%
20073.5-1.20.13.10.8-3.5-1.71.48.36.5-4.83.816.7%-9.9%
20080.60.00.00.00.00.00.00.00.00.00.00.00.6%-0.0%
20090.00.00.00.00.00.06.31.14.7-4.29.42.921.4%-6.7%
2010-5.13.97.22.4-7.4-0.70.00.00.05.3-0.66.811.3%-12.0%
20111.44.10.65.9-1.1-3.22.1-5.2-0.10.00.00.04.1%-18.7%
20120.01.32.70.2-5.86.21.52.52.3-5.00.8-1.15.2%-9.4%
20134.50.13.92.81.6-2.89.4-2.35.33.04.82.337.1%-7.1%
20140.77.0-3.5-1.12.23.1-1.14.3-2.84.84.60.219.3%-10.1%
20152.34.80.2-2.04.8-0.63.3-8.5-2.80.00.5-0.50.8%-15.7%
2016-1.70.00.00.5-0.25.72.2-1.7-0.8-3.10.42.13.3%-7.9%
20171.12.5-0.31.11.32.83.02.71.51.92.01.122.8%-4.0%
20189.1-4.0-3.40.74.60.41.63.50.3-11.70.40.0-0.1%-14.5%
20190.00.01.10.3-4.40.10.94.0-0.22.10.92.27.0%-5.4%
20203.5-4.10.70.00.04.76.64.4-3.5-2.510.85.828.3%-9.7%
20212.0-0.10.65.0-0.43.92.12.7-3.78.7-2.94.824.2%-10.6%
2022-0.92.50.91.0-0.70.00.00.00.00.00.0-1.90.9%-7.2%
20230.1-5.74.21.7-1.65.12.0-5.0-4.5-2.70.34.7-2.2%-13.5%
20240.514.54.4-7.87.41.53.02.71.6-1.03.3-3.727.6%-9.7%
20253.6-2.1-3.0-0.10.03.62.51.05.55.82.20.420.9%-8.9%
20264.72.1-6.40.83.0-2.40.31.7%-11.9%
Avg1.41.10.50.60.21.01.60.50.40.31.51.410.9%-8.2%
MetricPortfolioSPY
Sortino Ratio0.690.45
MAR Ratio0.57-
Net Profit$1.3M$485k
Expectancy9.02-
Trades8821
Win Rate63.38%-
Max Exposure100.8%100.0%
Best Year37.1%27.0%
Worst Year-2.2%-33.2%

Statistical Edge Verification

Science, governed by mathematics

Live Market Performance
Performs in real market conditions since 2024-01-08
Verified
Statistical Validation
Validated across In-Sample & Out-of-Sample data
Passed
Walk Forward Analysis
Tests robustness across unseen data
Passed
Monte Carlo Stress Test
Resilient against 1,000+ sequence risk simulations
Passed
RealTest trading software logo

Quick start guide

From download to first backtest in 1 minutes

1
You download the .rts file
Click Download
2
You open it in RealTest
File → Open → Select file
3
You import symbols
Click Import
4
You run the backtest
Click Test
OrderClerk automated trading execution interface

Daily Live Trading

For RealTest automated execution

1
Open OrderClerk
Click 'Connect to IB'
2
Import signals
Click 'Import' in RealTest
3
Generate orders
Click 'Orders' in RealTest
4
Execute trades
Click 'Place Orders'

Total daily time: ~5 minutes

Get OrderClerk automation course →

Strategy Details

Style
Momentum
Universe
US ETFs
Timeframe
Monthly
Side
Long
Entry execution
Market On Open
Exit execution
Market On Open

Model assumptions

Included in Backtest

Commission$10 Per Side
Slippage0.05% Per Side

SPY Buy & Hold Benchmark

Does not include any transaction fees, slippage, or management costs.

Portfolio Builder & Simulator

Visualize your diversification edge

Instantly simulate how this strategy improves your existing portfolio. Check correlations, optimize allocations, and verify the smoothed equity curve before you deploy.

Generate Correlation Matrix
Optimize Capital Allocation
Simulate Combined Metrics
Visual Performance Comparison
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Strategy Code Preview

RealTest full source code included in download

RealTest ETF Rotate Monthly Rebalance Investing Strategy RealTest code structure

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Demo Strategy

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RealTest ETF Rotate Monthly Rebalance Investing Strategy

$999one-time

Full strategy code and rules.

  • 1,355.6% Portfolio Growth
  • In-Sample / Out-of-Sample Validated
  • Survivor-Bias Free
  • Outperforms SPY Benchmark
  • Fully Customizable Source Code
  • Download Once, Use Forever

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