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.
Live traded since Jan 2024Trading costs included
Survivorship-bias-free data
Strategy
SPY buy & hold
Sharpe ratio?
0.88
+83%vs SPY 0.48
Best year?
+37.1%
1.4×SPY best: 27.0% in 2003
Max drawdown?
-18.7%
63% smallervs SPY -49.9%
Validated four ways
Live market performance
Performs in real market conditions since 2024-01-08
VerifiedStatistical validation
Validated across in-sample & out-of-sample data
Walk forward analysis
Tests robustness across unseen data
Monte Carlo stress test
Resilient against 1,000+ sequence risk simulations
What happened in every crash
| Crisis | Dates | Strategy | SPY | Same $100k in |
|---|---|---|---|---|
| Dotcom crash | Mar 2000 – Oct 2002 | 3.9% | -41.8% | |
| 2008 financial crisis | Oct 2007 – Mar 2009 | 4.2% | -49.9% | |
| COVID-19 crash | Feb 2020 – Mar 2020 | -8.2% | -28.7% | |
| 2022 bear market | Jan 2022 – Oct 2022 | 1.8% | -21.3% |
Strategy monthly returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | -1.2 | -0.3 | 1.9 | -1.2 | 2.0 | 0.2 | -1.9 | 3.2 | 0.1 | -0.0 | 0.0 | 0.0 | 2.7% |
| 2001 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0% |
| 2002 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0% |
| 2003 | 0.0 | 0.0 | 0.0 | 0.0 | 1.7 | 0.6 | -0.3 | 1.3 | -0.6 | 2.2 | 0.9 | 5.0 | 11.3% |
| 2004 | 1.5 | 2.7 | -1.1 | 0.5 | 0.1 | 1.6 | -2.1 | -0.4 | 0.0 | 0.0 | 1.5 | 0.5 | 4.8% |
| 2005 | 0.3 | 3.4 | -1.2 | -0.3 | 0.1 | 1.1 | 2.1 | 1.3 | 0.6 | -3.9 | 1.9 | 1.1 | 6.5% |
| 2006 | 6.9 | -1.5 | 2.9 | 3.1 | -2.0 | 0.9 | 2.4 | 0.6 | -0.7 | 2.4 | 2.5 | 0.1 | 18.7% |
| 2007 | 3.5 | -1.2 | 0.1 | 3.1 | 0.8 | -3.5 | -1.7 | 1.4 | 8.3 | 6.5 | -4.8 | 3.8 | 16.7% |
| 2008 | 0.6 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.6% |
| 2009 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 6.3 | 1.1 | 4.7 | -4.2 | 9.4 | 2.9 | 21.4% |
| 2010 | -5.1 | 3.9 | 7.2 | 2.4 | -7.4 | -0.7 | 0.0 | 0.0 | 0.0 | 5.3 | -0.6 | 6.8 | 11.3% |
| 2011 | 1.4 | 4.1 | 0.6 | 5.9 | -1.1 | -3.2 | 2.1 | -5.2 | -0.1 | 0.0 | 0.0 | 0.0 | 4.1% |
| 2012 | 0.0 | 1.3 | 2.7 | 0.2 | -5.8 | 6.2 | 1.5 | 2.5 | 2.3 | -5.0 | 0.8 | -1.1 | 5.2% |
| 2013 | 4.5 | 0.1 | 3.9 | 2.8 | 1.6 | -2.8 | 9.4 | -2.3 | 5.3 | 3.0 | 4.8 | 2.3 | 37.1% |
| 2014 | 0.7 | 7.0 | -3.5 | -1.1 | 2.2 | 3.1 | -1.1 | 4.3 | -2.8 | 4.8 | 4.6 | 0.2 | 19.3% |
| 2015 | 2.3 | 4.8 | 0.2 | -2.0 | 4.8 | -0.6 | 3.3 | -8.5 | -2.8 | 0.0 | 0.5 | -0.5 | 0.8% |
| 2016 | -1.7 | 0.0 | 0.0 | 0.5 | -0.2 | 5.7 | 2.2 | -1.7 | -0.8 | -3.1 | 0.4 | 2.1 | 3.3% |
| 2017 | 1.1 | 2.5 | -0.3 | 1.1 | 1.3 | 2.8 | 3.0 | 2.7 | 1.5 | 1.9 | 2.0 | 1.1 | 22.8% |
| 2018 | 9.1 | -4.0 | -3.4 | 0.7 | 4.6 | 0.4 | 1.6 | 3.5 | 0.3 | -11.7 | 0.4 | 0.0 | -0.1% |
| 2019 | 0.0 | 0.0 | 1.1 | 0.3 | -4.4 | 0.1 | 0.9 | 4.0 | -0.2 | 2.1 | 0.9 | 2.2 | 7.0% |
| 2020 | 3.5 | -4.1 | 0.7 | 0.0 | 0.0 | 4.7 | 6.6 | 4.4 | -3.5 | -2.5 | 10.8 | 5.8 | 28.3% |
| 2021 | 2.0 | -0.1 | 0.6 | 5.0 | -0.4 | 3.9 | 2.1 | 2.7 | -3.7 | 8.7 | -2.9 | 4.8 | 24.2% |
| 2022 | -0.9 | 2.5 | 0.9 | 1.0 | -0.7 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -1.9 | 0.9% |
| 2023 | 0.1 | -5.7 | 4.2 | 1.7 | -1.6 | 5.1 | 2.0 | -5.0 | -4.5 | -2.7 | 0.3 | 4.7 | -2.2% |
| 2024 | 0.5 | 14.5 | 4.4 | -7.8 | 7.4 | 1.5 | 3.0 | 2.7 | 1.6 | -1.0 | 3.3 | -3.7 | 27.6% |
| 2025 | 3.6 | -2.1 | -3.0 | -0.1 | 0.0 | 3.6 | 2.5 | 1.0 | 5.5 | 5.8 | 2.2 | 0.4 | 20.9% |
| 2026 | 4.7 | 2.1 | -6.4 | 0.8 | 3.0 | -2.4 | 0.3 | 6.9 | 0.1 | -0.7 | 8.0% |
Strategy overview
Specification
StyleMomentumUniverseUS ETFsTimeframeMonthlySideLongAverage hold108 trading daysTrade frequency2.8 per monthEntry executionMarket on openExit executionMarket on openDataNorgate Data (US Stocks Platinum)
SoftwareRealTest or PythonCommission$10 per sideSlippage0.05% per sideSPY benchmarkNo fees applied (favors SPY)
What you get
RealTest strategy code (.rts)
Complete RealTest (.rts) strategy code. Import, backtest, and modify.
Plain text rules
Trade it on any platform without reading the code.
Python backtest code (.py)
Full Python script. Implements the exact same strategy rules for independent backtesting.
Quick start & live trading
Quick start guide
From download to first backtest in 1 minute
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
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'
What traders say
❝
Buying a SetupAlpha strategy didn't save me money, it saved me research time. I estimate it replaced 70–90 hours of development, debugging, and validation. Even if I never trade the strategy exactly as delivered, the research process was worth the investment.
Roman Blackwood
Founder of AI in Trading (+13K subscribers)
❝
I've been using a strategy from SetupAlpha and I'm really impressed with its elegance and stability. The unique approach gives me a fresh perspective and ideas I can apply to other strategies I'm developing. I'm currently working on integrating it into my suite of trading strategies.
TradeQuantiX
Multi-country systematic trader (+4.7K subscribers)
❝
I traded discretionary for over a decade and kept putting off going systematic because I did not know where to start. Having a finished, tested system to take apart was what finally got me moving.
Daniel
Crypto trader
❝
I have run it live since 2024 and it is still in my portfolio. It also changed how I test the systems I build myself.
Systematic Traders
Algo trader & Substack writer (+6.4K subscribers)
FAQ
What is 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.
Why should this edge keep working?
Trends in whole asset classes tend to persist for months, longer than most people expect. This strategy ranks a basket of ETFs by recent momentum and holds the strongest, re-ranking once a month. It stays with what is already working and rotates out when momentum fades, so it does not need to predict which asset class will lead. Cross-sectional momentum is one of the most studied and durable effects in the research.
Do I need RealTest to run this strategy, or can I use Python?
No, you do not need RealTest if you use Python. This strategy includes a complete, standalone Python implementation (.py) alongside the RealTest (.rts) script and plain-text rules. You can run, backtest, and modify the strategy directly in Python (using libraries like pandas, NumPy, vectorbt, etc.) with your own data source. If you prefer a turnkey trading platform, RealTest is fully supported for one-click backtests and automated live execution via OrderClerk and Interactive Brokers.
How was this backtested?
Survivorship-free Norgate data from January 2000 to the present, with out-of-sample walk-forward analysis and over 1000 Monte Carlo simulations to test stability.
Are transaction costs included?
Yes. The results include Interactive Brokers commissions, slippage of 0.05% per side, so the equity curve is after costs.
When did live trading start?
Live trading started in January 2024. The equity curve shows the backtest from 2000 and real performance from that point on.
What's included in the download?
Complete RealTest .rts source code. Full Python implementation (.py script for independent backtesting). Plain-text trading rules document. Full documentation with parameter explanations.
How does it compare to SPY?
The chart at the top plots this strategy against SPY, the S&P 500 ETF, from 2000 with both starting at $100,000. A metrics table lists the exact numbers side by side: Sharpe, Sortino, net profit and worst year, for the strategy and for SPY over the same period.
Can I modify the code?
Yes. You get the complete source code (both RealTest and Python) with a perpetual single-user license. You can freely adjust parameters, rewrite position sizing, combine rules with other strategies, or embed the logic into your own custom quant pipeline.
What market data do I need?
For RealTest, Norgate Data (US Stocks Platinum) is recommended for survivorship-free testing. For Python, you can use your own historical data (CSV/Parquet), Norgate, or free sources like Yahoo Finance for exploratory testing. The benchmark backtest metrics shown here use survivorship-free Norgate Platinum data.
Can I automate execution?
Yes. For RealTest users: daily signals are generated in RealTest and automated via OrderClerk directly to Interactive Brokers (automation course available). For Python users: you can generate signals directly in your Python workflow and route orders to Interactive Brokers (via the IBKR API / ib_insync) or any broker that supports an API.
Can I ask questions about the code or the strategy?
Yes. Email info@setupalpha.com and you will get an answer, before or after you buy.
Changelog
2024-01-08Rules finalised. Live tracking starts.
No rule changes since.
Portfolio growth since 2000
1,439.7%
SPY same period: 489.0%
$999one-time
Instant download
| Metric | Strategy | SPY |
| Sharpe | 0.88 | 0.48 |
| ROR | 10.76% | – |
| Sortino | 0.7 | 0.45 |
| MAR | 0.58 | – |
| Net profit | $1.4M | $489k |
| Expectancy | 9.03% | – |
| Max exposure | 100.8% | 100% |
| Worst year | -2.2% | -33.2% |
Download the complete strategy now
Active Script - C:\REALTEST\Strategies\etf_rotation_monthly_rebalance.rts
Python backtest code (.py)
Full Python script. Implements the exact same strategy rules for independent backtesting.
RealTest ETF Rotate Monthly Rebalance Investing Strategy
$999one-time
Instant download