CLAUSE · BACKTEST REPORT · HYPOTHETICAL PERFORMANCE

Tech-energy momentum switch

“Hold whichever of tech (XLK) or energy (XLE) has the stronger 60-day momentum”

Tested over November 2024 to August 2026. On data sealed Aug 21, 2026. Published 23 August 2026.

The contract

1. Universe. Trade only XLK, XLE.
2. Signal. Each week on mon at 09:35 ET, read XLK’s 60-day rate of change.
3. Signal. Also read XLE’s 60-day rate of change.
4. Entry. If xlk_roc exceeds xle_roc, set the target allocation of XLK to 100% and set the target allocation of XLE to 0%.
5. Entry. Otherwise, set the target allocation of XLK to 0% and set the target allocation of XLE to 100%.

Equity vs SPY buy-and-hold

STRATEGYSPY BUY-AND-HOLD▲▽ FILLSlinear scale

Tear sheet

TOTAL

+50.4%

CAGR

+26.7%

VOL

27.3%

SHARPE

1.02

SPY SHARPE

–

BUY-AND-HOLD SHARPE

–

SORTINO

1.47

MAX DD

−24.1%

LONGEST DD

–

BETA

0.83

GROSS

–

GROSS MAX

–

NET

–

LONG

–

SHORT

–

TRADES

TURNOVER

–

COST DRAG

–

CAPACITY

–

FINAL VALUE

$150,380 from $100,000

MARGIN NOTES

most of the return came from 2026-01-26 to 2026-06-01 — one stretch carries the result

Per-clause attribution

Each number re-runs the backtest with that clause removed and shows what it contributed, so they do not add up to the total.

Clause 4

+28.6%

Clause 5

−9.4%

About these numbers

Window

Tested from Nov 18, 2024 to Aug 10, 2026. On a copy of the market sealed Aug 21, 2026.

Costs

Every fill pays spread and slippage. This run predates the written cost model; run it again to see the assumptions key by key.

Attribution

Each clause's share of the result is measured by re-running the backtest without it.

Hypothetical performance on historical data. The same contract on the same data and cost model reproduces this number exactly. Backtests are not indicative of future results.