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Financials XLF
Today’s Change

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About

Daily switch among XLF, FAS, and FAZ using XLF’s 10‑day RSI: buy 3x bull (FAS) when very weak, 3x bear (FAZ) when very hot, otherwise hold XLF. Seeks short‑term reversals in U.S. financials; leveraged legs are high risk.
NutHow it works
Each day it checks a 10‑day RSI on XLF, a fund of big U.S. financial stocks. RSI is a 0–100 “heat meter” of recent moves: low = very weak, high = very hot. If RSI<25 (oversold) it buys FAS (a 3x up bet on financials). If RSI>88 (overbought) it buys FAZ (a 3x down bet). Otherwise it holds XLF.
CheckmarkValue prop
Out-of-sample results show ~38.2% annualized return vs ~17.7% for the S&P 500, with higher risk-adjusted Sharpe (~1.34 vs ~1.0) and lower max drawdown (14.1% vs 18.8%), plus a strong Calmar (~2.70).
Invest in this strategy
OOS Start Date
Jun 25, 2024
Trading Setting
Daily
Type
Stocks
Category
Financials sector, rsi, mean reversion, leveraged etfs, daily rotation, tactical
Tickers in this symphonyThis symphony trades 0 assets in total
Ticker
Type