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Utilities XLU
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About

A daily utilities-only strategy: use a 10-day RSI on XLU. When utilities look washed out (RSI<25), go 3x long with UTSL. When overheated (RSI>85), go -2x with SDP. Otherwise just hold XLU.
NutHow it works
Each day it checks a 10-day RSI on XLU, a broad utilities ETF. RSI is a 0–100 score of recent speed: low = very weak, high = very hot. If RSI < 25, buy UTSL (3x utilities) to play a rebound. If RSI > 85, buy SDP (-2x utilities) to bet on a pullback. Otherwise hold XLU. One holding at a time.
CheckmarkValue prop
Out-of-sample: ~28% annual return vs SPY ~19%; max drawdown ~9.7% vs ~18.8%; Sharpe ~1.58 vs ~1.05. RSI(10) on XLU with selective 3x/-2x leverage aims for higher, smoother risk-adjusted growth and diversification.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
Alpha
Beta
R2
R
0.06
0.74
0.27
0.52
Performance Metrics
Cumulative Return
Annualized Return
Trailing 1M Return
Trailing 3M Return
Sharpe Ratio
228.6%
14.99%
3.07%
6.63%
0.84
244.3%
15.62%
-1.07%
4.92%
0.66
Initial Investment
$10,000.00
Final Value
$34,430.12
Regulatory Fees
$35.51
Total Slippage
$214.59
Invest in this strategy
OOS Start Date
Jun 25, 2024
Trading Setting
Daily
Type
Stocks
Category
Utilities sector, rsi mean reversion, leveraged etfs, tactical rotation, daily rebalance
Tickers in this symphonyThis symphony trades 0 assets in total
Ticker
Type