Antonacci Dual Momentum Sector Rotation
Lab started: 2026-01-11  ·  Last run: 2026-07-24  ·  $100k base · $10k/trade
A sector momentum rule that rotates toward the strongest names and away from the weakest.
Signal Brief
Quant Thesis

Antonacci dual momentum tests whether rotating into the strongest sector ETF can outperform passive market exposure.

Plain English Description

A sector momentum rule that rotates toward the strongest names and away from the weakest.

Total Equity
$105,849
Net P&L
$+5,849
Return
+5.85%
Win Rate
47%
Strategy
Antonacci Dual Momentum Sector Rotation
Sharpe Ratio
0.55
Max Drawdown
-3.8%
Avg Win
$+1,861
Avg Loss
$-979
Realized / Unrealized
$+5,192 / $+837
Equity Curve
Drawdown
Open Positions (3)
TickerEntryCurrentP&LOpenedConsec↓MA
XLK $190.52 $175.88 $-2,017.92 (-7.7%) 2026-06-30 0
XLE $53.11 $59.62 $+3,218.91 (+12.3%) 2026-06-30 0
XLI $185.23 $182.66 $-364.36 (-1.4%) 2026-06-30 0
Portfolio Stats
CASH$26,230.73
BORROWED$0.00
ACCRUED INT.$0.00
OPEN POSITIONS3
TOTAL TRADES15
WINNERS7
WIN RATE46.7%
SIM START2026-01-11
Trade Log (last 30)
DateActionTickerPriceSharesValueP&LNotes
2026-06-30 BUY XLI $185.23 141.7728 $26,260.58 — CASH
2026-06-30 BUY XLE $53.11 494.4565 $26,260.58 — CASH
2026-06-30 BUY XLK $190.52 137.8364 $26,260.58 — CASH
2026-06-30 SELL XLI $185.23 152.3418 $28,206.87 $+1,154.11 (+4.4%) rebalance
2026-06-30 SELL XLE $53.11 468.5546 $24,873.60 $-1,501.34 (-5.7%) rebalance
2026-06-30 SELL XLK $190.52 138.0742 $26,294.59 $-80.34 (-0.3%) rebalance
2026-05-29 BUY XLI $173.13 152.3418 $26,374.94 — CASH
2026-05-29 BUY XLE $56.29 468.5546 $26,374.94 — CASH
2026-05-29 BUY XLK $191.02 138.0742 $26,374.94 — CASH
2026-05-29 SELL XLI $173.13 148.9331 $25,773.50 $-227.24 (-0.9%) rebalance
2026-05-29 SELL XLK $191.02 163.0140 $31,127.38 $+3,229.79 (+12.4%) rebalance
2026-05-29 SELL XLE $56.29 435.8883 $24,524.84 $-1,475.89 (-5.7%) rebalance
2026-04-30 BUY XLI $174.58 148.9331 $26,000.74 — CASH
2026-04-30 BUY XLK $159.50 163.0140 $26,000.74 — CASH
2026-04-30 BUY XLE $59.65 435.8883 $26,000.74 — CASH
2026-04-30 SELL XLI $174.58 155.0431 $27,056.08 $+1,248.00 (+5.0%) rebalance
2026-04-30 SELL XLK $159.50 188.6766 $30,082.41 $+3,154.59 (+12.6%) rebalance
2026-04-30 SELL XLE $59.65 409.3230 $24,404.82 $-670.30 (-2.7%) rebalance
2026-03-31 BUY XLI $161.73 155.0431 $25,075.13 — CASH
2026-03-31 BUY XLK $132.90 188.6766 $25,075.13 — CASH
2026-03-31 BUY XLE $61.26 409.3230 $25,075.13 — CASH
2026-03-31 SELL XLU $45.89 536.2566 $24,597.47 $-820.35 (-3.2%) rebalance
2026-03-31 SELL XLE $61.26 457.5089 $28,015.50 $+1,636.54 (+6.4%) rebalance
2026-03-31 SELL XLI $161.73 143.8932 $23,260.69 $-2,157.13 (-8.5%) rebalance
2026-02-27 BUY XLU $47.40 536.2566 $25,417.82 — CASH
2026-02-27 BUY XLE $55.56 457.5089 $25,417.82 — CASH
2026-02-27 BUY XLI $176.64 143.8932 $25,417.82 — CASH
2026-02-27 SELL XLE $55.56 492.9157 $27,373.45 $+1,495.27 (+6.0%) rebalance
2026-02-27 SELL XLI $176.64 151.5368 $26,756.68 $+1,106.71 (+4.4%) rebalance
2026-02-27 SELL XLK $138.59 173.9719 $24,099.16 $-900.84 (-3.6%) rebalance