Mega-Cap Equal-Weight Trend Basket
RotationEqual-weights six mega-caps, each sleeve trading its own EMA-200 trend.
What this strategy does
Mega-Cap Equal-Weight Trend Basket is a rotation strategy that trades 6-stock basket on 1-hour bars. Equal-weights six mega-caps, each sleeve trading its own EMA-200 trend.
How it performed
Backtested on real 6-stock basket market data from 2023-07-01 to 2026-06-30 (3.0 years), this run returned +42.1%, or +12.4% annualized. It closed 494 trades with a 21% win rate. Risk-adjusted, that is a Sharpe ratio of 0.82, a Sortino ratio of 1.19 and a maximum drawdown of 19.6%.
| Symbol | 6-stock basket |
|---|---|
| Bar size | 1-hour |
| Strategy type | Rotation |
| Backtest period | 2023-07-01 → 2026-06-30 |
| Total return | +42.1% |
| Annualized return | +12.4% |
| Sharpe ratio | 0.82 |
| Sortino ratio | 1.19 |
| Max drawdown | 19.6% |
| Win rate | 21% |
| Closed trades | 494 |
Evidence
Full backtest
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Strategy rules & configuration
Past performance does not guarantee future results. Hypothetical.