Mega-Cap Signal-Proportional Book

Rotation

Weights six mega-cap tech names in proportion to their momentum, rebalancing weekly.

What this strategy does

Mega-Cap Signal-Proportional Book is a rotation strategy that trades 6-stock basket on daily bars. Weights six mega-cap tech names in proportion to their momentum, rebalancing weekly.

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 +75.6%, or +20.7% annualized. It closed 101 trades with a 38% win rate. Risk-adjusted, that is a Sharpe ratio of 0.89, a Sortino ratio of 1.33 and a maximum drawdown of 28.3%.

Key results
Symbol	6-stock basket
Bar size	daily
Strategy type	Rotation
Backtest period	2023-07-01 → 2026-06-30
Total return	+75.6%
Annualized return	+20.7%
Sharpe ratio	0.89
Sortino ratio	1.33
Max drawdown	28.3%
Win rate	38%
Closed trades	101

Evidence

Full backtest

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Strategy rules & configuration

CAT 36 MegaTech Signal-Proportional v3

AAPL, MSFT, AMZN, GOOGL, META, NVDA

This strategy has no entry, exit, or gate cards.

Its behaviour comes entirely from its basket and allocation settings — see Allocation above.

Strategy Config

Timeframe1d

Sizing95% equity (default)

Position policysingle (default)

Order typeMarket (default)

No risk limits configured

Allocation

Weights each symbol in proportion to its 20-bar rate of change, re-ranked weekly.

ConstructionSignal-proportional · 20-bar rate of change

RebalanceWeekly

Capital modelPartitioned

Past performance does not guarantee future results. Hypothetical.