Semiconductor Momentum Rotation

Rotation

Holds the top 3 semiconductor names by 20-day momentum, re-ranking weekly.

What this strategy does

Semiconductor Momentum Rotation is a rotation strategy that trades 6-stock basket on daily bars. Holds the top 3 semiconductor names by 20-day momentum, re-ranking 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 +306.0%, or +59.6% annualized. It closed 115 trades with a 47% win rate. Risk-adjusted, that is a Sharpe ratio of 1.16, a Sortino ratio of 1.71 and a maximum drawdown of 54.9%.

Key results
Symbol	6-stock basket
Bar size	daily
Strategy type	Rotation
Backtest period	2023-07-01 → 2026-06-30
Total return	+306.0%
Annualized return	+59.6%
Sharpe ratio	1.16
Sortino ratio	1.71
Max drawdown	54.9%
Win rate	47%
Closed trades	115

Evidence

Full backtest

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Strategy rules & configuration

CAT 35 Semis Top-N Rotation v3

NVDA, AVGO, AMD, MU, ASML, SMCI

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

Holds the top 3 symbols by their 20-bar rate of change, re-ranked weekly.

ConstructionRank-based · top 3 · 20-bar rate of change

RebalanceWeekly

Capital modelPartitioned

Past performance does not guarantee future results. Hypothetical.