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 +25.7%, or +7.9% annualized. It closed 101 trades with a 26% win rate. Risk-adjusted, that is a Sharpe ratio of 0.97, a Sortino ratio of 1.50 and a maximum drawdown of 7.9%.
| Symbol | 6-stock basket |
|---|---|
| Bar size | 1-hour |
| Strategy type | Rotation |
| Backtest period | 2023-07-01 → 2026-06-30 |
| Total return | +25.7% |
| Annualized return | +7.9% |
| Sharpe ratio | 0.97 |
| Sortino ratio | 1.50 |
| Max drawdown | 7.9% |
| Win rate | 26% |
| Closed trades | 101 |
Evidence
Full backtest
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Strategy rules & configuration
Past performance does not guarantee future results. Hypothetical.