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| Date | Action | Detail | Cost |
|---|
Rules (Quantpedia 2026): rank 9 sector SPDRs by trailing 252-day return. At D−10 close: long top-3 / short SPY · D−5: flat · D close: re-rank, long top-3 / short SPY · D+1: flip to long SPY / short top-3 · D+3: flat. D = last trading day of the month. ~200% gross while invested, needs margin for shorts.
Paper trading only — simulated fills at the close, 3 bps/side costs, no borrow fees modeled. Not investment advice. Data: Yahoo Finance daily bars.