4.1
Sector Momentum Rotation
PYTHON PLUGIN
Etf
Momentum
Description
Strategy 4.1: Rank sector ETFs by 3-month momentum, long top / short bottom
Strategy Logic
Strategy 4.1: Sector Momentum Rotation.
Rank sector ETFs by 3-month momentum (ROC over 63 trading days).
Go long the top-ranked sectors, short the bottom-ranked sectors.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| momentum_period | 63 | int |
| top_n | 3 | int |
| bottom_n | 3 | int |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 10.0% |
| Stop Loss Pct | 5.0% |
| Take Profit Pct | 10.0% |
| Max Drawdown Pct | 15.0% |