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Sector "Value" Strategy

Thought I would share this simple algorithm. Attempts to purchase "oversold" sectors (45 day rsi <35) and sells once rsi reaches 65. I am interested to see how this would perform when mixed with a sector momentum strategy.

Clone Algorithm
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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Volatility
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 568820c46035251176878d4c
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1 response

Harrison, try analyzing your strategy in a tearsheet for more insight into portfolio returns. At first glance it looks like the returns are derived from the beta (correlation to the market) rather than alpha (value of strategy). The tearsheet will give you greater detail!

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