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AI US Sectoral Rotation [Period: 2005-2021]


The Matroid Evolved US Sector Rotation Strategy takes sector rotation to the next level, using a data-driven approach that captures the undervalued sector with the highest relative value and momentum at any given point in time, Using value and momentum investing principles to determine which sector to invest in.

US equity market momentum is always driven by one particular sector. We found some important, robust, and explainable financial features to capture different growing sectors at different times. Despite some may worry there is sector risk, the result is that this sector rotation strategy successfully outperforms S&P500.

Reasons why choose our strategy while others have better-realized performance.
A. First, better performance doesn’t indicate that it will be still good in the future. More importantly, you should look at the [1]investment thesis, [2]a number of experimental trials, [3]how many optimization variables does the trader use ,and [4] what data feed and how long backtest time period do they use.

Why they are important?
[1] Investment thesis: If the trading strategy is explainable, it is more difficult to be overfitted.
[2] More experiments you do, the higher probability of overfitting. "When selection bias (picking the best result) takes under multiple testing, the outcome is very likely to be a false discovery. <<Article: False Strategy Theorem by MAFFIA>>
[3] Reducing the number of variables can increase the robustness of the trading strategy.
[4] Longer appropriate backtest period can also increase its robustness. <<Article: Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance>>

Luckily, we realize these problems and we execute different strict methods to solve these issues.
More Details:

B. Our strategy has TOS certification.

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