$100k in SPY from 02 Jan 2015

$100,000 deployed into SPY on the first available OHLC date. Held throughout with no further action. Benchmark for the M-Signal Portfolio.

SPY + sector rotation on M signals

Start in SPY. On each M signal (sector ETFs: XLB, XLC, XLE, XLF, XLI, XLK, XLP, XLRE, XLU, XLV, XLY): commit 10% of current total portfolio value (SPY balance + all open positions) to that ETF, sell SPY to fund it, enter at T0+1 close. At inception ($100k start, no open positions) that's $10,000. Exit after 38 trading days, re-enter SPY. Skip if SPY balance < position size.

Hold for the full slider period

Each sector ETF position runs for exactly 38 trading days, then exits back to SPY at close. No early exits. This is the baseline M-Signal Portfolio behaviour.

Exit early on broad-market M Signal

At entry, each sector ETF position is assigned the next broad-market M Signal (SPY, QQQ, DIA, or IWM) that falls within its holding window as an early-exit date. If no broad signal falls within the window, it holds for the full period. Each position is evaluated independently — concurrent positions may exit on different dates. 26 trigger dates.

Enter all M signals + early exit

Adds QQQ, DIA, and IWM as tradeable positions alongside the sector ETFs. Each position still uses broad-market early exit: if a SPY/QQQ/DIA/IWM M Signal fires within the holding window, the position exits early at that signal's T0+1 close. SPY M signals are not entered (already in SPY).