Share New Research 
Introduction
Sector rotation is a popular strategy with which capital is actively reallocated from one sector to another based upon changing market conditions.
Method
This algorithm is an adaptation of asset class momentum. Instead of rotating ETFs in different asset classes, the sector momentum algorithm picks 10 sector ETFs and pick 3 ETFs with the strongest 12-month momentum into the portfolio and weight them equally. The portfolio is rebalanced at the start of each month by a Scheduled Event.
Derek Melchin
See the attached backtest for an updated version of the algorithm in PEP8 style.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Jing Wu
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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