Spreadsheet: 583753d1532623864-maximization-problem-excel-help
Sheet: P1

Rotational ETF Ranking - MONTH DAY YEAR  BT (Trade Day MONTH DAY)
ETF | 15D Return | 15D Volatility | 30D Return | 30D Volatility | Combined Rank | 90D Return | 90D Volatility | 180D Return | 180D Volatility |  | 15D [NAME] | 30D Ratio | 90D [NAME] | 180D [NAME] | Logical [NAME] |  | Jan 4th | Bought
ACWV | 0.01380262 | 0.05692748439898394 | 0.01683752 | 0.08173286185348601 |  | 0.005047296999999999 | 0.1006923702690847 | -0.04147671 | 0.09553364452949725 |  |  |  |  |  |  | 1
AOA | 0.01192129 | 0.0523553665635578 | 0.009379327 | 0.06915228422274913 |  | 0.03206442 | 0.09171341712595185 | 0.0366557 | 0.1082540396062633 |  |  |  |  |  |  | 2
AOM | 0.00916798 | 0.0352887567778875 | 0.007177411 | 0.04681525312173237 |  | 0.006326789 | 0.05192431872329691 | 0.005977204000000001 | 0.05806473124038706 |  |  |  |  |  |  | 3
AOR | 0.01243967 | 0.04004612146760166 | 0.009222407 | 0.0535567468046021 |  | 0.01994291 | 0.06994341637210688 | 0.0229434 | 0.08090378235730618
BNDX | -0.002584445 | 0.02804712095130828 | 0.004683911 | 0.03833264006316518 |  | -0.01604226 | 0.0345590204510286 | -0.02130499 | 0.03347008474919605
CMF | 0.00356339 | 0.0354838096519959 | 0.005848948000000001 | 0.05010623229872437 |  | -0.02726581 | 0.04874921148818415 | -0.04038982 | 0.03834074064424595 |  |  |  |  |  |  |  | Started | 10000
CVY | 0.007909039 | 0.07287910868583466 | 0.008407027000000001 | 0.0808371033952763 |  | 0.07689868 | 0.1093501639753503 | 0.06762568 | 0.1267801842377911 |  |  |  |  |  |  |  | Ended
CWB | 0.008900744 | 0.08352965813819015 | 0.01944444 | 0.08076394410378186 |  | 0.03416697 | 0.09476337553252447 | 0.05782698 | 0.0919810660362457
DLS | 0.0292142 | 0.07044392176770793 | 0.01173407 | 0.08772390010235298 |  | 0.02977371 | 0.1062886541654974 | 0.07091604 | 0.1663184362621445
EFG | 0.02602526 | 0.06841393255755518 | 0.02225549 | 0.09819810340118887 |  | -0.01244691 | 0.1167499869401665 | -0.02086735 | 0.1609147188853377
EMLC | 0.002330799 | 0.06670202176898975 | 0.005186507999999999 | 0.0950821880095338 |  | -0.05181901 | 0.1410710819021179 | -0.0553911 | 0.1343980197524873
EWC | 0.02570004 | 0.09933540521200973 | 0.002493601 | 0.1104553999009953 |  | 0.06874466 | 0.1431436846958227 | 0.06285628 | 0.1526838969978151
FENY | -0.02865128 | 0.1129218259914132 | -0.02626584 | 0.2078904859711439 |  | 0.0567201 | 0.2097040823066045 | 0.07176933 | 0.206548813326329
FHLC | 0.03219981 | 0.0992753087819067 | 0.04558394 | 0.1026829865919971 |  | 0.03024907 | 0.1506442053626368 | -0.01338137 | 0.141664287188562
FLRN | -0.001165665 | 0.02592368069352247 | 0.000465859 | 0.0240411813992121 |  | 0.001196792 | 0.02276899506815838 | 0.007220453999999999 | 0.02013810049620353
FNDF | 0.02070882 | 0.08040662949112515 | 0.01167562 | 0.09998761479287152 |  | 0.05560846 | 0.1274997276341674 | 0.07242579 | 0.1849178982141337
FREL | 0.01890836 | 0.1296009437387463 | 0.01330317 | 0.1572765186963725 |  | 0.01546647 | 0.1820504703233818 | -0.05076536 | 0.1551455802612933
GMF | 0.05733266000000001 | 0.1180700400965874 | 0.00241438 | 0.1396958641310213 |  | -0.03189896 | 0.1702494513818369 | 0.02292973 | 0.1703680623281277
GVI | 0.006124858 | 0.02132366293748773 | 0.004752576 | 0.02406582650938465 |  | -0.01476511 | 0.02292222119322956 | -0.01726145 | 0.02287392674576495
GXC | 0.07314993 | 0.1282522348987456 | 0.006495231000000001 | 0.1534548130595581 |  | -0.03340486 | 0.1839662943202717 | 0.06393751 | 0.1888438151013597
HYEM | 0.007147934 | 0.05273717697980011 | 0.01598253 | 0.05446270475738035 |  | 0.004754488 | 0.07625000565560454 | 0.04022205 | 0.06315783052903665
HYMB | 0.01108044 | 0.03257646530537989 | 0.01890558 | 0.07161638945786121 |  | -0.028218 | 0.08213435183505087 | -0.03714363 | 0.05990179145728402
IBDL | 0.004372043 | 0.02383861213127184 | 0.002973669 | 0.02877215328157729 |  | -0.01189013 | 0.03046407041208362 | -0.01137232 | 0.02825966934091547
IBMG | 0.003833372 | 0.01700446261964972 | 0.002099113 | 0.0199837220060737 |  | -0.001230722 | 0.01558446775666548 | -0.004700623 | 0.01390380717531946
IEFA | 0.02317327 | 0.0706659953532168 | 0.01574403 | 0.09508459553039582 |  | 0.0272416 | 0.116352968723183 | 0.04036927999999999 | 0.175961906756348
IEMG | 0.05213844 | 0.1222165249285706 | 0.0109881 | 0.1494021247494615 |  | -0.01742428 | 0.1958611407949347 | 0.02263002 | 0.1948923923038435
IEUR | 0.02031714 | 0.07913778854072259 | 0.02137047 | 0.1063524634441329 |  | 0.03151563 | 0.1279992382884387 | 0.03228467 | 0.2102809540419866
IJH | 0.00552485 | 0.1162681351056647 | -0.005811782 | 0.1126690816043884 |  | 0.1055102 | 0.1340700130559828 | 0.09713092 | 0.1421501472508153
ILF | 0.05684751 | 0.162328607917932 | 0.0188502 | 0.2337622733547564 |  | -0.01177101 | 0.3011526257379428 | 0.05296017 | 0.2955972806657753
ILTB | 0.02655311 | 0.07450460600361966 | 0.03356874 | 0.08664714277691644 |  | -0.04767316 | 0.100673993814626 | -0.0713985 | 0.09474743142306105
INDA | 0.04136346 | 0.143384345196334 | -0.006715386 | 0.1477938961294821 |  | -0.07730408999999999 | 0.2005668564450075 | -0.06367914 | 0.1878671497394719
IPAC | 0.03004078 | 0.09889830155310475 | 0.005642811 | 0.1155764840318711 |  | 0.02879115 | 0.1205554390666841 | 0.05888761 | 0.1402769055570688
IPE | 0.01189134 | 0.03667918072364369 | 0.01062806 | 0.0526813463704468 |  | -0.01262419 | 0.04870682328246328 | -0.01532639 | 0.04965346473301575
ITE | 0.006271303000000001 | 0.01932111645431237 | 0.00323528 | 0.02709755875970333 |  | -0.01541677 | 0.02530592626617248 | -0.02120226 | 0.02653365473429661
IVOV | 0.002607922 | 0.1269019144272937 | -0.0132655 | 0.1203578379198522 |  | 0.1273298 | 0.1454418852737741 | 0.1230726 | 0.1504275113637582
IWP | 0.01209475 | 0.1062720473828018 | 0.003631861 | 0.1053862535794926 |  | 0.05366013 | 0.1209459638881867 | 0.03810381 | 0.1302183209912851
IYF | 0.002350385 | 0.09733666142778304 | -0.001406479 | 0.1054918149693025 |  | 0.1456319 | 0.1280487265993427 | 0.1673862 | 0.1467040334384533
MGV | -0.00708492 | 0.0615822856575511 | 0.001147264 | 0.07222576676252956 |  | 0.09128116 | 0.1025904818206744 | 0.07804686 | 0.1099222754645927
MNA | 0.005166711000000001 | 0.02913487941239928 | 0.006538984 | 0.03075964146263123 |  | 0.02365817 | 0.04749223257358788 | 0.03588309 | 0.0550000859969166
MUB | 0.00704808 | 0.02125228636887238 | 0.007634408000000001 | 0.04219931904982235 |  | -0.02212113 | 0.03835806172864969 | -0.03338826 | 0.03600961359779328
NFRA | 0.01038783 | 0.07155090361918412 | 0.02030984 | 0.0965675900001812 |  | 0.01282992 | 0.1228375512804276 | -0.02840538 | 0.1279704918235501
NYF | 0.01024623 | 0.02667007368610948 | 0.007571621 | 0.05473921985094683 |  | -0.02366654 | 0.0442475716247822 | -0.03498115 | 0.03595733148300695
PBP | 0.01056708 | 0.05421052882192005 | 0.006085226999999999 | 0.04328670715878248 |  | 0.04059598 | 0.07188928839906851 | 0.0501686 | 0.07309177717210705
PFXF | 0.01625634 | 0.06856572838470151 | 0.02603516 | 0.08221329522826053 |  | -0.010605 | 0.09088213468149778 | -0.02909194 | 0.07372457075913416
PWZ | 0.01412371 | 0.03303029614404195 | 0.008612894 | 0.06347178435057375 |  | -0.02370776 | 0.05084776604623188 | -0.03692035 | 0.04638314272526203
QAI | 0.003153015 | 0.02256909056661449 | 0.004903081 | 0.03187197740386376 |  | -0.006535965 | 0.03346129176564351 | -0.01704703 | 0.03642085788878633
SCHC | 0.03161917 | 0.0832738154361014 | 0.01559424 | 0.09994334577541662 |  | 0.01017594 | 0.1195250423979036 | 0.01845148 | 0.1650315081086043
SCJ | 0.0317383 | 0.1014410596018314 | 0.02125566 | 0.1206716789276045 |  | 0.01819899 | 0.1236783503808739 | 0.05708512 | 0.1371183406883721
SGDM | 0.1872853 | 0.507221834379523 | 0.1064275 | 0.4909151288907191 |  | -0.001230699 | 0.5160902170098398 | -0.2750192 | 0.5017758499852838
SHYG | 0.00549455 | 0.02013665948497709 | 0.01129083 | 0.03196522983100958 |  | 0.02052692 | 0.04555928994506911 | 0.04720322 | 0.04463779318632637
SLQD | 0.00540217 | 0.01172883246811691 | 0.003175198 | 0.0147443536842663 |  | -0.004959389 | 0.01794802896507169 | -0.003417512 | 0.02088356386031387
SLV | 0.06706908 | 0.1701852638918286 | -0.003757071 | 0.2202802560628702 |  | -0.04444443 | 0.2529014515513706 | -0.1735065 | 0.2512523687025525
SNLN | 0.001603457 | 0.0194141895335076 | 0.004346538 | 0.01859560279583888 |  | 0.01468766 | 0.02031556056647481 | 0.03007916 | 0.02259060913842352
VAW | 0.008074915 | 0.1161354218845427 | -0.01234993 | 0.111750058175225 |  | 0.1124149 | 0.1385002654120802 | 0.07532774 | 0.1554878560190219
VB | 0.005379744 | 0.1238447597597175 | -0.007495781 | 0.1218786885135071 |  | 0.09857471999999999 | 0.1445640398478159 | 0.1032673 | 0.1488522395521736
VCR | 0.01314177 | 0.108422240937949 | -0.004697028 | 0.111961258135934 |  | 0.06495658 | 0.1196811285268807 | 0.04576494 | 0.1273788864933054
VGT | 0.01185353 | 0.09228061141050849 | 0.01665313 | 0.133224380966457 |  | 0.04756399 | 0.1318840658702254 | 0.1242005 | 0.1390815813804687
VIOG | -0.003709682 | 0.1457611433103239 | -0.0120138 | 0.1450006903038977 |  | 0.1156828 | 0.1586589096505122 | 0.1294151 | 0.1574989528442335
VIOV | -0.004940292 | 0.1640235790969978 | -0.02574349 | 0.1573942433862187 |  | 0.1466717 | 0.171461747776592 | 0.1565211 | 0.1665655567713376
VIS | -0.003230879 | 0.09025374335006577 | -0.01395938 | 0.09270748212569892 |  | 0.114544 | 0.1300699275548973 | 0.09183966 | 0.1374064733335325
VNQI | 0.0441538 | 0.08594004666101039 | 0.01390819 | 0.1183503692197134 |  | -0.003698336 | 0.138253271178902 | -0.03644816 | 0.1538133771833203
VOX | 0.002962993 | 0.1852940714480529 | 0.04284404 | 0.1741723543669508 |  | 0.09823119999999999 | 0.1721685202553555 | 0.01789698 | 0.1546972101490577
VPU | -0.01260856 | 0.1016898012542432 | 0.007577079 | 0.1601680185583895 |  | 0.03025099 | 0.1836520983699532 | -0.04823607 | 0.1575452845363238
VTEB | 0.007785973000000001 | 0.0258789393086639 | 0.007344882 | 0.04361394251146075 |  | -0.02039542 | 0.04391786569485549 | -0.03032251 | 0.03824237434558389
VTI | 0.003865355 | 0.0733000279728304 | 0.003815631 | 0.07925123091342486 |  | 0.07110849 | 0.1064823371943146 | 0.06784984 | 0.114277008381582
VUG | 0.01581799 | 0.07755055969661019 | 0.01661729 | 0.0920735241645746 |  | 0.03821419 | 0.1110704505418518 | 0.0385838 | 0.1148353098459657
XLP | -0.01190939 | 0.0627629044975328 | -0.004202232 | 0.1054094202546935 |  | -0.01009898 | 0.1227570512490563 | -0.06385202 | 0.1133741623907174
YYY | 0.01732519 | 0.02383407882327786 | 0.01568705 | 0.05609211558726521 |  | 0.005630385 | 0.09891724391542316 | 0.0270589 | 0.0907348337202936
RFR