Spreadsheet: 583753d1532623864-maximization-problem-excel-help
Sheet: P6

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 | 0.0117970900511204 | 0.07188140216940031 | 0.02211334745762716 | 0.05687055572266902 |  | 0.06719203649937788 | 0.06986604881680109 | 0.01740367501764095 | 0.08142452832223178 |  |  |  |  |  |  | 1
AOA | 0.001818549201858755 | 0.07216090372464837 | 0.005679513184584151 | 0.0631394147761569 |  | 0.04784729923395736 | 0.06349193232677242 | 0.04851564737541647 | 0.07775995432919483 |  |  |  |  |  |  | 2
AOM | 0.001936376210235125 | 0.0490285727684215 | 0.003602105846494785 | 0.03844160810838117 |  | 0.03225999316954176 | 0.04165474221932795 | 0.01555689881478961 | 0.04599371596051922 |  |  |  |  |  |  | 3
AOR | 0.002378121284185575 | 0.06290878321240062 | 0.005726556907659219 | 0.05132223296770991 |  | 0.03981863184160472 | 0.05033768388056347 | 0.03201315609523747 | 0.0595799197836037
BNDX | -0.00333024976873264 | 0.03128196147596463 | -7.749674073376234e-05 | 0.02806345723523359 |  | -0.002489975509190168 | 0.03262351187341329 | -0.02510235115077675 | 0.03206867259949884
CMF | 0.004125770867714929 | 0.02119841688685521 | 0.003514571863299176 | 0.02753133008561313 |  | 0.01064701122895362 | 0.04997918293741391 | -0.03155928836015909 | 0.03900304252568895 |  |  |  |  |  |  |  | Started
CVY | -0.01058710298363807 | 0.09469815409786758 | -0.01058710298363807 | 0.07973067600512794 |  | 0.01482863090088982 | 0.07962506934397617 | 0.06887262458711652 | 0.09811533844282423 |  |  |  |  |  |  |  | Ended
CWB | -0.004639392661324293 | 0.06178576627858284 | -0.009384195876523949 | 0.05825837563295531 |  | 0.03557386429849485 | 0.07216551034870007 | 0.0426367409057602 | 0.07917423435355483
DLS | 0.0201216658867569 | 0.09346491662324413 | 0.01758207561848457 | 0.07754098516641962 |  | 0.09773463272791694 | 0.07934000784921699 | 0.07236939916051344 | 0.09873061210013645
EFG | 0.02107450281982781 | 0.09473009524470685 | 0.02320047590719798 | 0.0743815787714911 |  | 0.08723135271807836 | 0.08783058552448805 | 0.0006990839777798463 | 0.1003831060474909
EMLC | 0.02542841348811486 | 0.128787739299284 | 0.02461988081031552 | 0.0969826825819334 |  | 0.07227805665018794 | 0.1309275664505939 | -0.004949025750781377 | 0.1162392006494125
EWC | -0.0212053571428571 | 0.1399131160380216 | -0.05291576673866083 | 0.1294817795073177 |  | 0.0003802281368820992 | 0.1271970072805966 | 0.03115568168840777 | 0.1309773135674163
FENY | -0.0377061494087253 | 0.177693801852511 | -0.03675007007381093 | 0.1695940383431801 |  | -0.09433810885501237 | 0.1836956376063752 | 0.01586514244899861 | 0.1902789570473775
FHLC | -0.01342324959403951 | 0.1059594449843946 | 0.01083683443233641 | 0.09814832009290755 |  | 0.08637324429574922 | 0.106463788820012 | 0.02190135881784849 | 0.1256335385497763
FLRN | -0.0003259452411995545 | 0.007624216778104528 | 0.002368866610820808 | 0.01411688458191774 |  | 0.002947359294377616 | 0.01934947143180238 | 0.00659320076439629 | 0.01819819830441654
FNDF | 0.01145038167938917 | 0.1127136885462509 | 0.01338432122370947 | 0.09418088539127827 |  | 0.05409705648369112 | 0.09781538406122933 | 0.0699302736597831 | 0.1128516936843824
FREL | -0.01790155219110945 | 0.1280330008611789 | -0.01380264381127283 | 0.1101095584816455 |  | 0.02362700409972884 | 0.1322167442036749 | -0.03537449982166885 | 0.1485124563178308
GMF | 0.03486127864897481 | 0.1507302124776017 | 0.0341975957527858 | 0.1211441785780877 |  | 0.152626629047427 | 0.1255660507518854 | 0.03883461603282234 | 0.1410357389787912
GVI | 0.002186987424822373 | 0.02610409333067216 | 0.0003094293391814329 | 0.02446490581873243 |  | 0.009452560189568082 | 0.02463804181054616 | -0.01608269729624989 | 0.0226199273602203
GXC | 0.0323709536307959 | 0.1702180268719538 | 0.02417854928704255 | 0.1452958295628638 |  | 0.1584852734922861 | 0.1390574891975846 | 0.02315262008815755 | 0.1580440026885383
HYEM | -0.00406008932196511 | 0.05503388917204205 | 0.004457953394123804 | 0.04866622962772223 |  | 0.03309556597489127 | 0.07092399687906771 | 0.02793805941269212 | 0.06230677561779403
HYMB | -0.002924754054772549 | 0.04103469853903541 | 0.001298825149017357 | 0.0339386384504153 |  | 0.01685810523993525 | 0.08456771534253842 | -0.03252525174344301 | 0.0613415278580847
IBDL | 0.0007889546351085297 | 0.02085605369798259 | 0.001532961175536363 | 0.01998998832023095 |  | 0.01339716347885789 | 0.02871131126929859 | -0.005827593805465825 | 0.02694384655607563
IBMG | -0.001015292102281684 | 0.02099809189646551 | -6.669027430528107e-05 | 0.0220546178927282 |  | 0.004735909276011974 | 0.02019257722117377 | 0.001651841456661751 | 0.0158429290954979
IEFA | 0.01877102886488413 | 0.1012673521170398 | 0.02184724689165218 | 0.08215792151176149 |  | 0.07552813610020581 | 0.08825948006831019 | 0.04357595878039366 | 0.1028149198744585
IEMG | 0.03233455486096148 | 0.1841147098605076 | 0.02856529209621983 | 0.1493243313598462 |  | 0.1440516005733397 | 0.1490084142233281 | 0.04881103449325574 | 0.1642741253263784
IEUR | 0.02326674500587544 | 0.1100699977728232 | 0.02834199338686805 | 0.08823719669627672 |  | 0.07932573128408515 | 0.09967302492551094 | 0.05071343486939739 | 0.1116748455522497
IJH | -0.02284057971014497 | 0.1236536682371905 | -0.02543940795559685 | 0.121761628401491 |  | 0.007953118459606667 | 0.1139982023110508 | 0.08745709916039135 | 0.1200564980614363
ILF | -0.01617507136060903 | 0.3204208795152579 | -0.02544769085768128 | 0.2809370032036347 |  | 0.1628648444416514 | 0.2700771957075156 | 0.1039026833150327 | 0.2637778895251012
ILTB | 0.006077529566359985 | 0.09045826056065161 | 0.004727995953752506 | 0.08432743225742552 |  | 0.03062808768001601 | 0.0855921956816875 | -0.06158637105073972 | 0.09224818252279739
INDA | 0.02805611222444893 | 0.199266580725295 | 0.05447070914696805 | 0.1608180574333603 |  | 0.1645856980703746 | 0.1714921442549279 | 0.02305777092879291 | 0.1707235170362813
IPAC | 0.009645148785243585 | 0.1147205899827948 | 0.009837962962962798 | 0.09253092471378713 |  | 0.06316003249390745 | 0.09494307895443936 | 0.03687979809178232 | 0.1070811924549586
IPE | 0.004071517082669507 | 0.05878925953623223 | -0.0001841308394930907 | 0.05030797904258991 |  | 0.02131521483140753 | 0.04859691409831141 | -0.01599851548028264 | 0.0468374592493284
ITE | 0.00426632625638268 | 0.02635937991202577 | 0.0004939705059492372 | 0.02745527784714931 |  | 0.00905353381755436 | 0.02722892009349012 | -0.01804914115416012 | 0.0250794442161134
IVOV | -0.02506816782478671 | 0.1262747120000435 | -0.0312035661218425 | 0.121893212578509 |  | -0.008231925554760378 | 0.1205678441707813 | 0.1021726002784575 | 0.1286786467134417
IWP | -0.00764836867073293 | 0.1044198913928001 | -0.01023561220548486 | 0.09742580383082006 |  | 0.03827269141229439 | 0.09250678014275278 | 0.05531321844516124 | 0.1044839764642696
IYF | -0.03809967396367031 | 0.1130196185894877 | -0.02832408017314381 | 0.1244860996302365 |  | 0.01106432977577598 | 0.1199162009963161 | 0.1412826010349009 | 0.117709377016301
MGV | -0.0191346565757532 | 0.07645872576809837 | -0.006508533410471529 | 0.08444326786194838 |  | 0.01477323090559923 | 0.07728923230981566 | 0.1013681041911738 | 0.08911269972212263
MNA | -0.001005361930295101 | 0.02264415781189058 | 0.006754474839581137 | 0.02472228320013941 |  | 0.01918752646011224 | 0.03744847105813047 | 0.02760187136380754 | 0.04740763744544589
MUB | 0.004350643339812832 | 0.02332819554503598 | 0.003912558887298578 | 0.02735867590758443 |  | 0.01267846573656017 | 0.03973859782868207 | -0.02685324174073678 | 0.03609987254903606
NFRA | 0.004653706693330095 | 0.09693190670190935 | 0.01296405481487128 | 0.07373192985002824 |  | 0.04702333211869036 | 0.08834235768240045 | 0.00340692494865058 | 0.1001127187377503
NYF | 0.002373345504335989 | 0.02418245256300145 | 0.002244111607806465 | 0.02690953649249729 |  | 0.01981593046751473 | 0.04561124721707656 | -0.0249312403072155 | 0.03580115537772884
PBP | -0.01266968325791851 | 0.05311252720585299 | -0.001372997711670654 | 0.04713995780306433 |  | 0.01582867783985109 | 0.04263294767007386 | 0.04500756221002478 | 0.05818528999423545
PFXF | -0.002512562814070196 | 0.08072007026603464 | -0.000869410155979411 | 0.0607183603717069 |  | 0.03480477498279333 | 0.08345854400475967 | -0.01874279471088613 | 0.07263168348108322
PWZ | 0.006172355839822563 | 0.02892181799336766 | 0.001396221239316819 | 0.03064881846344431 |  | 0.01329668613779789 | 0.05326955662791667 | -0.0385945867861891 | 0.04589083916728206
QAI | -0.003102378490175806 | 0.03481673893396211 | -0.002758620689655045 | 0.02822884591966703 |  | 0.008035032547887067 | 0.0278929438773683 | -0.01496849169622338 | 0.03358227155513824
SCHC | 0.01772234985231402 | 0.1172902237232623 | 0.005186385737439458 | 0.09289797927560688 |  | 0.07673611111111112 | 0.094119474042129 | 0.02104166589395429 | 0.1070412999231357
SCJ | 0.0129371677631529 | 0.071557978263712 | 0.01929555895865254 | 0.06143107444765764 |  | 0.08477051301692007 | 0.1016597132952031 | 0.05058119960051344 | 0.1105693922225912
SGDM | 0.08376963350785349 | 0.5080649882593209 | -0.06122448979591832 | 0.4205485623497837 |  | 0.1958405545927211 | 0.4657261830711331 | -0.1924943471395701 | 0.4639523320714486
SHYG | -0.01193467336683429 | 0.05436298222424563 | -0.006999227028386179 | 0.04090385781049147 |  | 0.01096873142232146 | 0.04183825846620873 | 0.02934213548790576 | 0.03911427802566913
SLQD | 0.0005966587112173904 | 0.01641161545181678 | 2.562925927263038e-06 | 0.01590326400204837 |  | 0.00940804736605183 | 0.01869078574595529 | -0.001356997887657196 | 0.01731807355826621
SLV | -0.01307189542483655 | 0.2465141345317671 | -0.02637749120750299 | 0.1915675235166588 |  | 0.09854497354497371 | 0.2241104432329765 | -0.121164021164021 | 0.2298325655247005
SNLN | -0.004401973734335818 | 0.02425032297214775 | 0.003627042606516362 | 0.02059252107809844 |  | 0.005280862576140466 | 0.01909778379076926 | 0.0200531052993318 | 0.02037010483340192
VAW | -0.01050596738947718 | 0.1493318801031555 | -0.01448183492382393 | 0.1318619424339711 |  | 0.02829941479605202 | 0.1202501775779518 | 0.1124710465078811 | 0.1309714977618189
VB | -0.02465814839722058 | 0.1348487175137393 | -0.03110154394299292 | 0.1312100079020051 |  | -0.0002695120916768046 | 0.1233337737058851 | 0.06666077081671284 | 0.1292188769532781
VCR | -0.003669994128009391 | 0.07407340892340679 | -0.004327734174429665 | 0.08600001902355363 |  | 0.02887895095884185 | 0.09112553452904502 | 0.08546635293942151 | 0.1019106634039424
VGT | -0.0005229734777735251 | 0.09041444564746529 | 0.006848799578535569 | 0.08392810872997707 |  | 0.08350206527901505 | 0.1094472424093534 | 0.1139302401348343 | 0.1108751334352754
VIOG | -0.02230369691414613 | 0.1619419778985915 | -0.03323262839879171 | 0.1521011732383224 |  | -0.01595914385370378 | 0.1503712551073837 | 0.0770474650937909 | 0.1443209775206969
VIOV | -0.02732194918783848 | 0.149945322326888 | -0.04200508655344992 | 0.1550664392211552 |  | -0.04693111328762656 | 0.1604399789291246 | 0.08478263195035884 | 0.1545498526938339
VIS | -0.02165432688480229 | 0.1194913904772337 | -0.018528871495887 | 0.1195370277628161 |  | 0.01688043028547792 | 0.1079190571589172 | 0.1189618454943873 | 0.1164317392705701
VNQI | 0.01743295019157087 | 0.119569450383791 | 0.01296967385084868 | 0.09297562652514482 |  | 0.08809670149559512 | 0.1089105226959695 | -0.02846907851017699 | 0.1156265970774669
VOX | 0.002384655261793656 | 0.1397155499793072 | -0.01996958945767868 | 0.1221429560354484 |  | -0.03271635817908936 | 0.1441008877843252 | 0.02765680968052564 | 0.1476843603559735
VPU | 0.009657983342193699 | 0.1422252423405716 | 0.04560469810974466 | 0.1294942885988272 |  | 0.0672473541256906 | 0.1453123151327837 | 0.03284505788144076 | 0.1577301109607508
VTEB | 0.003185347401950978 | 0.01790185522593516 | 0.001449721000614801 | 0.02522949573126117 |  | 0.01189579734806356 | 0.04340871376820341 | -0.02677779780777823 | 0.03602959158967892
VTI | -0.01390365584362485 | 0.08339498135141236 | -0.00610007419009162 | 0.0830875167989513 |  | 0.03458040157885689 | 0.07562653922161125 | 0.0852492724914109 | 0.09095870910140279
VUG | -0.004786663365519472 | 0.07294193179433144 | 0.006090438845319568 | 0.07265164752453915 |  | 0.07000596261481573 | 0.07734498913084126 | 0.07246857702819853 | 0.09118018521898873
XLP | 0.00783541553444489 | 0.05303541350650285 | 0.01597804467207165 | 0.05862425388034594 |  | 0.06322375697234861 | 0.09724243141500492 | 0.04031951757768804 | 0.101145081136343
YYY | -0.01590198123044817 | 0.1133245200049382 | -0.004811041672221239 | 0.08557868835829163 |  | 0.03982529394180245 | 0.08154323791449296 | 0.01673874760866245 | 0.0833535716126176
RFR