Price & Market BehaviorExtended setexperimental liveNew

Sector Spy Conditional

Updated dailyData needs: lowlong onlyshort onlylong short

2021

Brown-Davies-Ringgenberg 2021 RFS -- ETF Arbitrage, Non-Fundamental Demand, and Return Predictability.

In plain terms

Whether the market overall is trending up or down conditions how strongly sector leadership translates into individual stock performance.

How it works

Individual stock momentum is conditional on SPY regime: in bull-SPY periods (SPY 20d RS > 0), sector leaders are amplified; in bear periods, sector laggards are accelerated to the downside. Conditioning on SPY removes regime noise from pure sector RS signals.

Live results

411 times picked on its own · 606 times inside a blend (512 beat the stock) · updated 2026-07-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 606 such blended picks (512 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Sector ETF prices
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Tested over: 2005-2019 (Brown-Davies-Ringgenberg)

SPY-conditional sector signal reduces drawdown by ~30% vs unconditional sector RS.

Related families

Sector Rs Leader FollowerPrice & Market Behavior

Stocks in sectors with the strongest relative strength versus the S&P 500 tend to outperform those in the weakest sectors over the next 1-3 months.

ETF Ownership CrowdingPrice & Market Behavior

Stocks with disproportionately high ETF ownership experience predictable price dislocations when ETFs rebalance, creating short-term mean-reversion opportunities.

Explore Sector Spy Conditional on alphactor.ai

See which tickers this family is currently firing on, with live signals and rankings.

Open universe with this filter →Browse all 573 families