BTS Strength Zones — Major Index ETFs Backtest

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BTS Strength Zones — Major Index ETFs strategy summary

BTS Strength Zones — Major Index ETFs is a long-only, event-driven tactical allocation strategy that uses eight published recurring calendar windows from the BTS Major Indexes Heatmap across QQQ, MDY, IJR, and IYT, with a portfolio-level VIX 50/35 regime controlling zone admission and SPY or SHY used when no zone is entered.

The strategy uses recurring calendar windows to seek targeted equity exposure. The VIX regime controls admission, scheduled zone endings control exits, and a blocked zone may enter later if the regime returns to ON while the zone remains active.

The traded set combines four offensive source-index mappings with two fallback ETFs:

Nasdaq-100: QQQ
S&P MidCap 400: MDY
S&P SmallCap 600: IJR
Dow Jones Transportation Average: IYT
Fallback assets: SPY / SHY

Once admitted, each ETF remains held through its scheduled BTS Strength Zone and exits at the Close of its final trading day. At target-decision events, all entered BTS Strength Zone ETFs are equal-weighted.

The portfolio remains long-only and targets full investment whenever a complete target is set; temporary cash may appear only between final-zone Close exits and the next-Open portfolio reconstruction. Entered BTS Strength Zone ETFs receive the full allocation; with zero entered zones, SPY carries the ON state and SHY carries the OFF state.

What this strategy is not

Not a VIX exit strategy: a later OFF signal does not terminate or resize a BTS Strength Zone that has already entered.
Not a relative-strength ranking model: the strategy does not select only the highest-ranked ETF or rotate into a single winner.
Not a fixed four-ETF basket or daily equal-weight portfolio: only entered zones receive weight, and routine market drift does not trigger rebalancing.
Instead: it is an event-driven allocation model that admits published BTS Strength Zones while the portfolio-level VIX regime is ON, holds admitted zones to their scheduled ending, and uses SPY or SHY when no zone is entered.

How to interpret BTS Zones

BTS Zones is a systematic historical framework for identifying recurring periods of relative strength across standardized BTS Weeks.

The Tools section publishes seven BTS Heatmaps, each for a different market universe. The corresponding backtest pages apply a consistent strategy framework to the published BTS Strength Zones for each heatmap, documenting how the zones translate into portfolio positions and trading decisions.

Our BTS Heatmaps methodology explains how Strength Zones are standardized for comparison across market universes.

All BTS Heatmaps use the same governing BTS Strength Zone formulas and the same qualification, ranking, overlap, and selection rules. BTS Heatmaps are not individually tuned. Candidate windows must demonstrate persistent relative strength, statistical support, sufficient move magnitude and concentration, and acceptable quality characteristics before they can qualify.

Within each BTS Heatmap, a BTS Strength Zone is a locked recurring BTS Week interval. The same interval is fixed for every year and is not selected again after each year’s results are known.

BTS Strength Zones are derived from historical data and should be understood as in-sample findings, not as forecasts or independent out-of-sample validation. Each page identifies the fixed universe used for its BTS Heatmap. On this page, the same four source-index mappings are used throughout the analysis.

The backtest applies the published BTS Strength Zones through a separate portfolio implementation. A recurring BTS Strength Zone does not necessarily produce a portfolio entry each year because entry also depends on asset eligibility, valid source history, and the portfolio-level VIX regime.

Execution, costs, dividends, portfolio accounting, and reporting follow the standard BTS Methodology.

Report summary

Item	Value
Strategy	BTS Strength Zones — Major Index ETFs
Category	Tactical allocation / VIX-regime BTS Strength Zones
Universe	QQQ, MDY, IJR, IYT, SPY, SHY; $VIX is a non-traded reference
Trade Direction	Long-only allocation
Free Preview Window	2021–2025 (5 years); BTS uses the five most recent whole calendar years for free previews.
Full Backtest Period	2004–2025 (22 years); BTS uses the available whole-calendar-year window supported by required ETF history and methodology rules.
Window Start Rule	The last valid pre-window $VIX Close establishes the opening regime; active BTS Strength Zones and the fallback allocation are then evaluated at the first strategy Open.
Starting Capital	$10,000
Primary Benchmark	SPY buy-and-hold
Methodology Version	BTS-3377
Publication Date	June 27, 2026
Source / Credit	Brian Ernest Metzger; BTS Zones methodology and BTS Major Indexes Heatmap

Benchmark summary

BTS Strength Zones are defined using relative performance versus $SPX. Separately, the primary portfolio benchmark is buy-and-hold SPY, which preserves continuous passive exposure to the broad U.S. equity market.

All reported performance measures the complete modeled BTS Zones portfolio implementation, not the BTS Strength Zone methodology in isolation.

For the benchmark-selection framework, see How to Choose the Right Benchmark.

Primary Benchmark: buy-and-hold SPY.
Preserves: continuous passive broad U.S. equity-market exposure.
Removes: the published BTS Strength Zone schedule, VIX-gated admission, major-index ETF selection, equal allocation across entered zones, scheduled exits, and the SPY/SHY fallback.
Excludes: a holdings-matched comparison using the same major-index ETF holdings. The performance difference versus SPY therefore cannot be attributed to the BTS Strength Zone schedule alone.

Key metrics: 2021–2025 free preview

The free preview is a recent-window orientation tool, not the complete evidence set.
A five-year free-preview window can be useful, but it can also overstate or understate the full historical tradeoff.
The full report expands the scorecard across the complete report window and adds the path-level interpretation behind the headline numbers.

The recent window was positive but mixed. BTS Zones produced 16.2% CAGR and $21,144 of ending capital versus 14.7% and $19,791 for buy-and-hold SPY. Strategy volatility was higher at 18.5% versus 17.1% for SPY, and strategy max drawdown was deeper at -26.1% versus -24.5%. The preview therefore supports a modest return edge, not a clean recent-window risk advantage.

Category	Metric	Strategy	Benchmark
Activity	Time in Market	98.8%	100.0%
Activity	Trades per Year	35.8	—
Activity	Win Rate	72.1%	—
Risk	Volatility	18.5%	17.1%
Risk	Max Drawdown	-26.1%	-24.5%
Risk	Sharpe Ratio	0.9	0.9
Risk	Calmar Ratio	0.6	0.6
Result	CAGR	16.2%	14.7%
Result	Ending Capital	$21,144	$19,791

2021–2025, whole calendar years. Ending Capital is final value of a rebased $10,000 starting account. Time in Market excludes terminal reporting closes. Win Rate uses FIFO closed-position observations. Benchmark is a passive hold, not a recurring trade system, so benchmark Trades per Year and Win Rate are not reported.

Free level unlocked

Rules and mechanics

This section explains how the tested strategy decides what to hold and how those choices differ from the benchmark.

Decision rules

Use the BTS heat map as the authoritative source for the published BTS Strength Zone windows and their timing.
Use exactly eight BTS Strength Zones across QQQ, MDY, IJR, and IYT, with SPY and SHY as fallback holdings. Use $VIX solely as a non-traded reference series.
Maintain one portfolio-level VIX regime. An OFF event occurs when $VIX Close(t) crosses strictly above 50; an ON event occurs when $VIX Close(t) crosses strictly below 35. Otherwise, retain the prior regime. Initialize the regime for the first strategy Open from the last valid pre-window $VIX Close: above 50 = OFF; otherwise ON.
At the first true Open of a BTS Strength Zone, enter its ETF when the regime for that Open is ON. When the regime is OFF, leave the zone active but unentered.
If an active zone was blocked while OFF, admit it at the first true Open after the regime changes to ON, but only when that execution Open remains inside the zone.
Once admitted, hold the ETF unchanged through its scheduled BTS Strength Zone and exit at the Close of the zone’s final true trading day.
When one or more BTS Strength Zone ETFs are entered, allocate 100% equally across the entered ETFs and allocate 0% to SPY and SHY. Active but unentered zones remain at 0%.
With zero entered BTS Strength Zone ETFs and the regime ON, allocate 100% to SPY.
With zero entered BTS Strength Zone ETFs and the regime OFF, allocate 100% to SHY.
Rebalance only at target-decision events: the first strategy Open, a BTS Strength Zone admission Open, the first true Open after final-zone Close exits, or a no-zone VIX transition that changes the SPY/SHY fallback.
At a final-zone Close, liquidate the ending BTS Strength Zone positions only. Hold the resulting cash temporarily and rebuild the complete target portfolio at the next true Open.

Illustration

The illustration below is a sample BTS Heatmap. BTS Weeks run across the top, green horizontal lines mark published BTS Strength Zones, and the black triangle marks the current BTS Week. The vertical separator lines divide the calendar into Quarters.

Sample BTS Heatmap with BTS Week labels across the top, green horizontal lines marking published BTS Strength Zones, a black triangle marking the current BTS Week, and vertical lines marking Quarter boundaries. — Figure 1. Sample BTS Heatmap. Green horizontal lines mark published BTS Strength Zones, the black triangle marks the current BTS Week, and vertical lines mark Quarter boundaries.

How to read the illustration

Black triangle: Marks the current BTS Week.
Green horizontal lines: Mark published BTS Strength Zones.
Vertical separator lines: Mark Quarter boundaries.
BTS Week labels: Label the BTS Weeks across the calendar year. See Tools — Methodology notes for more information about BTS Weeks.

View the BTS Major Indexes Heatmap to see the full schedule of published BTS Strength Zones.

Strategy and benchmark mechanics

The table below compares the strategy and benchmark mechanics side by side. The objective is to show what the active rules add, remove, or change relative to the benchmark.

Setting	Strategy	Benchmark
Portfolio Type	Long-only, event-driven tactical allocation.	Single-symbol SPY buy-and-hold benchmark.
Portfolio Construction	Equal-weight the full portfolio across entered BTS Strength Zone ETFs; with zero entered zones, allocate 100% to SPY while the regime is ON or 100% to SHY while it is OFF.	Allocate 100% to SPY after initial entry and hold it throughout the test.
Leverage / Shorting	No leverage and no short positions.	No leverage and no short positions.
Active Decision	Use published BTS Strength Zones and the VIX 50/35 regime to determine zone admission and the SPY/SHY fallback state.	Hold SPY continuously after the initial benchmark entry.
Signal Timing	Maintain one persistent portfolio-level VIX regime, initialized from the last valid pre-window $VIX Close and updated only on strict crossings above 50 (OFF) or below 35 (ON), effective at the next trading-day Open. A published BTS Strength Zone may be admitted only at an eligible Open while the regime is ON.	No recurring signal after the initial benchmark entry.
Execution Timing	BTS Strength Zone admissions and event rebalances occur at the applicable Open. Entered zones exit at their final-zone Close, with portfolio reconstruction at the next trading-day Open.	Initial SPY entry follows the benchmark execution convention; the position then remains buy-and-hold.
Cash Treatment	Residual cash from whole-share sizing and portfolio cashflows remains in cash and earns 0% until the next strategy action. Final-zone Close proceeds remain in cash until the next trading-day Open.	Residual benchmark cash remains in cash and earns 0% under BTS benchmark conventions.
Dividend Treatment	Ordinary dividends are posted to portfolio cash and become deployable at the next strategy action; they are not embedded in signal inputs.	The benchmark uses total-return accounting with ordinary dividends reinvested synthetically.
Costs	Strategy trades include commissions and spread-aware slippage under BTS execution-pricing conventions.	Benchmark entry and terminal reporting close use BTS benchmark transaction-cost assumptions; synthetic dividend reinvestment is costless.
Role in Comparison	Tests the published BTS Strength Zone schedule, VIX-gated admission, equal allocation across entered zones, and the SPY/SHY fallback rule.	Preserves passive U.S. equity exposure as the control for evaluating the strategy’s active decisions.