BTS Zones — Major Indexes Backtest Results

BTS Zones — Major Indexes is a long-only SPY-relative heatmap allocation strategy built to pursue stronger participation in recurring major-index windows from the premise that Relative Strength and Relative Weakness Zones can guide when to rotate into selected equity ETFs, hold SPY, or move defensively to SHY.

Jump to >> Rules and mechanics · Full backtest history · Advanced insights and diagnostics

Strategy summary

BTS Zones — Major Indexes is an offense-first, SPY-relative rotation model. It uses Relative Strength Zones to identify when selected major-index ETFs can take priority over SPY, keeps SPY as the neutral default when no Relative Strength Zone has priority, and uses SHY only after a confirmed Relative Weakness Zone warning.

The personality of the strategy is participation first, defense second: Relative Strength Zones drive the return-seeking behavior, SPY keeps the model invested when no zone has priority, and Relative Weakness Zones act as a confirmed defensive backstop rather than a bearish signal.

The offensive ETF set covers five major U.S. equity-index groups:

  • Nasdaq-100: QQQ
  • S&P MidCap 400: MDY
  • S&P SmallCap 600: IJR
  • Dow Jones Transportation Average: IYT
  • Dow Jones Utility Average: XLU

Relative Strength Zones identify ETFs that may become eligible for offensive allocation after the ETF confirms strength. Relative Weakness Zones are warning windows; they do not create shorts or inverse exposure, but they can move the portfolio from SPY to SHY after downside confirmation.

The strategy is long-only and designed to allocate across one of three states: confirmed Relative Strength Zone ETFs, SPY, or SHY. It does not rank ETFs, volatility-weight positions, use leverage, short securities, or add discretionary overrides.

What this strategy is not

  • Not a strategy that trades every symbol shown in the heatmap.
  • Not a strategy that automatically moves to SHY whenever no Relative Strength Zone ETF is active.
  • Not a bearish strategy that shorts the market, buys inverse ETFs, or uses leverage.
  • Instead: a three-state ETF allocation model: confirmed Relative Strength Zone ETFs first, SPY when no zone has priority, and SHY only after a confirmed Relative Weakness Zone warning.

Report summary

ItemValue
StrategyBTS Zones — Major Indexes
CategoryTactical allocation / Relative strength
UniverseQQQ, MDY, IJR, IYT, XLU, SPY, SHY
Trade DirectionLong-only allocation
Free Preview Window2021–2025 (5 years); BTS uses the five most recent whole calendar years for free previews.
Full Backtest Period2004–2025 (22 years); BTS uses the available whole-calendar-year window supported by required ETF history and methodology rules.
Window Start RuleThe test begins in 2004 after all five offensive ETF proxies, SPY, and SHY have valid history. The strategy starts with no open zone positions; when no confirmed Relative Strength Zone position is active, it holds SPY unless a confirmed Relative Weakness Zone warning calls for SHY.
Starting Capital$10,000
Primary BenchmarkSPY buy-and-hold
Methodology VersionBTS-3377
Publication DateJune 27, 2026
Source / CreditBrian Ernest Metzger; BTS Zones methodology and Major Indexes Heatmap

Benchmark summary

The primary benchmark is buy-and-hold SPY. That benchmark preserves the broad U.S. equity exposure and SPY-relative reference point used by the Major Index heatmap while removing the active zone overlay.

The strategy changes that passive baseline by rotating into confirmed Relative Strength Zone ETFs, holding SPY when no zone has priority, and moving to SHY only after the ETF tied to an active Relative Weakness Zone confirms downside weakness.

The benchmark does not hold the offensive ETF set as a basket, does not use Relative Strength Zone or Relative Weakness Zone windows, and does not move between SPY and SHY. It is the passive SPY control line for this SPY-relative strategy.

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

  • Primary Benchmark: buy-and-hold SPY.
  • Preserves: broad U.S. equity-market exposure and the SPY-relative reference point used by the heatmap.
  • Removes: Relative Strength Zone rotation, Relative Weakness Zone defensive confirmation, SPY/SHY allocation choices, and active reallocation.
  • Excludes: passive ownership of the offensive ETF set, SHY holdings, zone-based rotation, OEF, DIA, and $SPX as a tradable holding.

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.

In this five-year free preview, BTS Zones beat buy-and-hold SPY on CAGR and ending capital, with slightly higher volatility and a slightly smaller max drawdown. The preview shows recent strength, but the full report is needed to evaluate the complete path: stronger long-run compounding, a severe equity-like drawdown, and benchmark-relative lags during some rolling windows.

CategoryMetricStrategyBenchmark
ActivityTime in Market100.0%100.0%
ActivityTrades per Year43.8—
ActivityWin Rate60.6%—
RiskVolatility18.8%17.1%
RiskMax Drawdown-23.7%-24.5%
RiskSharpe Ratio1.00.9
RiskCalmar Ratio0.80.6
ResultCAGR18.3%14.7%
ResultEnding Capital$23,156$19,791
2021–2025, whole calendar years. Ending Capital is final value of a rebased $10,000 starting account. Benchmark is a passive hold, not a recurring trade system, so benchmark Trades per Year and Win Rate are not reported. Terminal reporting closes are excluded from Strategy Trades per Year and Win Rate and do not reduce Time in Market.

Create a free account

Create a Free Account to unlock the decision rules, signal illustration, and backtest mechanics behind this strategy preview. No payment or credit card is required.

Free Account unlocks:

Decision rules: see exactly what was tested before interpreting the preview result.
Signal illustration: follow the strategy from input data to signal state to portfolio action.
Backtest mechanics: understand how the strategy, benchmark, execution timing, costs, dividends, and cash handling are connected.
Strategy updates: get notified as new BTS strategy research and diagnostics are added.
No payment or credit card required
Create a Free Account

Upgrade to Pro

Upgrade to Pro to review the full backtest history, full scorecard metrics, equity curves, drawdown profiles, caution flags, failure modes, tradeoffs, and portfolio-role framing.

Everything in Free plus:

Full backtest history: access the complete tested record so the preview result can be evaluated in full context.
Full scorecard metrics: compare the complete return, risk, drawdown, activity, CAGR, and ending-capital record against the benchmark.
Equity curves: see the strategy’s path personality: how it behaves across market environments, where it gains or loses ground, and how its journey compares with the benchmark.
Drawdown profiles: evaluate the losses, recovery periods, and time underwater that shape the real investor experience.
Strategy caution flags: see the key interpretation risks before drawing conclusions from the headline result.
Failure modes and tradeoffs: see what the strategy gave up, where it struggled, and what the tested tradeoff required.
Portfolio-role framing: connect the backtest to its possible Benefit, Cost, and Role in a broader portfolio context.
Upgrade to Pro

Upgrade to Ultra Pro

Upgrade to Ultra Pro to unlock advanced diagnostics by month, year, regime period, rolling window, and implementation logic.

Everything in Pro plus:

Pseudocode strategy logic: convert the written rules into a clear implementation sequence with signal timing, state handling, and target-output logic.
Monthly and annual returns: see when the strategy actually made or lost money across the calendar record.
Calendar-return summary: separate consistent behavior from standout years, weak years, and flat years.
Regime-filtered results: compare how the strategy behaved in benchmark up years versus benchmark down years.
Rolling-window diagnostics: test whether the result depended on the full sample or held across many start and end dates.
3-year rolling windows: examine shorter holding-period outcomes, including best cases, worst cases, and benchmark-relative consistency.
5-year rolling windows: evaluate longer-window durability and whether the strategy’s defensive profile persisted over fuller market cycles.
Implementation guardrails: avoid accidentally testing a different strategy by changing timing, cash treatment, window rules, or state logic.
Upgrade to Ultra Pro

Further research