How it works: On each trading day, measures what % of the 11 SPDR sector ETFs (XLB, XLC, XLE, XLF, XLI, XLK, XLP, XLRE, XLU, XLV, XLY) have their RSI below the oversold threshold. When that breadth reading reaches the trigger level, a LONG signal anchored on SPY is fired. An MA filter applies a tighter threshold when SPY trades above its 200-day EMA (bull regime) and a looser threshold when below. Only the LONG side is traded.

Default parameters: RSI length = 14 • RSI oversold threshold = 30 • % sectors oversold above 200 EMA = 18% • % sectors oversold below 200 EMA = 45% • MA filter = ON

Edge profile: ~1.5–2 independent triggers/year at H=45 (no-overlap). Win rate ~75–78% at H=45–120 bars. PF 4.5+ at H=45 (~2 month hold). Captures medium-term oversold regime reversals. Exit at 45 bars, no-overlap enforced in live.