[Backtest] Monte Carlo Dynamic Asset Rotation Lookback/Market Cap Sweep Report

Monte Carlo Dynamic Rotation Lookback/Market Cap Sweep Report

This report evaluates the 5-year performance of a Monte Carlo weight-optimized dynamic asset rotation strategy (investing in K=4 stocks) across various market capitalization size groups (10, 100, 200, 300, 500) and momentum analysis lookback periods (1 to 200 days).
Simulation Period: Jan 4, 2021 ~ Jun 25, 2026 (1,375 Trading Days)

★ Best Performing Parameter Combination

Market Cap Group: TOP 500
Momentum Lookback: 175 Days
Final Portfolio Value: $176,491.91
Compound Annual Growth Rate (CAGR): 69.1%
Maximum Drawdown (MDD): -33.42%

1. Benchmark Market Performance (Buy & Hold)

Strategy & Indicator	Final Assets ($)	CAGR (%)	MDD (%)
SPY (S&P 500 Hold)	$19,891.54	13.41%	-25.36%
QQQ (Nasdaq 100 Hold)	$23,822.06	17.22%	-35.62%

2. Recent Rebalancing Weights History (Last 5 Months)

Below is the asset weight allocation of the best parameter combination during the last 5 rebalancing events:

Rebalance_Date	Symbol_1	Weight_1	Symbol_2	Weight_2	Symbol_3	Weight_3	Symbol_4	Weight_4
2026-02-02	BE	0.1723	LITE	0.0974	WDC	0.4094	MU	0.3210
2026-03-02	LITE	0.3079	BE	0.1339	WDC	0.2960	CIEN	0.2621
2026-04-01	LITE	0.3086	BE	0.1035	CIEN	0.3069	WDC	0.2810
2026-05-01	LITE	0.1421	BE	0.0908	CIEN	0.4079	WDC	0.3592
2026-06-01	MU	0.4016	WDC	0.2219	LITE	0.0846	CIEN	0.2919

3. Top 10 Best Performing Parameter Combinations

Group	Lookback_Days	Final_Value	CAGR (%)	MDD (%)
TOP 500	175	176491.91	69.10	-33.42
TOP 500	185	171356.29	68.19	-32.92
TOP 500	140	159052.74	65.91	-34.60
TOP 500	200	154589.05	65.05	-35.30
TOP 500	170	152821.59	64.70	-46.38
TOP 500	110	152467.62	64.63	-40.37
TOP 500	180	142746.54	62.66	-43.18
TOP 500	115	129459.71	59.78	-42.68
TOP 200	175	123556.56	58.42	-33.75
TOP 500	190	122748.26	58.23	-34.38

* This post was automatically generated by the MoonShot GPU Backtest System based on large-scale Monte Carlo sweep results.