Semi Rotation v3: Futures, Macro & Seasonality Deep Dive

Semi LONG rot_fav+fc base | Layered with futures/macro/stock factors | 1m/2m/12m windows

92.7%
+ES_up (N=41, 12m)
84.4%
+SPY_downtrend (N=90)
91.2%
+es_up+etf_aligned (N=34)
88.0%
Base 1m WR (N=25)
73.3%
Base 2m WR (N=101)
69.1%
Base 12m WR (N=408)

Base Signal: Seasonality Matters

Semi LONG rot_fav+fc: Time Windows

WindowWR%NAvgPF
Last 1 month88.0%25+1.59616.44
Last 2 months73.3%101+1.2836.64
Full 12 months69.1%408+0.8503.81

Signal strengthening over time. Current regime is hot - but base already robust at 12m.

Rolling 30-Day WR

1. Futures Overlay

ES PM Direction (12m)

ES_up = 92.7% (N=41, PF=60). ES_dn still 80% (N=20). ES_flat = 65.7% (N=347). ES futures up in PM + semi rotation = near-certain.

Key: Last 2m all fell into ES_flat + VIX>35

Factor1m2m12m
ES_flat88.0% (N=25)73.2% (N=97)65.7% (N=347)
VIX>3588.0% (N=25)73.3% (N=101)69.0% (N=335)
SPY_downtrend=True88.0% (N=25)81.2% (N=64)84.4% (N=90)
NQ neutral88.0% (N=25)73.3% (N=101)69.5% (N=383)

Current regime: high VIX, SPY downtrend, flat ES/NQ. All data is from this regime. Need to monitor when VIX normalizes.

2. Macro Overlay

TLT Gap (bonds)

TLT12m WRNPF
TLT up (bonds bid)75.3%973.94
TLT flat68.2%2364.77
TLT down64.0%751.89

TLT up = safe haven bid + semi rotation = 75.3%. TLT down still 64%.

HYG Gap (credit)

HYG12m WRNPF
HYG up (risk-on)77.8%6315.34
HYG flat67.5%3453.20

HYG up + semi rotation = 77.8% PF=15. Credit risk-on confirms tech rotation. 2m: 95.5% (N=22)!

Contango/Backwardation

VIX Term12m WRNPF
Backwardation72.7%2210.55
Deep contango69.0%716.00
Normal68.9%3153.16

3. Stock-Level Factors

Imbalance & Sector ETF

Factor12m WRN2m WRN
imb_aligned=False (no imb)71.1%90--
imb_against=True57.1%21--
etf_aligned=False70.7%22285.7%28
etf_aligned=True67.2%18668.5%73

imb_against with rotation = only 57.1%. No imb or imb_aligned better.

Gap Size + SPY Trend (12m)

FactorWR%NPF
gap 5-8%84.0%257.89
SPY_downtrend=True84.4%9015.17
SPY_uptrend=False77.0%1138.61
SPY_uptrend=True66.1%2952.90
gap 0-3%68.2%3303.26
gap 3-5%63.9%364.00

4. Soft LONG rot_fav+fc (secondary signal)

Combo1m WR1m N2m WR2m N12m WR12m N
Base95.5%4467.8%18062.8%768
+ ES_up--55.4%5662.7%284
+ ES_dn--80.8%2677.8%54
+ NQ>ES----100%23

Soft LONG in ES_dn = 77.8% (counter-trend reversal). NQ>ES = perfect but N=23. Current 1m regime inflating to 95.5%.

5. Top Combo Ranking

Semi LONG rot_fav+fc + 1 factor (12m)

Quad Combos: +2 factors (12m)

ComboWR%NPF
+es_up+etf_aligned91.2%3454.84
+spy_up+prevol_2x75.7%373.98
+etf_aligned+prevol_2x73.9%233.07

es_up+etf_aligned = 91.2% (N=34). All futures up + sector ETF aligned + semi PM rotation + fc = max conviction.

Final Hierarchy & Scoring

A+ ELITE Semi LONG rot_fav+fc + ES_up: WR 92.7% (N=41). ES futures green + semi PM leadership + fc = top signal. Score: +3
A+ ELITE Semi LONG rot_fav+fc + SPY_downtrend: WR 84.4% (N=90, PF=15). Confirmed 2m: 81.2%. Counter-trend semi strength = high conviction. Score: +3
A+ SETUP Semi LONG rot_fav+fc + gap 5-8%: WR 84.0% (N=25). Sweet spot gap + rotation. Score: +2
A SETUP Semi LONG rot_fav+fc + HYG_up: WR 77.8% (N=63, PF=15). Credit risk-on confirmation. Score: +2
A SETUP Semi LONG rot_fav+fc + TLT_up: WR 75.3% (N=97). Bonds bid = flight to quality + semi strength = durable. Score: +1
A BASE Semi LONG rot_fav+fc (standalone): WR 69.1% (N=408). Robust base. Score: +2 (rotation) + +1 (fc already scored)
REGIME Current regime (Apr 2026): VIX>35, SPY downtrend, ES flat. All 2m data is from this stressed regime. WR inflated to 73-88%. When VIX normalizes, expect reversion to 12m baseline (~69%). Monitor weekly.
CAUTION Soft LONG rot_fav+fc: 12m WR 62.8% is solid, but ES_dn subset (77.8%) drives the edge. In current ES_flat regime, only 60.9%. Less reliable than Semi LONG. Score: +1 only.
CONFIRMED TRAP imb_against + rotation: WR drops to 57.1% even with rot_fav+fc. Imbalance against kills the signal.