Multi-Asset Rotation System - RW Rotation - SSRN 26 Apr 2026

MARS RW Rotation

A systematic four-regime asset rotation strategy. One composite signal. Four assets. Fully automated. No emotion - just data.

View Live Portfolio marsinvesting.netlify.app Read the Paper

CAGR % - V2 - 10yr

Sharpe ratio

Max drawdown

Profit factor

Avg trades per year

Live Portfolio

£10,000.00

+£0.00 (+0.00%) since 26 Apr 2026

Live

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Current Regime

NEUTRAL

CSPX - S&P 500 ETF

Composite Score

0.670

0.0 bear - 1.0 bull

Next Signal Scan

Sun 3 May

20:00 UK - weekly

Next Trade Window

Tue 5 May

Buy after T+1 settlement

Portfolio equity - live from 26 Apr 2026

NEUTRAL - CSPX

Signal Breakdown - Live

Technical - 50%

0.800

SPY MA200 + momentum + vol

Sentiment - 20%

0.500

Fear & Greed index proxy

Macro - 20%

0.600

FRED unemployment delta

Composite C

0.670

T×50 + N×20 + M×20

Signal and trade historyView full history →

Date	Event	Regime	Score	Asset	Action	P&L

Three Variants

The Strategies

Three configurations of the same four-regime signal. V2 is the recommended start - no special permissions, lowest drawdown, best Sharpe ratio.

10yr backtest comparison - £4,500 deposited

V2 - CSPX

V1 - LQQ3

V1+ - Margin

163%

Wardell V2 - Recommended

Standard IBKR cash account. No leverage, no special permissions. Best Sharpe ratio and lowest drawdown. Currently running live.

10yr - £4,500 deposited - real IBKR fees - Final: £12,501,818

163%

CAGR

1.78

Sharpe

32.9%

Max DD

7.57x

Prof. Factor

69.6%

Win Rate

Rotations

BULL - C ≥ 0.70

Bitcoin

BTC

NEUTRAL - C ≥ 0.55

iShares S&P 500 ETF

CSPX

WARNING - C ≥ 0.40

iShares Physical Gold

SGLN

BEAR - C < 0.40

iShares UK Gilts 0-5yr

IGLS

Requirements: Standard IBKR cash account - no special permissions - min £1,500

144.6%

Wardell V1 - LQQ3 Neutral

Replaces CSPX with LQQ3 (iShares Nasdaq-100 3x) in neutral months. Higher drawdown but amplifies gains when conditions are cautiously positive.

10yr - £4,500 deposited - real fees - Final: £6,325,594

144.6%

CAGR

1.55

Sharpe

69.0%

Max DD

4.67x

Prof. Factor

67.0%

Win Rate

Rotations

BULL

Bitcoin

BTC

NEUTRAL

iShares Nasdaq-100 3x

LQQ3

WARNING

iShares Physical Gold

SGLN

BEAR

iShares UK Gilts 0-5yr

IGLS

Requirements: IBKR complex/leveraged products permission - approved in 1-3 days

213%

Wardell V1+ - Full Power

V1 with 1.5x portfolio margin leverage. 86.2% max drawdown means watching most of your balance temporarily disappear in bear years. Age 21+ recommended.

10yr - £4,500 deposited - real fees + 6.5%/yr margin - Final: £63,248,478

213%

CAGR

1.55

Sharpe

86.2%

Max DD

4.74x

Prof. Factor

66.1%

Win Rate

6.5%/yr

Margin

BULL - 1x

Bitcoin - never leveraged

BTC

NEUTRAL - 1.5x

iShares Nasdaq-100 3x

LQQ3

WARNING - 1.5x

iShares Physical Gold

SGLN

BEAR - 1.5x

iShares UK Gilts 0-5yr

IGLS

Requirements: IBKR margin account - complex products permission - age 21+ recommended

How It Works

T - Technical - 50%

Price action from IBKR

Real SPY data from IBKR every Sunday. MA200 deviation, 1-month momentum, and 30-day realised volatility combined into a 0-1 score.

// SPY above MA200 by 5%+
score += 0.20
// 1M momentum > 3%
score += 0.10
// 30D vol < 12%
score += 0.08

N - Sentiment - 20%

NLP on 100 headlines

100 financial headlines via NewsAPI every Sunday. Categorised against 16 bearish and 17 bullish keywords. Score = bullish / total categorised.

N = bull / (bull + bear)
// 7-day rolling window
// 16 bearish keywords
// 17 bullish keywords

M - Macro - 20%

FRED unemployment delta

US unemployment from the Federal Reserve FRED database. Rising unemployment is a leading indicator that precedes market stress by weeks to months.

// Rising >0.3%
score -= 0.30
// Rising >0.1%
score -= 0.15
// Falling >0.1%
score += 0.10

C - Composite

One number, one decision

Three signals combine into a score between 0 and 1. Four thresholds classify the score into the regime. No human discretion. No exceptions.

C = clip(T×0.50 + N×0.20
+ M×0.20 + E×0.10)
C ≥ 0.70 → BULL → BTC
C ≥ 0.55 → NEUTRAL → CSPX

// MARS Formula - SSRN 6653818 - Ronnie Wardell
C = clip( T×0.50 + N×0.20 + M×0.20 + E×0.10, 0.0, 1.0 )

// Execution every month
Scan: Sunday 20:00 UK Sell: Monday if regime changed Buy: Tuesday after T+1

Transparent Costs

ETF trades - CSPX, SGLN, IGLS

Commission per trade£1.70

Round trip£3.40

Slippage estimate0.03%

V2 total fees 10yr£84,248

Bitcoin trades - BTC via PAXOS

Commission rate0.18%

Round trip0.36%

Slippage estimate0.10%

RoutingSmartRouting

£84,248

V2 fees - 10yr

0.67% of £12.5M final value

Total trades - 10yr

4.3 round trips per year

Management fee

You run it yourself

Research Data

Dataset Downloads

Full backtest dataset published on Mendeley Data. 112 months of monthly returns, regime classifications, and performance statistics for all three MARS variants. CC BY 4.0 - free to use with attribution.

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Full Research Dataset

Excel workbook - 8 sheets - all three variants, annual summary, strategy stats, regime classification

XLSX - 44KB - MARS_Wardell_Rotation_Research_Dataset.xlsx

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V2 Monthly Data

112 months - BTC/CSPX/SGLN/IGLS - recommended variant - monthly returns, balance, drawdown, fees

CSV - 9.7KB - MARS_V2_Monthly.csv

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V1 Monthly Data

112 months - BTC/LQQ3/SGLN/IGLS - leveraged ETF neutral variant

CSV - 9.8KB - MARS_V1_Monthly.csv

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V1+ Monthly Data

112 months - V1 with 1.5x margin leverage from year 3 - full power variant

CSV - 10KB - MARS_V1plus_Monthly.csv

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Regime Classification

Monthly regime labels 2016-2025 - BULL/NEUTRAL/WARNING/BEAR with asset allocations for V2 and V1

CSV - 3.1KB - MARS_Regime_Classification.csv

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Asset Annual Returns

Documented annual returns 2016-2025 for CSPX, BTC, SGLN, IGLS, LQQ3 - data sources cited

CSV - 374B - MARS_Asset_Annual_Returns.csv

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README / Documentation

Column definitions, methodology description, data sources, performance summary, licence

TXT - 3.9KB - README.txt

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CC BY 4.0 Creative Commons Attribution 4.0 - Free to use with attribution

DISCIPLINE Finance - Quantitative Finance - Financial Economics

CITE AS Wardell, R. (2026). MARS - RW Rotation. SSRN 6653818.

The Creator

SSRN Abstract ID 6653818 - Published 26 April 2026

Ronnie Wardell

Quantitative Researcher - Finance Student

I built MARS because I needed a system that runs itself. Something systematic, transparent, and based on data - not gut feeling or chart patterns.

MARS combines technical momentum from real IBKR price data, news sentiment NLP via NewsAPI, and macroeconomic data from the Federal Reserve into a single composite signal. Backtested across 112 months, automated in Python on a VPS, published on SSRN on 26 April 2026.

Strategy running live since April 2026. Every monthly result documented publicly.

SSRN 6653818 GitHub Medium Substack @ronxbt Live History rwardell07@gmail.com