Just to be specific, these are the numbers for the average return for each sector rank in my model for 23 day rolling returns and 14 day rolling returns:

(NOTE: there are 10 listed instead of 9 because I included the S&P as the "average sector", normally in position 5 or 6)

For 23 days (long)

1 1.16%
2 .81%
3 .25%
4 .52%
5 .52%
6 .51%
7 .88%
8 .25%
9 .11%
10 .54%

For 14 days (short)

1 .69%
2 .63%
3 .11%
4 .34%
5 .26%
6 .32%
7 .51%
8 .07%
9 -.01%
10 .31%

As can be seen, in both holding periods, rank 1 vastly outperformed, while rank 10 performed at or slightly below average.

I'll do some work optimizing these kinds of holding periods, but even if the model were optimized for these short periods, there is the nagging problem of it not working correctly with the listed trigger dates on the IWM Robot.

Tim