In my back tests there where only two models of the nine S&P sub-components that where "good enough" for further investigation. The third "runner up" was XLV.
I am aware of the very low volume on UXI/SIJ. I have traded them in the last months and had no real problems. At times it takes some time to get an order filled or a stop-loss order does not work immediately. Because I trade very light, I did not have problems with the low volume on both instruments.
For reference, I just re-performed the comparison of the nine S&P sub-components. These back tests are performed without stop-loss, without possible optimization (only trade under certain 20DMF states) and using only the single ETFs from July 30, 2007 up until the close of yesterday.
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