Defensive Rotation (Risk-Off)Top-Down Cycle Momentum Strategy
Cycle > Capital Flow > Fundamentals: Options Pairing Screener
Defensive & value sectors dominate relative momentum while S&P 500 is under 20 EMA. Strictly avoid bottom-fishing growth tech; long defensive leaders and short breakdown tech.
SPY Expected Move±1.5%
$733 ±$10.99
Range: 722.01 ~ 743.99
QQQ Expected Move±1.68%
$647.05 ±$10.87
Range: 636.18 ~ 657.91
Iron Rule: Never buy unhedged tech on "valuation"! Long leaders in top sectors, short breakdown laggards in weak sectors.
做多池: XLP, XLV做空池: XLK, SMH
Sector Relative Strength Matrix
vs SPY ROCXLPConsumer StaplesTop Long
RS +11.37
Price: $91.255D: +8.61%20D: +15.49%> 20 EMA
XLVHealth CareTop Long
RS +9.71
Price: $184.915D: +5.46%20D: +16.1%> 20 EMA
XLFFinancials
RS +8.38
Price: $57.55D: +5.99%20D: +11.95%> 20 EMA
XLYConsumer Discretionary
RS +8.23
Price: $117.645D: +6.26%20D: +11.19%> 20 EMA
XLUUtilities
RS +7.74
Price: $43.35D: +5.35%20D: +11.32%> 20 EMA
XLCCommunication Services
RS +4.24
Price: $104.345D: +8.21%20D: -1.7%< 20 EMA
XLIIndustrials
RS +0.89
Price: $162.475D: +0.23%20D: +1.87%< 20 EMA
XLEEnergy
RS -3.62
Price: $61.635D: -5.85%20D: -0.26%< 20 EMA
XLKTechnologyTop Short
RS -11.14
Price: $162.385D: -9.7%20D: -13.31%< 20 EMA
SMHSemiconductorsTop Short
RS -18.66
Price: $447.735D: -16.33%20D: -22.15%< 20 EMA
Strong vs. Weak Momentum Pairing Generator
Select 1 Long Call leader + 1 Long Put target below to test premium balance in position sizer.
Top Longs (Buy Call)> 20 EMA & RS High
MCDMcDonald'sXLY
$278.04 -0.78%
RS +16.71RVOL: 1.25x
Call Wall: $410
Put Wall: $365
280Cexp 2026-11-27 (21d)
$495/张
HDHome DepotXLY
$349.94 -1.55%
RS +16.15RVOL: 1.55x
Call Wall: $190
Put Wall: $395
350Cexp 2026-11-27 (21d)
$1361/张
NEENextEra EnergyXLU
$88.25 -0.23%
RS +15.04RVOL: 1.53x
Call Wall: $115
Put Wall: $85
88Cexp 2026-11-27 (21d)
$226/张
WMTWalmartXLP
$127.72 -1.12%
RS +14.36RVOL: 2.01x
Call Wall: $130
Put Wall: $128
128Cexp 2026-11-27 (21d)
$545/张
COSTCostcoXLP
$1065.59 +1.83%
RS +14.1RVOL: 2.11x
Call Wall: $600
Put Wall: $895
1065Cexp 2026-11-27 (21d)
$3078/张
Top Shorts (Buy Put)< 20 EMA & RS Breakdown
AMDAMDSMH
$404.4 -17.26%
RS -26.15RVOL: 2.99x
Call Wall: $725
Put Wall: $400
405Pexp 2026-11-27 (21d)
$2651/张
PLTRPalantirXLK
$154.99 -9.73%
RS -16.52RVOL: 1.86x
Call Wall: $165
Put Wall: $150
155Pexp 2026-11-27 (21d)
$910/张
CATCaterpillarXLI
$553.64 -6.37%
RS -15.92RVOL: 1.86x
Call Wall: $420
Put Wall: $520
550Pexp 2026-11-27 (21d)
$2336/张
TSMTaiwan SemiSMH
$353.1 -10.78%
RS -15.15RVOL: 3.42x
Call Wall: $390
Put Wall: $335
355Pexp 2026-11-27 (21d)
$1770/张
SNOWSnowflakeXLK
$269.54 -7.25%
RS -14.69RVOL: 1.71x
Call Wall: $305
Put Wall: $155
270Pexp 2026-11-27 (21d)
$1658/张
1:1 Premium Position Sizer (10% Risk Rule)
Total option allocation capped at 10% of portfolio. Balanced 1:1 long/short outlay with 35% stop loss & 90% double-up take profit.
Total Capital:
$
多头腿 Long CallMCD
1 张 (Contracts)
合约成本: $495 / 张
总投入: $495
空头腿 Long PutAMD
1 张 (Contracts)
合约成本: $2651 / 张
总投入: $2651
总权利金占用上限 10% ($1000)
$3146 (31.5%)
多空平衡比: 5.36 : 1.00
符合安全仓位纪律
退出纪律 (Exit SOP)
单腿止损: -35% (约 -$173 / -$928)
翻倍止盈: +90% (约 +$2831 锁定半仓)
时间止损: 持仓超 3 日未破位主动双向平仓