🧪 BlackSwan Portfolio | Cashen Mod
Today’s Change (Oct 22, 2026)
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A symphony is an automated trading strategy — Learn more about symphonies here
About
A very aggressive strategy that buys leveraged U.S. stock funds when conditions look healthy, flips bearish after unusually big tech up-days, and hides in Treasury bills when the bond market warning signal turns negative.
How it worksEach day, the strategy first checks SHY, a short-term U.S. government bond fund. If SHY has been doing okay over the last week, the strategy takes stock-market risk.
Normally it buys two aggressive funds: TQQQ (a turbocharged bet on big tech stocks) and UPRO (a turbocharged bet on the S&P 500). But if QQQ, a big-tech market fund, just jumped more than 3% in one day, it instead buys SQQQ, which bets that big tech will fall.
If SHY looks weak, the strategy avoids stocks and moves into BIL, a cash-like Treasury bill fund.
Value propOut-of-sample edge: ~53% annualized return vs SPY ~21%, with solid risk metrics (oos Sharpe ~1.22, Calmar ~0.97). A built-in risk filter moves to cash when conditions weaken, preserving upside vs the S&P 500.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
| Alpha | Beta | R2 | R | |
|---|---|---|---|---|
| 0.24 | 1.82 | 0.48 | 0.69 |
Performance Metrics
| Cumulative Return | Annualized Return | Trailing 1M Return | Trailing 3M Return | Sharpe Ratio | |
|---|---|---|---|---|---|
| 860.48% | 14.54% | -0.05% | 3.57% | 0.88 | |
| 93,000.72% | 50.72% | -4.17% | -1.12% | 1.14 |
Initial Investment
$10,000.00
Final Value
$9,310,071.92Regulatory Fees
$30,376.92
Total Slippage
$259,413.64
Invest in this strategy
OOS Start Date
Apr 3, 2023
Trading Setting
Daily
Type
Stocks
Category
Tactical asset allocation, leveraged equities, risk-on/risk-off, trend filter, mean reversion, treasury bills
Tickers in this symphonyThis symphony trades 6 assets in total