15d AGG vs 15d QQQ Replace TQQQ & BTAL w/ SPYU & FTLS | Basic Signals Wash Sale? WM74
Today’s Change (Sep 21, 2026)
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A symphony is an automated trading strategy — Learn more about symphonies here
About
Daily switch between SPYU (2× S&P 500) and FTLS (hedged long/short). It checks S&P 500 trends, then compares 15‑day strength of bonds (AGG) vs big‑tech (QQQ). If bonds look stronger, it goes SPYU; else FTLS. Target weight: 70%.
Each day it asks: Is the S&P 500 (SPY) above its long‑term average (200‑day) or at least its 20‑day average? If yes, it compares a 15‑day “strength score” (RSI: higher = stronger recent gains) of bonds (AGG) vs big‑tech (QQQ). If bonds’ score is higher, buy SPYU (2× S&P 500). Otherwise, or when SPY is weak, hold FTLS (a hedged long/short stock fund). About 70% of the portfolio uses this.
Out-of-sample return 21.44% vs SPY 17.56%. Regime-switching between levered SPYU and hedged FTLS targets higher upside across regimes. Caveat: max drawdown 46% vs 18.8%, Sharpe ~0.72 vs ~1.07, Calmar ~0.47 across 821 days.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
| Alpha | Beta | R2 | R | |
|---|---|---|---|---|
| 0.09 | 1.57 | 0.49 | 0.7 |
Performance Metrics
| Cumulative Return | Annualized Return | Trailing 1M Return | Trailing 3M Return | Sharpe Ratio | |
|---|---|---|---|---|---|
| 72.98% | 21.84% | -0.5% | 2.26% | 1.35 | |
| 166.84% | 42.45% | 0.54% | 9.01% | 1.19 |
Initial Investment
$10,000.00
Final Value
$26,684.33Regulatory Fees
$54.89
Total Slippage
$389.54
Invest in this strategy
OOS Start Date
Jun 21, 2024
Trading Setting
Daily
Type
Stocks
Category
Tactical allocation, trend filter, momentum (rsi), leveraged equity, long/short hedge, daily rebalance, risk-on/risk-off