All Mean Reversions
Today’s Change (Sep 20, 2026)
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About
A daily, high‑risk mean‑reversion strategy. It rotates into 3x stock ETFs (S&P 500, Nasdaq, Tech), volatility (UVXY), or hedges when signals look “too hot” or “too cold,” and parks in T‑Bills/short Treasuries when no edge. Picks the 4 most volatile ideas.
Daily, it picks the 4 most volatile ideas and splits money evenly. It buys weakness and fades heat using RSI (0–100 “heat” meter: low=oversold, high=overbought). Rules: buy 3x SPXL/TQQQ/TECL when weaker than bonds (AGG), else T‑Bills (BIL); buy TQQQ after a 5‑day Nasdaq drop, else BSV; QQQ very hot -> UVXY (volatility), very cold -> QLD, else SHY; in extreme S&P selloffs, choose SOXL/TECL or hedges (SQQQ/SOXS) using bonds vs high‑beta (SPHB). Can also hold QQQ, UUP, DBC.
High upside vs the S&P: out-of-sample annualized return ~46% vs ~23% for SPY, driven by daily rotation into 4 high-volatility ideas with hedges. Calmar ~1 signals strong risk-adjusted upside; expect drawdowns near ~47% in downturns.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
| Alpha | Beta | R2 | R | |
|---|---|---|---|---|
| 0.49 | 1.8 | 0.51 | 0.71 |
Performance Metrics
| Cumulative Return | Annualized Return | Trailing 1M Return | Trailing 3M Return | Sharpe Ratio | |
|---|---|---|---|---|---|
| 248.31% | 21.22% | -0.5% | 2.26% | 1.15 | |
| 14,075.33% | 114.69% | 8.17% | 33.45% | 1.9 |
Initial Investment
$10,000.00
Final Value
$1,417,532.83Regulatory Fees
$2,821.28
Total Slippage
$23,271.29
Invest in this strategy
OOS Start Date
Sep 28, 2023
Trading Setting
Daily
Type
Stocks
Category
Mean reversion, daily rotation, leveraged etfs, nasdaq/tech/s&p, semiconductors, volatility (vix), high beta, bonds/cash, usd, commodities
Tickers in this symphonyThis symphony trades 19 assets in total
Ticker
Type
AGG
iShares Core U.S. Aggregate Bond ETF
Stocks
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
BSV
Vanguard Short-Term Bond ETF
Stocks
DBC
Invesco DB Commodity Index Tracking Fund
Stocks
HIBL
Direxion Daily S&P 500 High Beta Bull 3X ETF
Stocks
HIBS
Direxion Daily S&P 500 High Beta Bear 3X ETF
Stocks
QLD
ProShares Ultra QQQ
Stocks
QQQ
Invesco QQQ Trust, Series 1
Stocks
SHY
iShares 1-3 Year Treasury Bond ETF
Stocks
SOXL
Direxion Daily Semiconductor Bull 3X ETF
Stocks