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D.E Shaw Step 7
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About

A daily, rules‑based “traffic‑light” system. In uptrends it loads tech/semis with leverage; in stress it shifts to cash‑like T‑Bills, bonds, or shorts. It also trades energy/commodities when trending and uses volatility hedges to curb big shocks.
NutHow it works
Daily, it asks: is the market trending up, overheated, or washed-out? It uses simple signals (trend, “hot/cold” readings) to switch between: - Risk-on: strong tech/semis with leverage (TQQQ, TECL, SOXL, UPRO) - Risk-off: T‑Bills (BIL), Treasuries (TLT/TMF), or short Nasdaq (PSQ/SQQQ) - Side sleeves: energy/commodities (DIG, XLE, DBC) when trending It adds/ removes hedges (UVXY) during volatility spikes.
CheckmarkValue prop
Out-of-sample edge: ~20.2% annualized return vs ~19.8% for the S&P; max drawdown ~14.1% vs ~18.8%; Sharpe ~1.21 vs ~1.15; beta ~0.76; Calmar ~1.44; positive alpha. Higher risk-adjusted growth with downside protection.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
Alpha
Beta
R2
R
0.3
0.41
0.26
0.51
Performance Metrics
Cumulative Return
Annualized Return
Trailing 1M Return
Trailing 3M Return
Sharpe Ratio
279.34%
13.63%
0.19%
3.76%
0.8
3,762.06%
41.92%
0.64%
4.53%
2.52
Initial Investment
$10,000.00
Final Value
$386,205.83
Regulatory Fees
$766.39
Total Slippage
$4,698.15
Invest in this strategy
OOS Start Date
Feb 17, 2024
Trading Setting
Daily
Type
Stocks
Category
Tactical asset allocation, momentum, trend-following, risk parity, volatility hedging, leveraged etfs, bonds, commodities, tech/semis tilt
Tickers in this symphonyThis symphony trades 0 assets in total
Ticker
Type