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EM Rat (basic BSC) | 2 July 2013
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About

A daily, EM‑focused rotation. A volatility brake sends it to T‑bills when fear spikes. Otherwise it uses trend and a 0–100 “heat” gauge (RSI) to switch among EM bull/bear funds, global financials, small‑caps, or intl bonds. Includes some 3x ETFs.
NutHow it works
Daily: 1) Safety: if volatility (VIXM) is hot (RSI, a 0–100 heat gauge, >70), hold T‑bills (BIL). 2) Else check EEM vs its 200‑day trend. - Uptrend: if intl bonds (BNDX) beat US small caps (IWM), buy the stronger of EDC (3x EM bull) or IXG (global financials); else buy the most oversold of EDZ (3x EM bear) or TNA (3x small‑cap bull). - Downtrend: if IEI or BNDX beat EEM, buy the more oversold of EEM or EDC; else buy the stronger of EDZ or BWZ (short‑term intl bonds). One holding (~90%); rebalances daily.
CheckmarkValue prop
Out-of-sample edge: ~24.5% annualized vs ~19% for the S&P, thanks to an EM tilt and disciplined leverage. A volatility brake shifts to T-bills in spikes for protection, but expect higher drawdowns and different risk-adjusted performance.
Invest in this strategy
OOS Start Date
Jul 26, 2024
Trading Setting
Daily
Type
Stocks
Category
Tactical rotation, trend + rsi, volatility filter, emerging markets focus, leveraged etfs, bonds vs small‑caps, daily rebalance
Tickers in this symphonyThis symphony trades 0 assets in total
Ticker
Type