Holy Grail Revamped | Anansi
Today’s Change (Mar 17, 2026)
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A symphony is an automated trading strategy — Learn more about symphonies here
About
A daily, rule-based momentum engine that scans many ETFs (including leveraged and inverse plays) and often goes all-in to a single instrument. It uses RSI and trend checks across volatility, broad-market, and tech/sector ETFs to decide where to invest (often a leveraged tech or hedged/volatility ETF), with occasional partial allocations. High risk, high potential reward.
- It is a daily, rule-based system that looks at a large set of ETFs (including leveraged and inverse ones) to decide where to put all or most of your capital for the day.
- The decision logic is a nested tree: if a strong signal appears in volatility-related ETFs (like UVXY or VIXY), the system may allocate to those or to related hedges; otherwise it searches through broad-market, sector, and leveraged bets (SPY, QQQ, TQQQ, TECL, SOXX, XLK, XLF, XLP, UPRO, PSQ, SQQQ, etc.).
- RSI (Relative Strength Index) and moving-average checks are the primary signals. RSI looks at momentum (how strong a move has been recently) with short windows (roughly 10–20 days). Moving-average checks compare price to a trend line to gauge direction.
- When a branch fires, the mechanism typically assigns 100% of available capital to the chosen asset; some branches use partial weights (e.g., 60/100).
- The system uses cross-asset momentum (e.g., comparing RSI of a leveraged NASDAQ ETF to RSI of a bond ETF or inverse equity ETF) to decide whether to tilt toward risk-on momentum or toward safety.
- Daily rebalancing means the position can snap between very different risk profiles from one day to the next, emphasizing responsiveness to regime shifts. The model’s design yields high upside potential in strong markets but also substantial risk in volatile periods due to leverage and rapid shifts in allocation.|- Assets used span widely-traded names and sector/leverage proxies. The frequent use of UVXY/VIXY (volatility hedges) and PSQ/SQQQ (inverse Nasdaq) signals a strategy built around rapid regime detection and aggressive stance changes.
- Overall, this is a momentum-driven, all-in-one engine that seeks to ride the strongest trend in the moment, with a strong tilt toward tech and leveraged exposure when signals are favorable and hedges or cash when signals weaken.
Anansi aims to outpace the S&P via daily momentum in tech and leveraged ETFs. Out-of-sample return ~71.8% with Sharpe ~1.09 and Calmar ~1.24, but expect sizable drawdowns (~58%). Best for experienced, risk-tolerant investors seeking growth.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
| Alpha | Beta | R2 | R | |
|---|---|---|---|---|
| 0.92 | 1.13 | 0.13 | 0.35 |
Performance Metrics
| Cumulative Return | Annualized Return | Trailing 1M Return | Trailing 3M Return | Sharpe Ratio | |
|---|---|---|---|---|---|
| 669.43% | 15.2% | -1.77% | 0.2% | 0.93 | |
| 91,935,490.58% | 159.21% | 1.73% | 13.81% | 2.04 |
Initial Investment
$10,000.00
Final Value
$9,193,559,058.35Regulatory Fees
$20,596,237.87
Total Slippage
$148,127,353.68
Invest in this strategy
OOS Start Date
May 16, 2024
Trading Setting
Daily
Type
Stocks
Category
Momentum-based, multi-asset, leverage, risk-on/off, rule-based, daily rebalance
Tickers in this symphonyThis symphony trades 20 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
IEF
iShares 7-10 Year Treasury Bond ETF
Stocks
PSQ
ProShares Short QQQ
Stocks
QQQ
Invesco QQQ Trust, Series 1
Stocks
SH
ProShares Short S&P500
Stocks
SOXL
Direxion Daily Semiconductor Bull 3X ETF
Stocks
SOXX
iShares Semiconductor ETF
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
SQQQ
ProShares UltraPro Short QQQ
Stocks