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About
A very aggressive market-timing system that rotates among several mini-strategies, often using leveraged stock funds in good markets and defensive assets in bad ones.
This is a daily-updated “strategy tournament.” It compares many mini-strategies, keeps the 3 that have done best lately, and splits money across them.
Those mini-strategies watch things like the broad U.S. stock market, tech vs utilities, bond strength, inflation-linked bonds, and market fear. When conditions look strong, it often buys leveraged stock funds. When conditions look weak or panicky, it can shift to bonds, cash, gold, commodities, utilities, the U.S. dollar, or even volatility funds.
Out-of-sample return ~31% vs S&P 24%, beta ~0.93. Calmar ~1.12, Sharpe ~1.38 from daily rotation of top mini-strategies. Higher upside with risk control—note leverage can mean larger drawdowns in stressed markets.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
| Alpha | Beta | R2 | R | |
|---|---|---|---|---|
| 0.25 | 0.85 | 0.41 | 0.64 |
Performance Metrics
| Cumulative Return | Annualized Return | Trailing 1M Return | Trailing 3M Return | Sharpe Ratio | |
|---|---|---|---|---|---|
| 260.65% | 14.99% | -0.05% | 3.57% | 0.85 | |
| 2,343.94% | 41.63% | 2.65% | 2.61% | 1.53 |
Initial Investment
$10,000.00
Final Value
$244,393.83Regulatory Fees
$1,293.22
Total Slippage
$9,703.88
Invest in this strategy
OOS Start Date
Oct 25, 2023
Trading Setting
Daily
Type
Stocks
Category
Tactical asset allocation, strategy rotation, leveraged etfs, trend following, risk-on/risk-off, macro regime, momentum
Tickers in this symphonyThis symphony trades 75 assets in total
Ticker
Type
AAPL
Apple Inc.
Stocks
ADBE
Adobe Inc.
Stocks
AGG
iShares Core U.S. Aggregate Bond ETF
Stocks
AMD
Advanced Micro Devices
Stocks
AMGN
Amgen Inc
Stocks
AMZN
Amazon.Com Inc
Stocks
AVGO
Broadcom Inc. Common Stock
Stocks
AXP
American Express Company
Stocks
BA
Boeing Company
Stocks
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks