Reversion Lever CAGR Optimization w/ Python
Today’s Change (Mar 5, 2026)
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A symphony is an automated trading strategy — Learn more about symphonies here
About
A rules‑based, one‑at‑a‑time rotation. It uses the S&P 500’s 200‑day trend and a heat gauge (RSI) to judge risk, then puts 100% into the strongest recent performer from leveraged funds (tech, crypto, miners, biotech) or briefly into volatility when things look overheated.
Each day it checks two gauges. 1) Is the S&P 500 (SPY) above its 200‑day average (a long‑term trend line)? 2) A heat gauge (RSI, a 0–100 score from recent ups/downs) on HIBL, a fund that super‑charges volatile S&P stocks.
If the market is weak, it buys the single fund with the best recent return over 3 days or ~1 month from a menu of turbo‑charged funds (tech, crypto, gold miners, biotech, etc.). If strong and too hot, it buys a volatility fund; otherwise it buys the 1‑month winner. 100% goes into that one pick.
Out-of-sample, this 100% single-position rotation hunts the strongest recent movers (tech, crypto, biotech) while using a bear regime/heat gauge and hedges to cap drawdowns—aiming for higher risk-adjusted returns vs. the S&P 500.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
| Alpha | Beta | R2 | R | |
|---|---|---|---|---|
| 4.06 | 1.5 | 0.05 | 0.22 |
Performance Metrics
| Cumulative Return | Annualized Return | Trailing 1M Return | Trailing 3M Return | Sharpe Ratio | |
|---|---|---|---|---|---|
| 20.1% | 21.49% | -0.15% | 0.4% | 1.12 | |
| 2,526.17% | 3,129.63% | -22.96% | -4.36% | 3.32 |
Initial Investment
$10,000.00
Final Value
$262,616.96Regulatory Fees
$282.09
Total Slippage
$1,920.35
Invest in this strategy
OOS Start Date
Feb 15, 2026
Trading Setting
Threshold 10%
Type
Stocks
Category
Momentum,tactical rotation,trend filter,leveraged etfs,volatility hedge,crypto exposure,sector rotation
Tickers in this symphonyThis symphony trades 27 assets in total
Ticker
Type
BITX
2x Bitcoin Strategy ETF
Stocks
CARU
MAX Auto Industry 3x Leveraged ETN
Stocks
CONL
GraniteShares ETF Trust GraniteShares 2x Long COIN Daily ETF
Stocks
CURE
Direxion Daily Healthcare Bull 3X Shares
Stocks
DJTU
T-REX 2X Long DJT Daily Target ETF
Stocks
DRN
Direxion Daily Real Estate Bull 3X Shares
Stocks
ETHU
2x Ether ETF
Stocks
FAS
Direxion Daily Financial Bull 3x Shares
Stocks
FBL
GraniteShares ETF Trust GraniteShares 2x Long META Daily ETF
Stocks
GDXU
MicroSectors Gold Miners 3x Leveraged ETN
Stocks