Rotating Super SPY with RSI OB VIXation
Today’s Change (Mar 18, 2026)
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About
Rules-based mix of US stocks and Treasuries with a volatility hedge. It rotates into strong sectors, falls back to SPY or a defensive cash/staples/gold mix when trends weaken, and adds VIXY when the market looks overheated.
How it works- Sectors: 4 slots (XLK tech, XLF fin, XLE energy, XLU utilities). Hold the sector only if 5‑day > 50‑day avg; else use Super SPY.
- Super SPY: SPY if above its 200‑day avg; else a defensive mix: BIL (T‑bills), XLP (staples) and GLD (gold).
- Bonds: 40% sleeve in TLT (long Treasuries) when its long trend is OK; otherwise use Super SPY.
- Hedge: If QQQ or SPY get “too hot” (RSI, a short‑term heat meter, >~80), up to 60% shifts into VIXY (volatility), scaled by how extreme; the rest parks in BIL.
Value propOut-of-sample edge: 22.15% annualized return vs SPY 18.72%, drawdown 12.25% vs 18.76%, and Calmar ~1.81. Sharpe 1.29 vs 1.07. A rules-based mix of sector momentum, Treasuries, and volatility hedge that lowers risk and lifts returns.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
| Alpha | Beta | R2 | R | |
|---|---|---|---|---|
| 0.17 | 0.57 | 0.45 | 0.67 |
Performance Metrics
| Cumulative Return | Annualized Return | Trailing 1M Return | Trailing 3M Return | Sharpe Ratio | |
|---|---|---|---|---|---|
| 590.61% | 13.59% | -1.77% | 0.2% | 0.83 | |
| 3,875.93% | 27.48% | -0.55% | 2.22% | 1.76 |
Initial Investment
$10,000.00
Final Value
$397,592.69Regulatory Fees
$842.27
Total Slippage
$5,587.90
Invest in this strategy
OOS Start Date
Aug 15, 2024
Trading Setting
Threshold 5%
Type
Stocks
Category
Tactical allocation, momentum/trend, sector rotation, volatility hedge, us equities, treasuries, gold, defensive/cash overlay
Tickers in this symphonyThis symphony trades 11 assets in total
Ticker
Type
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
GLD
SPDR Gold Trust, SPDR Gold Shares
Stocks
QQQ
Invesco QQQ Trust, Series 1
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
TLT
iShares 20+ Year Treasury Bond ETF
Stocks
VIXY
ProShares VIX Short-Term Futures ETF
Stocks
XLE
State Street Energy Select Sector SPDR ETF
Stocks
XLF
State Street Financial Select Sector SPDR ETF
Stocks
XLK
State Street Technology Select Sector SPDR ETF
Stocks
XLP
State Street Consumer Staples Select Sector SPDR ETF
Stocks