The Golden Ratio FTLT ratios (153/34% MDD) Since 2011
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About
A daily-rebalanced, five-bucket momentum strategy using RSI and moving-average tests to pick a single asset per bucket among leveraged ETFs and hedges (e.g., TQQQ, SPXL, UVXY, SQQQ) across tech, EM, gold, and real estate, with fixed group weights totaling 100%.
- The system splits capital into five buckets with fixed weights: Tech-leveraged (42%), Emerging Markets (26%), a secondary tilt called 'boosted zoop' (16%), Gold-related (10%), and Real Estate (6%).
- Within each bucket, it scans a set of assets and uses simple momentum tests (short-term RSI and price vs moving averages) to decide which asset to buy within that bucket.
- It tends to pick at most one asset per bucket (the 'top' asset that satisfies the rules). If no asset meets the criteria, the bucket may stay flat or move to a hedge option.
- The strategy uses hedges when momentum is extremely heated or risk signaling suggests trouble (for example, moving into UVXY or SQQQ under certain momentum/RSI conditions).
- Rebalancing happens daily, so weights and assets can shift every trading day based on the latest signals.
- The overall aim is to ride trends across multiple asset classes (tech leverage, EM, gold, REITs) while keeping risk in check with hedges and diversified exposure.
Multi-asset momentum with hedges delivers superior risk-adjusted upside vs the S&P 500: oos return ~75% vs ~29%, oos Sharpe ~1.55 vs ~1.40, Calmar ~2.89. Expect higher drawdowns in downturns, but larger upside when trends run.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
| Alpha | Beta | R2 | R | |
|---|---|---|---|---|
| 0.81 | 1.03 | 0.23 | 0.47 |
Performance Metrics
| Cumulative Return | Annualized Return | Trailing 1M Return | Trailing 3M Return | Sharpe Ratio | |
|---|---|---|---|---|---|
| 669.43% | 15.2% | -1.77% | 0.2% | 0.93 | |
| 46,438,025.44% | 147.22% | -2.5% | 8.23% | 2.67 |
Initial Investment
$10,000.00
Final Value
$4,643,812,543.59Regulatory Fees
$6,301,350.24
Total Slippage
$45,243,794.34
Invest in this strategy
OOS Start Date
Mar 21, 2025
Trading Setting
Daily
Type
Stocks
Category
Quantitative strategy, momentum, leveraged etfs, multi-asset, risk-controlled
Tickers in this symphonyThis symphony trades 24 assets in total
Ticker
Type
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
DRN
Direxion Daily Real Estate Bull 3X ETF
Stocks
DRV
Direxion Daily Real Estate Bear 3X ETF
Stocks
EDC
Direxion Daily MSCI Emerging Markets Bull 3X ETF
Stocks
EDZ
Direxion Daily MSCI Emerging Markets Bear 3X ETF
Stocks
EEM
iShares MSCI Emerging Markets ETF
Stocks
GLL
ProShares UltraShort Gold
Stocks
IEI
iShares 3-7 Year Treasury Bond ETF
Stocks
IGIB
iShares Trust iShares 5-10 Year Investment Grade Corporate Bond ETF
Stocks
IVV
iShares Core S&P 500 ETF
Stocks