Volatility and Kelly Symphony - Replace SHY w/ TLT, SSO w/TECL, & UPRO w/ CURE + Fund Surfing - Replace TQQQ w/ TECL
Today’s Change (Mar 17, 2026)
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About
A two-part strategy: a volatility-based dial that moves from leveraged tech/healthcare in calm markets to SPY and Treasuries in turmoil, plus a small contrarian picker that buys the most “oversold” fund when volatility is low. Rebalanced daily.
How it worksIt splits the portfolio in two. 1) A “volatility dial” checks how bumpy the S&P 500 has been over ~1 month. If very calm, it buys 3x tech and 3x healthcare; as markets get choppier it steps down to SPY, then mixes in TLT, and in turmoil holds more TLT. 2) When volatility is low, it makes 1–2 short-term “buy the dip” bets in the single most beaten‑down of UPRO, TECL, or SHY (by RSI, a 0–100 stretch score). Otherwise it parks in SHY.
Value propOut-of-sample annualized return 36.9% vs SPY’s 22.9%. A volatility dial shifts into leveraged tech/health in calm markets and into Treasuries in turmoil, plus a small contrarian dip-buyer when volatility is low—higher upside with managed risk vs SPY.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
| Alpha | Beta | R2 | R | |
|---|---|---|---|---|
| 0.17 | 1.34 | 0.56 | 0.75 |
Performance Metrics
| Cumulative Return | Annualized Return | Trailing 1M Return | Trailing 3M Return | Sharpe Ratio | |
|---|---|---|---|---|---|
| 587.36% | 13.99% | -1.77% | 0.2% | 0.85 | |
| 10,569.29% | 37.33% | -6.4% | -4.98% | 1.19 |
Initial Investment
$10,000.00
Final Value
$1,066,928.75Regulatory Fees
$2,607.06
Total Slippage
$16,219.54
Invest in this strategy
OOS Start Date
Feb 25, 2023
Trading Setting
Daily
Type
Stocks
Category
Regime switching, volatility targeting, leveraged etfs, sector rotation, bonds vs equities, rsi contrarian, daily rebalancing
Tickers in this symphonyThis symphony trades 6 assets in total