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About
A very aggressive daily trading strategy that uses bond-vs-stock strength as a market mood signal, then buys the most beaten-down leveraged bullish or bearish funds hoping for quick reversals.
This strategy splits money into 5 equal mini-strategies and checks them every day.
Each mini-strategy compares recent strength in bonds versus stocks using RSI, which is just a score of how strong recent price moves have been. If bonds look stronger, it buys 1 beaten-down aggressive fund. If stocks look stronger, it buys 1–2 beaten-down bearish funds that profit when markets fall.
It usually buys recent losers, betting on a snapback.
Out-of-sample annualized return ~50% with Calmar ~1.11 and max drawdown ~45%, vs S&P 500 ~19% return and ~19% drawdown. A daily, mean-reversion strategy across leveraged ETFs aiming for big upside with disciplined risk.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
| Alpha | Beta | R2 | R | |
|---|---|---|---|---|
| 1.12 | 0.96 | 0.07 | 0.27 |
Performance Metrics
| Cumulative Return | Annualized Return | Trailing 1M Return | Trailing 3M Return | Sharpe Ratio | |
|---|---|---|---|---|---|
| 162.09% | 14.85% | -5.4% | -4.54% | 0.8 | |
| 117,877.37% | 176.27% | -33.32% | -17.26% | 1.79 |
Initial Investment
$10,000.00
Final Value
$11,797,737.08Regulatory Fees
$85,662.62
Total Slippage
$762,107.33
Invest in this strategy
OOS Start Date
Jul 12, 2023
Trading Setting
Daily
Type
Stocks
Category
Tactical asset allocation, mean reversion, leveraged etfs, inverse etfs, daily rebalance, multi-strategy, high risk
Tickers in this symphonyThis symphony trades 23 assets in total
Ticker
Type
AGG
iShares Core U.S. Aggregate Bond ETF
Stocks
BND
Vanguard Total Bond Market
Stocks
DRV
Direxion Daily Real Estate Bear 3X ETF
Stocks
EDC
Direxion Daily MSCI Emerging Markets Bull 3X ETF
Stocks
HIBL
Direxion Daily S&P 500 High Beta Bull 3X ETF
Stocks
JDST
Direxion Daily Junior Gold Miners Index Bear 2X ETF
Stocks
LABD
Direxion Daily S&P Biotech Bear 3X ETF
Stocks
LABU
Direxion Daily S&P Biotech Bull 3X ETF
Stocks
PSQ
ProShares Short QQQ
Stocks
QQQ
Invesco QQQ Trust, Series 1
Stocks