Wash Sale 3 Sorted by 5 day Max DD WM 74
Today’s Change (Mar 18, 2026)
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About
A daily, rules‑based switcher that rides uptrends with 2x tech/S&P funds, parks in T‑bills when markets look overheated, and uses bonds, hedges, or inverse ETFs in downtrends. KMLM (managed futures) and VIX guide risk. Chooses the most stable sub‑model each day.
Daily it asks three things:
1) Is the market overheated? If a quick‑move score (RSI) is very high on major ETFs, it parks in cash‑like T‑bills (SGOV/SHV).
2) Is the S&P 500 above its 200‑day line? If yes, it favors 2x tech/S&P funds (ROM, QLD, SSO, SPUU). If no, it prefers bonds, long/short (CLSE), or inverse Nasdaq (PSQ/QID).
3) Is a trend fund (KMLM, a managed‑futures ETF) strong? If yes, it hedges more; if not, it leans risk‑on. A volatility spike (VIX) flips to a simpler SPY/SH/SHV rotation. It then picks the sub‑model with the smallest 5‑day loss.
Out-of-sample, this strategy delivers higher risk-adjusted returns (Sharpe ~1.80 vs ~0.96 for the S&P), lower drawdowns, and steadier upside via daily regime-switching across leveraged equities, bonds, and hedges—designed to outperform the S&P 500.
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Invest in this strategy
OOS Start Date
Oct 25, 2024
Trading Setting
Daily
Type
Stocks
Category
Tactical allocation, trend following, risk-on/risk-off, managed futures switch, leveraged etfs, volatility filter, wash-sale rotation
Tickers in this symphonyThis symphony trades 61 assets in total
Ticker
Type
AGG
iShares Core U.S. Aggregate Bond ETF
Stocks
ALTY
Global X Funds Global X Alternative Income ETF
Stocks
BND
Vanguard Total Bond Market
Stocks
CLSE
Convergence Long/Short Equity ETF
Stocks
CTA
Simplify Managed Futures Strategy ETF
Stocks
EEM
iShares MSCI Emerging Markets ETF
Stocks
EEV
ProShares Trust UltraShort MSCI Emerging Markets
Stocks
FAS
Direxion Daily Financial Bull 3x ETF
Stocks
FXE
Invesco CurrencyShares Euro Currency Trust
Stocks
IAU
iShares Gold Trust
Stocks