OOS from Nov 2022 — weekly top-2 QLD/QID/GLD, inverse 1M vol
Strategy overview
A weekly adaptive allocation strategy that rotates among a small set of risk-on, risk-off, and defensive sleeves based on relative momentum.
Performance
OOS from Nov 1, 2022 (dashed line).
Key Performance Indicators
111.1%Total return (4.0 yr)
20.6%CAGR (4.0 yr)
14.8%Max drawdownSPY 18.6%
0.91Sharpe ratioSPY 1.05
1.42Sortino ratioSPY 1.57
WeeklyTrading frequency
Nov 1, 2022OOS start
$273KMin. capitalCovers $100/mo fees using 0.4% excess CAGR over SPY (20.6% vs 20.2%), both annualized over the same 4.0-year backtest (Nov 2022 – Oct 2026). Based on backtest; not a guarantee.
Drawdowns
Backtest report
| Series | Total return | CAGR | Max DD (monthly) | Max DD (daily) |
|---|---|---|---|---|
| Strategy | 111.11% | 20.63% | 14.82% | 20.24% |
| SPY (buy & hold) | 108.08% | 20.19% | 17.12% | 18.59% |
| BIL (buy & hold) | 19.16% | 4.50% | 0.00% | 0.02% |