Overview & Performance Since March, 2024
Our models have been operational since March and are performing as expected in low-risk mode. We haven't yet seen success with the "risk on" signal, but this is not unusual. Most signals, including ours, typically have a success rate between 50% and 60%. It may take months of forward testing to accurately assess this part of the strategy's effectiveness.
The "risk on" signal is based on a correlation that has performed well historically. However, we cannot predict its future success, and these strategies rely heavily on this single signal for their outsized returns. We are working on a dynamic system that will select and utilize relationships between assets, aiming to provide a more flexible and adaptive signal for future models.
| Low | Medium | High | S&P 500 | Nasdaq 100 | |
|---|---|---|---|---|---|
| Cumulative Returns | 5.19% | 2.82% | 1.12% | 9.24% | 13.01% |
| MTD Returns | 1.10% | 1.10% | 1.10% | 1.95% | 3.60% |
| Sharpe | 2.09 | 0.99 | 0.35 | 2.59 | 2.44 |
| Volatility | 7.14% | 8.50% | 10.74% | 10.08% | 14.99% |
| WTD Returns | 1.10% | 1.10% | 1.10% | 1.95% | 3.60% |
| 1D Returns | 0.35% | 0.35% | 0.35% | 0.55% | 1.02% |
| Yield | 3.70% | 3.70% | 3.70% | 1.23% | 0.58% |
Low Vol Strategy
| Weight | Yield | Alternative Symbols | |
|---|---|---|---|
| BIL | 31.60% | 5.65% | ['BOXX'] |
| BTCUSD | 0.00% | 0.00% | ['IBIT', 'GBTC', 'FBTC'] |
| DBA | 18.62% | 4.37% | ['PDBA'] |
| GLD | 14.14% | 0.00% | ['IAU'] |
| TECL | 0.00% | 0.27% | ['TQQQ'] |
| TLT | 0.00% | 4.14% | ['VGLT', 'EDV'] |
| UUP | 13.94% | 6.90% | ['USD', 'DXY'] |
| XLK | 21.71% | 0.65% | ['QQQ'] |
Medium Vol Strategy
| Weight | Yield | Alternative Symbols | |
|---|---|---|---|
| BIL | 31.60% | 5.65% | ['BOXX'] |
| BTCUSD | 0.00% | 0.00% | ['IBIT', 'GBTC', 'FBTC'] |
| DBA | 18.62% | 4.37% | ['PDBA'] |
| GLD | 14.14% | 0.00% | ['IAU'] |
| TECL | 0.00% | 0.27% | ['TQQQ'] |
| TLT | 0.00% | 4.14% | ['VGLT', 'EDV'] |
| UUP | 13.94% | 6.90% | ['USD', 'DXY'] |
| XLK | 21.71% | 0.65% | ['QQQ'] |
High Vol Strategy
| Weight | Yield | Alternative Symbols | |
|---|---|---|---|
| BIL | 31.60% | 5.65% | ['BOXX'] |
| BTCUSD | 0.00% | 0.00% | ['IBIT', 'GBTC', 'FBTC'] |
| DBA | 18.62% | 4.37% | ['PDBA'] |
| GLD | 14.14% | 0.00% | ['IAU'] |
| TECL | 0.00% | 0.27% | ['TQQQ'] |
| TLT | 0.00% | 4.14% | ['VGLT', 'EDV'] |
| UUP | 13.94% | 6.90% | ['USD', 'DXY'] |
| XLK | 21.71% | 0.65% | ['QQQ'] |
Disclaimer:
The above is intended for research purposes only and is not trading or financial advice