Overview & Performance Since March, 2024
While live testing our current strategy, we're simultaneously developing tools to enhance future approaches. Our primary focus is on two key projects: First, we're creating a system to assess signal validity, helping us distinguish between statistically significant signals and mere coincidences. Second, we've initiated a promising machine learning system aimed at predicting signal occurrences, though it's still in its early stages. Both projects show potential but require further development.
We briefly explored a machine learning regime detection system, which yielded interesting results. However, we ultimately shelved this project due to production challenges, as the findings, while intriguing, proved impractical to implement.
| Low | Medium | High | S&P 500 | Nasdaq 100 | |
|---|---|---|---|---|---|
| Cumulative Returns | 5.52% | 3.15% | 1.44% | 10.19% | 12.68% |
| MTD Returns | 1.41% | 1.41% | 1.41% | 2.84% | 3.30% |
| Sharpe | 2.15 | 1.07 | 0.43 | 2.69 | 2.24 |
| Volatility | 6.96% | 8.28% | 10.45% | 10.08% | 15.13% |
| WTD Returns | 0.31% | 0.31% | 0.31% | 0.86% | -0.30% |
| 1D Returns | 0.08% | 0.08% | 0.08% | 0.55% | 0.43% |
| Yield | 3.69% | 3.69% | 3.69% | 1.22% | 0.58% |
Low Vol Strategy
| Weight | Yield | Alternative Symbols | |
|---|---|---|---|
| BIL | 31.53% | 5.64% | ['BOXX'] |
| BTCUSD | 0.00% | 0.00% | ['IBIT', 'GBTC', 'FBTC'] |
| DBA | 18.70% | 4.34% | ['PDBA'] |
| GLD | 14.23% | 0.00% | ['IAU'] |
| TECL | 0.00% | 0.26% | ['TQQQ'] |
| TLT | 0.00% | 4.08% | ['VGLT', 'EDV'] |
| UUP | 13.80% | 6.94% | ['USD', 'DXY'] |
| XLK | 21.74% | 0.65% | ['QQQ'] |
Medium Vol Strategy
| Weight | Yield | Alternative Symbols | |
|---|---|---|---|
| BIL | 31.53% | 5.64% | ['BOXX'] |
| BTCUSD | 0.00% | 0.00% | ['IBIT', 'GBTC', 'FBTC'] |
| DBA | 18.70% | 4.34% | ['PDBA'] |
| GLD | 14.23% | 0.00% | ['IAU'] |
| TECL | 0.00% | 0.26% | ['TQQQ'] |
| TLT | 0.00% | 4.08% | ['VGLT', 'EDV'] |
| UUP | 13.80% | 6.94% | ['USD', 'DXY'] |
| XLK | 21.74% | 0.65% | ['QQQ'] |
High Vol Strategy
| Weight | Yield | Alternative Symbols | |
|---|---|---|---|
| BIL | 31.53% | 5.64% | ['BOXX'] |
| BTCUSD | 0.00% | 0.00% | ['IBIT', 'GBTC', 'FBTC'] |
| DBA | 18.70% | 4.34% | ['PDBA'] |
| GLD | 14.23% | 0.00% | ['IAU'] |
| TECL | 0.00% | 0.26% | ['TQQQ'] |
| TLT | 0.00% | 4.08% | ['VGLT', 'EDV'] |
| UUP | 13.80% | 6.94% | ['USD', 'DXY'] |
| XLK | 21.74% | 0.65% | ['QQQ'] |
Disclaimer:
The above is intended for research purposes only and is not trading or financial advice