Strategy category
Volatility strategies
Strategies that size or time positions using volatility regimes and breakouts. 10 strategies, each backtested on up to 10 markets with the same rules. Figures below are for each strategy's main market over the last five years.
Filter in the strategy library| Strategy | Main market | 5Y CAGR | 5Y Sharpe | 5Y Max DD |
|---|---|---|---|---|
| COMBO-01 Bollinger-Keltner SqueezeTrade volatility expansion after squeeze. | SPY | -0.0% | 0.03 | -15.7% |
| MR-02 Bollinger Band ReversionBuy at lower band, exit at middle band with bandwidth filter. | SPY | 3.1% | 0.39 | -9.0% |
| TREND-17 Chandelier ExitATR-based trailing stop trend system. | SPY | 5.5% | 0.52 | -15.8% |
| CS-02 Low Volatility RotationDefensive rotation into the lowest vol assets. | CS-UNIV | 6.9% | 0.97 | -15.1% |
| VOL-13 Volatility Regime StrategySwitch strategy style based on volatility regime. | SPY | 5.3% | 0.47 | -17.1% |
| REG-14 Volatility Regime SwitchAdapt position size to volatility regime. | SPY | 4.3% | 0.46 | -17.7% |
| VOL-10 Volatility Risk PremiumHarvest volatility risk premium when VRP is high. | SPY | 4.3% | 0.43 | -14.4% |
| RP-01 Volatility TargetScale exposure to hit a 10% vol target. | SPY | 8.4% | 0.66 | -16.6% |
| VOL-01 Volatility BreakoutEnter on large volatility bursts and exit on mean reversion. | USO | 7.5% | 0.54 | -12.9% |
| TREND-20 Vortex IndicatorTrend signals from vortex indicator crossovers. | SPY | 9.4% | 0.89 | -13.0% |