Strategies
Active Strategies
In the table below you will find all the strategies I follow on the blog. The results of the strategy are based on data from January 2000 to the last full month of the current year. The data is updated at the beginning of each month. The table can be freely sorted using the arrows next to the column name. Click on the strategy you are interested in to see detailed statistics.
| Name | CAGR | Max Drawdown | Longest drawdown (months) | Sharpe Ratio | UPI | Standard Deviation |
|---|---|---|---|---|---|---|
| GEM | 9,12% | -19,58% | 32 | 0,61 | 0,98 | 11,89% |
| GFM-4 | 15,88% | -14,41% | 25 | 1,08 | 3,19 | 13,03% |
| GFM-L2-4 | 20,09% | -18,39% | 26 | 1,09 | 2,85 | 16,73% |
| N-GPM | 10,73% | -7,94% | 18 | 1,04 | 3,63 | 8,49% |
| AGG6 | 9,82% | -10,29% | 32 | 0,96 | 2,54 | 8,27% |
| AGG3 | 10,54% | -13,36% | 36 | 0,80 | 1,78 | 10,87% |
| GTAA12 | 7,44% | -13,24% | 31 | 0,81 | 1,68 | 6,92% |
| GTAA5 | 7,84% | -13,38% | 30 | 0,87 | 1,67 | 6,87% |
| N-PAA | 11,71% | -11,24% | 24 | 0,97 | 3,05 | 10,12% |
| VAA-G12-T2-B4 | 9,41% | -27,50% | 50 | 0,72 | 0,87 | 10,46% |
| VAA-G4-T2-B1 | 11,22% | -21,79% | 53 | 1,00 | 1,39 | 9,34% |
| VAA-G4-T1-B1 | 12,65% | -19,66% | 52 | 0,97 | 1,64 | 11,08% |
| DAA-G12-T6-B2 | 10,43% | -17,49% | 47 | 0,97 | 1,82 | 8,87% |
| DAA-G4-T1-B1 | 12,88% | -20,14% | 52 | 0,89 | 1,40 | 12,37% |
| L2-DAA-G12-T6-B2 | 13,48% | -25,47% | 48 | 0,86 | 1,47 | 13,46% |
| L2-DAA-G4-T1-B1 | 17,55% | -29,84% | 63 | 0,88 | 1,31 | 17,77% |
| L3-DAA-G12-T6-B2 | 17,14% | -33,21% | 49 | 0,81 | 1,38 | 18,89% |
| L3-DAA-G4-T1-B1 | 21,11% | -37,73% | 63 | 0,88 | 1,20 | 21,79% |
| The One | 15,65% | -18,34% | 52 | 1,02 | 2,11 | 13,54% |
| The One Lev | 17,90% | -24,91% | 63 | 1,00 | 1,87 | 16,06% |
| The One Lev 2 | 25,46% | -24,36% | 52 | 1,03 | 2,57 | 22,94% |
| ID-Defensive | 12,70% | -13,52% | 34 | 1,13 | 3,09 | 9,61% |
| ID-Standard | 15,41% | -12,84% | 26 | 1,14 | 3,31 | 11,90% |
| ID-Offensive | 15,77% | -14,21% | 25 | 1,14 | 3,17 | 12,18% |
| ID-Aggressive | 17,67% | -20,04% | 25 | 1,10 | 2,66 | 14,32% |
| ID-Extreme | 23,72% | -21,78% | 29 | 1,22 | 3,05 | 17,99% |
| ID-Crazy | 25,64% | -25,84% | 29 | 1,18 | 2,74 | 20,16% |
| ID-Classic | 15,93% | -14,41% | 33 | 1,15 | 3,73 | 12,24% |
| ID-Classic Lev | 19,48% | -14,41% | 30 | 1,17 | 3,39 | 15,06% |
| ID-Extreme 2 | 20,52% | -19,20% | 26 | 1,15 | 2,79 | 16,25% |
Total returns for different time periods
| Name | 1m | 3m | 6m | 12m | YTD | 3y | 5y | 10y | 20y | 25y |
|---|---|---|---|---|---|---|---|---|---|---|
| GEM | 0,43% | 6,34% | 11,6% | 8,3% | 10,9% | 50,9% | 64,4% | 128% | 511% | 1050% |
| GFM-4 | 0,11% | 7,72% | 15,7% | 18,7% | 25,5% | 41,3% | 71,7% | 214% | 1925% | 4642% |
| GFM-L2-4 | 1,01% | 17,14% | 28,0% | 30,4% | 34,6% | 80,3% | 148,7% | 379% | 4853% | 12558% |
| N-GPM | 0,38% | 10,13% | 17,1% | 21,2% | 24,9% | 48,3% | 68,7% | 191% | 636% | 1196% |
| AGG6 | 1,42% | 6,99% | 12,6% | 10,7% | 16,4% | 28,4% | 49,8% | 113% | 551% | 1037% |
| AGG3 | 0,85% | 10,08% | 15,9% | 14,7% | 22,1% | 30,8% | 68,5% | 136% | 774% | 1395% |
| GTAA12 | 1,38% | 4,35% | 9,3% | 10,1% | 14,9% | 19,9% | 36,4% | 74% | 239% | 495% |
| GTAA5 | 1,94% | 6,89% | 12,4% | 17,2% | 21,3% | 39,0% | 44,6% | 89% | 290% | 574% |
| N-PAA | 0,52% | 10,31% | 16,7% | 16,8% | 22,6% | 40,4% | 78,8% | 189% | 899% | 1696% |
| VAA-G12-T2-B4 | 1,90% | 14,08% | 19,4% | 18,1% | 25,0% | 33,4% | 25,5% | 114% | 678% | 1090% |
| VAA-G4-T2-B1 | -0,51% | 5,58% | 8,7% | 7,2% | 9,5% | 9,4% | 0,7% | 64% | 585% | 1513% |
| VAA-G4-T1-B1 | 0,20% | 7,44% | 8,8% | 5,0% | 7,6% | 9,7% | 6,3% | 70% | 743% | 2270% |
| DAA-G12-T6-B2 | 0,55% | 8,49% | 14,7% | 14,6% | 18,7% | 28,4% | 30,1% | 130% | 616% | 1246% |
| DAA-G4-T1-B1 | 0,20% | 7,44% | 8,8% | 10,5% | 13,3% | 15,5% | 12,0% | 64% | 723% | 2442% |
| L2-DAA-G12-T6-B2 | 0,07% | 11,64% | 21,8% | 14,6% | 23,2% | 36,0% | 43,7% | 196% | 1090% | 2682% |
| L2-DAA-G4-T1-B1 | -0,21% | 7,47% | 5,9% | 11,3% | 17,7% | 14,5% | 5,0% | 151% | 2468% | 8106% |
| L3-DAA-G12-T6-B2 | -0,46% | 14,10% | 31,3% | 16,4% | 29,7% | 39,5% | 51,2% | 273% | 1889% | 6614% |
| L3-DAA-G4-T1-B1 | -0,69% | 15,48% | 29,1% | 28,9% | 40,7% | 35,7% | 21,7% | 258% | 6444% | 19869% |
| The One | -1,22% | 5,92% | 9,8% | 0,3% | 2,8% | 2,9% | 3,3% | 104% | 1320% | 4584% |
| The One Lev | -0,21% | 10,86% | 15,0% | -6,5% | -1,2% | 2,2% | -4,4% | 135% | 2467% | 8119% |
| The One Lev 2 | -4,54% | 15,50% | 21,0% | -1,7% | 4,0% | 7,6% | 15,8% | 217% | 5521% | 37914% |
| ID-Defensive | 0,37% | 8,19% | 15,1% | 16,3% | 21,5% | 33,6% | 45,8% | 162% | 1011% | 2190% |
| ID-Standard | 0,13% | 7,67% | 14,3% | 17,1% | 23,0% | 36,0% | 58,2% | 178% | 1631% | 4211% |
| ID-Offensive | -0,02% | 7,01% | 15,5% | 8,6% | 14,0% | 34,3% | 56,1% | 258% | 2012% | 4284% |
| ID-Aggressive | 0,01% | 8,67% | 20,3% | 5,9% | 12,1% | 39,2% | 65,5% | 371% | 3227% | 6586% |
| ID-Extreme | -1,03% | 14,43% | 26,4% | 1,0% | 6,1% | 36,4% | 62,5% | 462% | 7380% | 24462% |
| ID-Crazy | -1,34% | 15,58% | 29,7% | -1,2% | 4,2% | 38,8% | 65,7% | 591% | 11094% | 36281% |
| ID-Classic | -0,42% | 7,00% | 13,3% | 11,1% | 16,0% | 24,8% | 40,8% | 167% | 1699% | 4761% |
| ID-Classic Lev | 0,53% | 14,62% | 22,7% | 14,4% | 19,3% | 44,7% | 71,5% | 269% | 3882% | 11131% |
| ID-Extreme 2 | 0,15% | 15,12% | 26,7% | 11,6% | 15,5% | 52,6% | 85,0% | 429% | 5607% | 13104% |
| SPY/IEF | -1,3% | 3,7% | 10,2% | 8,6% | 14,6% | 36,6% | 43,9% | 295% | 1118% | 1471% |
| SPY/TLT | -0,4% | 5,3% | 11,5% | 7,0% | 12,8% | 37,4% | 39,8% | 346% | 1621% | 2093% |
| QQQ/TLT | -2,0% | 8,1% | 12,8% | 12,9% | 15,4% | 61,7% | 46,0% | 511% | 2919% | 3091% |
| IWM/TLT | -2,8% | 3,6% | 17,9% | 0,8% | 12,4% | 16,6% | 7,7% | 226% | 1385% | 2574% |
| SSO/TLT | -3,1% | 6,3% | 17,4% | 9,7% | 22,4% | 54,9% | 56,5% | 911% | 6716% | 8555% |
| QLD/TLT | -6,4% | 11,7% | 19,4% | 20,0% | 26,3% | 105,1% | 56,1% | 1562% | 17000% | 13787% |
| MVV/TLT | -2,6% | -4,3% | 9,9% | -11,6% | 7,3% | 1,7% | 10,7% | 555% | 7712% | 46612% |
| SPXL/TLT | -5,7% | 7,4% | 23,6% | 11,0% | 31,5% | 70,2% | 65,9% | 1953% | 24844% | 30978% |
| SPXL/TMF | -2,4% | 12,9% | 29,7% | 5,3% | 24,8% | 63,3% | 40,1% | 2536% | 67969% | 110612% |
| TQQQ/TLT | -10,7% | 14,8% | 25,8% | 24,8% | 35,4% | 144,6% | 45,4% | 3524% | 79523% | 44378% |
| TQQQ/TMF | -7,5% | 20,8% | 32,0% | 18,4% | 28,5% | 134,7% | 22,8% | 4552% | 217179% | 158348% |
| S-SPY/IEF/TLT/CASH | 0,2% | 6,2% | 16,6% | -10,1% | -7,6% | 21,6% | 30,4% | 349% | 1647% | 2223% |
| S-SPY/QQQ/VO/IEF/TLT/CASH | 0,2% | 6,2% | 16,6% | -6,8% | -7,6% | 24,3% | 31,7% | 413% | 2353% | 3934% |
| S-QQQ/IEF/TLT/CASH | -1,6% | 8,7% | 19,6% | -8,5% | -9,2% | 22,1% | 22,7% | 447% | 2519% | 2797% |
| S-IWM/IEF/TLT/CASH | 1,0% | 6,1% | 22,0% | -18,7% | -10,8% | 4,0% | 1,7% | 222% | 1396% | 2619% |
| S-SSO/IEF/TLT/CASH | -0,2% | 10,9% | 31,3% | -21,8% | -17,0% | 26,4% | 39,0% | 908% | 7383% | 10034% |
| S-QLD/IEF/TLT/CASH | -3,9% | 15,7% | 37,3% | -19,7% | -20,7% | 23,9% | 16,6% | 1245% | 14389% | 12507% |
| S-MVV/IEF/TLT/CASH | 3,4% | 2,0% | 18,2% | -44,5% | -34,4% | -18,2% | -11,5% | 457% | 6726% | 39922% |
| S-SSO/QLD/MVV/IEF/TLT/CASH | -3,9% | 15,7% | 37,3% | -10,2% | -11,3% | 38,5% | 46,0% | 1094% | 17466% | 102897% |
| S-SPXL/IEF/TLT/CASH | -0,7% | 15,6% | 47,8% | -32,9% | -26,4% | 28,9% | 43,3% | 1953% | 29713% | 40352% |
| S-TQQQ/IEF/TLT/CASH | -6,5% | 22,2% | 56,4% | -31,6% | -32,5% | 18,1% | -1,1% | 2583% | 63342% | 38681% |
| S-SPXL/TMF/CASH | -0,7% | 15,6% | 47,8% | -46,6% | -41,4% | 5,8% | 17,6% | 2553% | 59144% | 99501% |
| S-TQQQ/TMF/CASH | -6,5% | 22,2% | 56,4% | -45,6% | -46,3% | -3,1% | -18,8% | 3366% | 125971% | 95387% |
Results for VIX-Model and SlowVIX
Available data from 04.2008 except for portfolios with SPXL (from 04.2009) and TQQQ (from 02.2010).
| Name | CAGR | Max Drawdown | Sharpe Ratio | UPI |
|---|---|---|---|---|
| SPY/IEF | 15,02% | -26,31% | 1,00 | 2,19 |
| SPY/TLT | 17,44% | -28,27% | 1,05 | 2,33 |
| QQQ/TLT | 21,45% | -39,22% | 1,12 | 2,05 |
| IWM/TLT | 16,70% | -31,58% | 0,78 | 1,36 |
| VO/TLT | 17,72% | -29,99% | 0,97 | 1,85 |
| SSO/TLT | 27,84% | -48,33% | 0,95 | 1,94 |
| QLD/TLT | 34,90% | -64,36% | 1,01 | 1,77 |
| MVV/TLT | 27,16% | -45,81% | 0,78 | 1,53 |
| SPXL/TLT | 41,94% | -63,47% | 1,00 | 1,95 |
| SPXL/TMF | 47,88% | -66,94% | 1,04 | 2,06 |
| TQQQ/TLT | 47,44% | -81,02% | 0,95 | 1,56 |
| TQQQ/TMF | 54,63% | -82,34% | 1,02 | 1,73 |
| Name | CAGR | Max Drawdown | Sharpe Ratio | UPI |
|---|---|---|---|---|
| S-SPY/IEF/TLT/CASH | 16,85% | -24,91% | 1,04 | 1,92 |
| S-SPY/QQQ/VO/IEF/TLT/CASH | 19,59% | -26,64% | 1,06 | 1,98 |
| S-QQQ/IEF/TLT/CASH | 19,85% | -30,50% | 1,07 | 1,73 |
| S-IWM/IEF/TLT/CASH | 15,89% | -38,43% | 0,75 | 1,13 |
| S-VO/IEF/TLT/CASH | 16,95% | -27,02% | 0,95 | 1,64 |
| S-SSO/IEF/TLT/CASH | 27,24% | -43,60% | 0,95 | 1,68 |
| S-QLD/IEF/TLT/CASH | 32,75% | -55,87% | 0,97 | 1,52 |
| S-MVV/IEF/TLT/CASH | 25,48% | -57,67% | 0,74 | 1,22 |
| S-SSO/QLD/MVV/IEF/TLT/CASH | 31,84% | -47,94% | 0,95 | 1,72 |
| S-SPXL/IEF/TLT/CASH | 41,96% | -58,96% | 1,02 | 1,83 |
| S-TQQQ/IEF/TLT/CASH | 43,42% | -75,04% | 0,89 | 1,38 |
| S-SPXL/TMF/CASH | 50,07% | -66,44% | 1,12 | 2,14 |
| S-TQQQ/TMF/CASH | 48,59% | -79,61% | 0,94 | 1,53 |