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 | 9,60% | -19,58% | 32 | 0,64 | 1,04 | 12,06% |
| GFM-4 | 16,14% | -14,41% | 25 | 1,07 | 3,31 | 13,30% |
| GFM-L2-4 | 20,10% | -18,39% | 26 | 1,07 | 2,80 | 16,98% |
| N-GPM | 11,33% | -8,13% | 18 | 1,09 | 3,94 | 8,62% |
| AGG6 | 10,61% | -10,29% | 32 | 1,04 | 2,79 | 8,36% |
| AGG3 | 10,86% | -13,36% | 26 | 0,81 | 2,04 | 11,02% |
| GTAA12 | 7,78% | -13,20% | 31 | 0,83 | 1,79 | 7,05% |
| GTAA5 | 7,89% | -13,38% | 30 | 0,85 | 1,67 | 7,07% |
| N-PAA | 12,35% | -11,24% | 24 | 1,02 | 3,25 | 10,29% |
| VAA-G12-T2-B4 | 9,43% | -27,50% | 50 | 0,72 | 0,91 | 10,52% |
| VAA-G4-T2-B1 | 11,86% | -21,79% | 55 | 1,03 | 1,48 | 9,66% |
| VAA-G4-T1-B1 | 13,14% | -19,66% | 53 | 1,02 | 1,75 | 10,98% |
| DAA-G12-T6-B2 | 10,78% | -17,49% | 47 | 1,01 | 1,93 | 8,84% |
| DAA-G4-T1-B1 | 13,40% | -20,14% | 52 | 0,94 | 1,53 | 12,25% |
| L2-DAA-G12-T6-B2 | 13,37% | -25,47% | 48 | 0,85 | 1,48 | 13,45% |
| L2-DAA-G4-T1-B1 | 18,68% | -29,84% | 65 | 0,94 | 1,62 | 17,89% |
| L3-DAA-G12-T6-B2 | 16,80% | -33,21% | 49 | 0,79 | 1,36 | 18,82% |
| L3-DAA-G4-T1-B1 | 22,73% | -37,73% | 64 | 0,96 | 1,55 | 21,75% |
| The One | 15,74% | -18,34% | 53 | 1,03 | 2,18 | 13,46% |
| The One Lev | 18,68% | -24,91% | 69 | 1,05 | 2,06 | 15,92% |
| The One Lev 2 | 26,46% | -24,36% | 53 | 1,05 | 2,70 | 23,30% |
| ID-Defensive | 13,02% | -13,52% | 34 | 1,14 | 3,21 | 9,72% |
| ID-Standard | 15,72% | -12,84% | 26 | 1,14 | 3,49 | 12,15% |
| ID-Offensive | 16,03% | -14,21% | 25 | 1,15 | 3,32 | 12,35% |
| ID-Aggressive | 17,99% | -19,87% | 25 | 1,11 | 2,82 | 14,51% |
| ID-Extreme | 24,23% | -21,78% | 29 | 1,22 | 3,11 | 18,27% |
| ID-Crazy | 26,25% | -25,84% | 29 | 1,19 | 2,81 | 20,46% |
| ID-Classic | 16,11% | -14,41% | 33 | 1,14 | 3,87 | 12,42% |
| ID-Classic Lev | 19,79% | -14,41% | 30 | 1,18 | 3,67 | 15,17% |
| ID-Extreme 2 | 20,85% | -19,20% | 26 | 1,16 | 2,93 | 16,37% |
Total returns for different time periods
| Name | 1m | 3m | 6m | 12m | YTD | 3y | 5y | 10y | 20y | 25y |
|---|---|---|---|---|---|---|---|---|---|---|
| GEM | 3,81% | 2,82% | 17,3% | 30,9% | 14,4% | 73,8% | 64,9% | 176% | 520% | 1185% |
| GFM-4 | 3,85% | -4,97% | 8,7% | 25,9% | 7,9% | 61,8% | 57,5% | 257% | 1860% | 5270% |
| GFM-L2-4 | 5,10% | -6,82% | 9,2% | 39,8% | 9,5% | 114,7% | 117,4% | 471% | 4437% | 14276% |
| N-GPM | 1,69% | 6,51% | 22,2% | 43,0% | 20,9% | 82,4% | 82,7% | 260% | 735% | 1439% |
| AGG6 | 2,18% | 4,27% | 16,5% | 31,2% | 15,3% | 52,9% | 46,5% | 144% | 577% | 1284% |
| AGG3 | 2,66% | -2,53% | 13,6% | 31,6% | 11,2% | 53,2% | 58,1% | 173% | 723% | 1517% |
| GTAA12 | 0,50% | 0,32% | 9,3% | 19,5% | 9,2% | 36,9% | 30,7% | 86% | 246% | 545% |
| GTAA5 | 1,47% | -4,09% | 5,0% | 18,0% | 4,4% | 45,8% | 37,7% | 97% | 272% | 567% |
| N-PAA | 2,28% | -1,30% | 13,2% | 32,1% | 11,6% | 60,9% | 71,5% | 231% | 877% | 1954% |
| VAA-G12-T2-B4 | 0,00% | -9,65% | 1,8% | 21,6% | 1,1% | 45,4% | 9,6% | 118% | 627% | 1061% |
| VAA-G4-T2-B1 | 0,00% | -7,61% | 3,5% | 12,6% | 1,9% | 18,5% | -3,3% | 70% | 539% | 1717% |
| VAA-G4-T1-B1 | 0,00% | -8,44% | 6,2% | 15,5% | 3,0% | 21,9% | 3,1% | 83% | 617% | 2277% |
| DAA-G12-T6-B2 | 2,29% | -0,39% | 10,1% | 26,2% | 9,1% | 44,7% | 26,5% | 142% | 609% | 1429% |
| DAA-G4-T1-B1 | 5,26% | -3,62% | 11,8% | 21,6% | 8,4% | 35,2% | 14,3% | 86% | 636% | 2680% |
| L2-DAA-G12-T6-B2 | 5,25% | -4,78% | 5,0% | 27,8% | 4,5% | 47,4% | 23,3% | 195% | 1040% | 2967% |
| L2-DAA-G4-T1-B1 | 10,29% | -7,33% | 10,0% | 16,5% | 10,4% | 42,7% | 8,1% | 147% | 2144% | 9687% |
| L3-DAA-G12-T6-B2 | 8,52% | -3,93% | 5,6% | 38,6% | 5,7% | 55,1% | 21,8% | 275% | 1733% | 6506% |
| L3-DAA-G4-T1-B1 | 15,48% | -2,97% | 14,6% | 47,9% | 15,6% | 79,0% | 29,6% | 262% | 6297% | 24958% |
| The One | 4,32% | -4,81% | 10,4% | 21,3% | 7,0% | 17,3% | 6,6% | 112% | 1115% | 4532% |
| The One Lev | 10,29% | 0,65% | 12,7% | 29,6% | 13,2% | 19,0% | 4,9% | 144% | 2309% | 8712% |
| The One Lev 2 | 13,62% | -7,87% | 22,9% | 49,4% | 18,3% | 37,1% | 20,9% | 262% | 4787% | 46047% |
| ID-Defensive | 2,91% | -2,20% | 9,6% | 26,1% | 8,7% | 51,6% | 38,5% | 185% | 990% | 2500% |
| ID-Standard | 4,13% | -4,70% | 9,4% | 25,0% | 8,0% | 56,4% | 48,2% | 215% | 1548% | 4743% |
| ID-Offensive | 4,49% | -0,08% | 10,3% | 27,5% | 9,8% | 53,5% | 47,1% | 300% | 2039% | 4814% |
| ID-Aggressive | 5,78% | 2,37% | 12,5% | 35,4% | 12,0% | 62,4% | 52,5% | 431% | 3311% | 7540% |
| ID-Extreme | 9,75% | 1,67% | 19,4% | 51,1% | 18,5% | 70,3% | 55,1% | 560% | 7165% | 29138% |
| ID-Crazy | 11,44% | 4,96% | 22,7% | 59,4% | 22,0% | 78,1% | 59,5% | 733% | 11122% | 44403% |
| ID-Classic | 4,03% | -4,91% | 9,4% | 24,0% | 7,5% | 42,7% | 35,3% | 192% | 1555% | 5111% |
| ID-Classic Lev | 7,18% | -3,87% | 10,6% | 35,7% | 11,0% | 70,7% | 64,0% | 316% | 3574% | 12353% |
| ID-Extreme 2 | 8,29% | 2,05% | 14,3% | 44,8% | 14,9% | 84,8% | 76,0% | 518% | 5580% | 15059% |
| SPY/IEF | 5,3% | 10,6% | 11,4% | 22,8% | 11,3% | 47,2% | 45,8% | 306% | 1256% | 1573% |
| SPY/TLT | 5,3% | 9,6% | 10,3% | 23,0% | 10,2% | 46,6% | 40,3% | 349% | 1797% | 2282% |
| QQQ/TLT | 10,6% | 19,9% | 17,7% | 32,7% | 18,5% | 59,9% | 60,3% | 586% | 3709% | 3599% |
| IWM/TLT | 4,5% | 10,6% | 16,6% | 37,5% | 17,4% | 45,4% | 10,9% | 250% | 1560% | 2972% |
| SSO/TLT | 10,3% | 19,7% | 19,4% | 40,2% | 19,9% | 80,6% | 56,5% | 943% | 8093% | 10080% |
| QLD/TLT | 21,5% | 42,8% | 35,2% | 61,5% | 37,9% | 106,9% | 87,9% | 2029% | 26774% | 18399% |
| MVV/TLT | 4,5% | 8,3% | 24,9% | 37,3% | 25,5% | 50,3% | 3,9% | 555% | 7336% | 57346% |
| SPXL/TLT | 15,5% | 30,5% | 28,8% | 59,2% | 30,0% | 117,3% | 65,4% | 2072% | 32465% | 39336% |
| SPXL/TMF | 15,5% | 26,2% | 24,6% | 61,7% | 25,7% | 101,7% | 35,1% | 2487% | 85874% | 133935% |
| TQQQ/TLT | 33,1% | 68,9% | 53,6% | 93,2% | 58,7% | 151,7% | 91,4% | 5179% | 154848% | 67186% |
| TQQQ/TMF | 33,1% | 63,4% | 48,6% | 96,1% | 53,5% | 133,7% | 56,4% | 6190% | 408975% | 228591% |
| S-SPY/IEF/TLT/CASH | 5,3% | 10,6% | 11,3% | 29,8% | 11,2% | 35,3% | 26,2% | 367% | 1801% | 2372% |
| S-SPY/QQQ/VO/IEF/TLT/CASH | 5,3% | 10,6% | 11,3% | 29,8% | 11,2% | 38,4% | 32,6% | 455% | 2570% | 4192% |
| S-QQQ/IEF/TLT/CASH | 10,6% | 21,7% | 19,5% | 42,9% | 20,3% | 45,9% | 32,7% | 535% | 3171% | 3210% |
| S-IWM/IEF/TLT/CASH | 4,5% | 11,3% | 17,4% | 43,1% | 18,2% | 22,1% | -1,0% | 257% | 1537% | 2950% |
| S-SSO/IEF/TLT/CASH | 10,3% | 20,0% | 19,7% | 57,2% | 20,1% | 51,3% | 27,7% | 996% | 8532% | 11493% |
| S-QLD/IEF/TLT/CASH | 21,5% | 44,8% | 37,2% | 88,4% | 39,9% | 70,0% | 34,5% | 1727% | 21854% | 16431% |
| S-MVV/IEF/TLT/CASH | 4,5% | 7,1% | 23,5% | 45,9% | 24,1% | 1,0% | -26,5% | 497% | 5946% | 47137% |
| S-SSO/QLD/MVV/IEF/TLT/CASH | 21,5% | 44,8% | 37,2% | 88,4% | 39,9% | 90,1% | 68,5% | 1521% | 17185% | 134955% |
| S-SPXL/IEF/TLT/CASH | 15,5% | 29,9% | 28,2% | 89,5% | 29,3% | 65,3% | 25,1% | 2245% | 36196% | 49470% |
| S-TQQQ/IEF/TLT/CASH | 33,1% | 71,0% | 55,5% | 143,3% | 60,7% | 83,7% | 22,6% | 4156% | 115794% | 57553% |
| S-SPXL/TMF/CASH | 15,5% | 29,9% | 28,2% | 89,5% | 29,3% | 35,6% | 2,7% | 2777% | 72027% | 123926% |
| S-TQQQ/TMF/CASH | 33,1% | 71,0% | 55,5% | 143,3% | 60,7% | 50,8% | 0,5% | 5120% | 230203% | 144151% |
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 | 15,23% | -26,31% | 1,01 | 2,24 |
| SPY/TLT | 17,53% | -28,27% | 1,05 | 2,36 |
| QQQ/TLT | 21,88% | -39,22% | 1,14 | 2,11 |
| IWM/TLT | 17,09% | -31,58% | 0,80 | 1,41 |
| VO/TLT | 17,81% | -29,99% | 0,98 | 1,88 |
| SSO/TLT | 28,17% | -48,33% | 0,97 | 1,98 |
| QLD/TLT | 36,00% | -64,36% | 1,04 | 1,84 |
| MVV/TLT | 27,92% | -45,81% | 0,80 | 1,57 |
| SPXL/TLT | 42,48% | -63,47% | 1,01 | 1,99 |
| SPXL/TMF | 47,99% | -66,94% | 1,05 | 2,06 |
| TQQQ/TLT | 49,51% | -81,02% | 0,99 | 1,63 |
| TQQQ/TMF | 56,26% | -82,34% | 1,05 | 1,76 |
| Name | CAGR | Max Drawdown | Sharpe Ratio | UPI |
|---|---|---|---|---|
| S-SPY/IEF/TLT/CASH | 17,06% | -24,91% | 1,05 | 1,93 |
| S-SPY/QQQ/VO/IEF/TLT/CASH | 20,19% | -26,64% | 1,10 | 2,04 |
| S-QQQ/IEF/TLT/CASH | 20,44% | -30,50% | 1,10 | 1,76 |
| S-IWM/IEF/TLT/CASH | 16,43% | -38,43% | 0,77 | 1,15 |
| S-VO/IEF/TLT/CASH | 17,06% | -27,02% | 0,96 | 1,60 |
| S-SSO/IEF/TLT/CASH | 27,68% | -43,60% | 0,97 | 1,68 |
| S-QLD/IEF/TLT/CASH | 34,06% | -55,87% | 1,01 | 1,54 |
| S-MVV/IEF/TLT/CASH | 26,23% | -57,67% | 0,76 | 1,20 |
| S-SSO/QLD/MVV/IEF/TLT/CASH | 33,16% | -47,94% | 0,99 | 1,77 |
| S-SPXL/IEF/TLT/CASH | 42,61% | -58,96% | 1,04 | 1,81 |
| S-TQQQ/IEF/TLT/CASH | 45,78% | -75,04% | 0,94 | 1,41 |
| S-SPXL/TMF/CASH | 50,53% | -66,44% | 1,13 | 2,07 |
| S-TQQQ/TMF/CASH | 50,87% | -79,61% | 0,98 | 1,52 |