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 | 9,19% | -19,58% | 32 | 0,61 | 0,99 | 12,01% |
| GFM-4 | 16,09% | -14,41% | 25 | 1,06 | 3,32 | 13,33% |
| GFM-L2-4 | 20,02% | -18,39% | 26 | 1,07 | 2,80 | 17,02% |
| N-GPM | 11,10% | -8,13% | 18 | 1,07 | 3,83 | 8,59% |
| AGG6 | 10,42% | -10,29% | 32 | 1,02 | 2,72 | 8,35% |
| AGG3 | 10,65% | -13,36% | 26 | 0,79 | 1,99 | 11,03% |
| GTAA12 | 7,69% | -13,20% | 31 | 0,82 | 1,75 | 7,06% |
| GTAA5 | 7,84% | -13,38% | 30 | 0,84 | 1,66 | 7,09% |
| N-PAA | 12,10% | -11,24% | 24 | 0,99 | 3,17 | 10,28% |
| VAA-G12-T2-B4 | 9,49% | -27,50% | 50 | 0,72 | 0,92 | 10,55% |
| VAA-G4-T2-B1 | 11,93% | -21,79% | 55 | 1,04 | 1,49 | 9,69% |
| VAA-G4-T1-B1 | 13,22% | -19,66% | 53 | 1,03 | 1,76 | 11,01% |
| DAA-G12-T6-B2 | 10,75% | -17,49% | 47 | 1,00 | 1,92 | 8,86% |
| DAA-G4-T1-B1 | 13,26% | -20,14% | 52 | 0,93 | 1,51 | 12,26% |
| L2-DAA-G12-T6-B2 | 13,23% | -25,47% | 48 | 0,84 | 1,46 | 13,46% |
| L2-DAA-G4-T1-B1 | 18,36% | -29,84% | 65 | 0,92 | 1,59 | 17,86% |
| L3-DAA-G12-T6-B2 | 16,54% | -33,21% | 49 | 0,78 | 1,34 | 18,83% |
| L3-DAA-G4-T1-B1 | 22,20% | -37,73% | 64 | 0,94 | 1,51 | 21,66% |
| The One | 15,67% | -18,34% | 53 | 1,02 | 2,17 | 13,49% |
| The One Lev | 18,37% | -24,91% | 67 | 1,04 | 2,03 | 15,88% |
| The One Lev 2 | 26,04% | -24,36% | 53 | 1,04 | 2,67 | 23,26% |
| ID-Defensive | 12,99% | -13,52% | 34 | 1,14 | 3,20 | 9,75% |
| ID-Standard | 15,65% | -12,84% | 26 | 1,13 | 3,50 | 12,17% |
| ID-Offensive | 15,81% | -14,21% | 25 | 1,13 | 3,26 | 12,36% |
| ID-Aggressive | 17,58% | -19,87% | 25 | 1,08 | 2,74 | 14,50% |
| ID-Extreme | 23,64% | -21,78% | 29 | 1,19 | 3,02 | 18,24% |
| ID-Crazy | 25,46% | -25,84% | 29 | 1,16 | 2,72 | 20,39% |
| ID-Classic | 16,06% | -14,41% | 33 | 1,14 | 3,89 | 12,45% |
| ID-Classic Lev | 19,62% | -14,41% | 30 | 1,17 | 3,65 | 15,18% |
| ID-Extreme 2 | 20,40% | -19,20% | 26 | 1,13 | 2,86 | 16,36% |
Total returns for different time periods
| Name | 1m | 3m | 6m | 12m | YTD | 3y | 5y | 10y | 20y | 25y |
|---|---|---|---|---|---|---|---|---|---|---|
| GEM | -8,07% | 2,25% | 7,8% | 21,5% | 2,3% | 54,5% | 56,3% | 152% | 460% | 1046% |
| GFM-4 | -8,35% | 4,03% | 6,0% | 21,1% | 4,0% | 58,1% | 61,7% | 245% | 1780% | 4936% |
| GFM-L2-4 | -11,21% | 4,34% | 9,1% | 32,9% | 4,3% | 109,9% | 123,5% | 441% | 4219% | 13220% |
| N-GPM | -0,89% | 12,54% | 17,8% | 38,0% | 12,5% | 71,2% | 79,2% | 236% | 670% | 1325% |
| AGG6 | -2,02% | 8,33% | 11,9% | 24,6% | 8,3% | 42,2% | 46,7% | 130% | 531% | 1207% |
| AGG3 | -8,86% | 4,00% | 8,6% | 23,6% | 4,0% | 42,2% | 59,4% | 154% | 664% | 1418% |
| GTAA12 | -3,03% | 5,58% | 7,4% | 17,2% | 5,6% | 30,5% | 32,8% | 80% | 231% | 525% |
| GTAA5 | -6,45% | 1,83% | 5,7% | 18,8% | 1,8% | 42,2% | 40,0% | 92% | 265% | 551% |
| N-PAA | -8,69% | 3,21% | 8,5% | 26,8% | 3,2% | 51,9% | 69,5% | 206% | 798% | 1790% |
| VAA-G12-T2-B4 | -9,82% | 0,89% | 7,9% | 21,1% | 0,9% | 40,9% | 12,2% | 109% | 610% | 1050% |
| VAA-G4-T2-B1 | -7,79% | 1,66% | 4,8% | 12,1% | 1,7% | 18,8% | -2,8% | 68% | 541% | 1701% |
| VAA-G4-T1-B1 | -8,61% | 2,76% | 7,8% | 15,1% | 2,8% | 20,2% | 3,6% | 78% | 618% | 2255% |
| DAA-G12-T6-B2 | -2,80% | 6,45% | 11,2% | 27,1% | 6,4% | 43,2% | 27,6% | 135% | 585% | 1375% |
| DAA-G4-T1-B1 | -8,61% | 2,76% | 7,8% | 21,2% | 2,8% | 26,6% | 9,1% | 72% | 601% | 2517% |
| L2-DAA-G12-T6-B2 | -9,70% | -0,86% | 3,8% | 25,1% | -0,9% | 43,7% | 23,9% | 180% | 930% | 2829% |
| L2-DAA-G4-T1-B1 | -16,14% | -0,09% | 3,4% | 20,6% | -0,1% | 25,0% | -1,5% | 132% | 1914% | 8722% |
| L3-DAA-G12-T6-B2 | -11,64% | -2,81% | 1,6% | 31,5% | -2,8% | 48,6% | 21,5% | 245% | 1482% | 6080% |
| L3-DAA-G4-T1-B1 | -16,14% | -0,09% | 4,0% | 46,3% | -0,1% | 47,3% | 12,8% | 230% | 5384% | 21472% |
| The One | -8,61% | 2,76% | 6,2% | 16,2% | 2,8% | 11,3% | 4,0% | 107% | 1057% | 4248% |
| The One Lev | -8,61% | 2,76% | 6,4% | 17,5% | 2,8% | 6,7% | -3,2% | 130% | 2070% | 7723% |
| The One Lev 2 | -18,79% | 4,30% | 10,2% | 31,5% | 4,3% | 19,4% | 8,4% | 231% | 4173% | 39670% |
| ID-Defensive | -5,02% | 5,53% | 9,2% | 24,8% | 5,5% | 49,3% | 40,8% | 176% | 951% | 2380% |
| ID-Standard | -8,40% | 3,78% | 6,4% | 21,2% | 3,8% | 51,5% | 50,0% | 202% | 1479% | 4444% |
| ID-Offensive | -7,41% | 1,74% | 3,6% | 14,1% | 1,7% | 43,5% | 44,7% | 273% | 1852% | 4352% |
| ID-Aggressive | -8,96% | -0,38% | 2,0% | 13,2% | -0,4% | 45,7% | 46,5% | 378% | 2882% | 6544% |
| ID-Extreme | -13,30% | 1,06% | 5,5% | 20,8% | 1,1% | 46,3% | 41,0% | 475% | 5992% | 24320% |
| ID-Crazy | -14,37% | -0,47% | 3,9% | 19,9% | -0,5% | 46,3% | 40,0% | 596% | 8824% | 35460% |
| ID-Classic | -8,46% | 3,52% | 6,1% | 19,2% | 3,5% | 37,8% | 36,1% | 184% | 1484% | 4789% |
| ID-Classic Lev | -10,17% | 3,73% | 8,0% | 26,6% | 3,7% | 61,2% | 61,6% | 293% | 3328% | 11240% |
| ID-Extreme 2 | -10,51% | 0,72% | 4,8% | 22,1% | 0,7% | 64,2% | 65,3% | 448% | 4793% | 12888% |
| SPY/IEF | -4,9% | -4,3% | -4,1% | 9,0% | -4,3% | 29,1% | 32,8% | 256% | 1033% | 1325% |
| SPY/TLT | -5,8% | -5,2% | -3,6% | 6,3% | -5,2% | 28,6% | 27,8% | 294% | 1485% | 1900% |
| QQQ/TLT | -6,3% | -7,4% | -5,6% | 8,1% | -7,4% | 35,5% | 31,2% | 442% | 2673% | 2724% |
| IWM/TLT | -5,6% | 0,3% | 0,0% | 17,2% | 0,3% | 21,0% | -3,3% | 211% | 1230% | 2461% |
| SSO/TLT | -10,6% | -10,4% | -11,1% | 9,5% | -10,4% | 38,8% | 30,7% | 709% | 5669% | 7327% |
| QLD/TLT | -11,5% | -14,6% | -15,3% | 11,5% | -14,6% | 48,2% | 26,6% | 1239% | 14295% | 11091% |
| MVV/TLT | -10,2% | 4,1% | -1,2% | 15,6% | 4,1% | 13,4% | -6,1% | 480% | 6105% | 46439% |
| SPXL/TLT | -15,2% | -15,6% | -18,3% | 11,6% | -15,6% | 46,2% | 26,5% | 1388% | 19225% | 24912% |
| SPXL/TMF | -18,0% | -18,3% | -16,9% | 2,5% | -18,3% | 35,7% | 3,4% | 1673% | 50919% | 80388% |
| TQQQ/TLT | -16,7% | -21,8% | -24,9% | 12,3% | -21,8% | 52,6% | 6,0% | 2555% | 61108% | 32284% |
| TQQQ/TMF | -19,5% | -24,3% | -23,6% | 3,1% | -24,3% | 41,6% | -13,3% | 3064% | 161494% | 104113% |
| S-SPY/IEF/TLT/CASH | -4,9% | -4,4% | -1,8% | -0,7% | -4,4% | 16,3% | 15,0% | 310% | 1500% | 2006% |
| S-SPY/QQQ/VO/IEF/TLT/CASH | -4,9% | -4,4% | -1,8% | -0,7% | -4,4% | 19,0% | 19,3% | 382% | 2147% | 3556% |
| S-QQQ/IEF/TLT/CASH | -4,8% | -5,9% | -3,6% | 0,3% | -5,9% | 14,1% | 8,6% | 402% | 2300% | 2464% |
| S-IWM/IEF/TLT/CASH | -5,0% | 0,9% | 3,0% | 6,7% | 0,9% | 4,3% | -13,7% | 217% | 1223% | 2480% |
| S-SSO/IEF/TLT/CASH | -10,4% | -10,2% | -7,1% | -5,5% | -10,2% | 13,0% | 6,7% | 750% | 6063% | 8480% |
| S-QLD/IEF/TLT/CASH | -10,3% | -13,3% | -11,0% | -4,4% | -13,3% | 5,3% | -9,4% | 1049% | 11840% | 10046% |
| S-MVV/IEF/TLT/CASH | -11,2% | 3,0% | 4,2% | -7,2% | 3,0% | -16,2% | -33,6% | 429% | 4964% | 38726% |
| S-SSO/QLD/MVV/IEF/TLT/CASH | -10,3% | -13,3% | -11,0% | -4,0% | -13,3% | 17,8% | 13,4% | 920% | 10711% | 82791% |
| S-SPXL/IEF/TLT/CASH | -15,7% | -16,0% | -12,5% | -11,2% | -16,0% | 7,4% | -4,3% | 1507% | 21894% | 31797% |
| S-TQQQ/IEF/TLT/CASH | -15,7% | -20,8% | -19,1% | -11,3% | -20,8% | -9,4% | -32,1% | 2041% | 46735% | 28052% |
| S-SPXL/TMF/CASH | -15,7% | -16,0% | -12,5% | -27,6% | -16,0% | -11,9% | -21,5% | 1871% | 43606% | 74378% |
| S-TQQQ/TMF/CASH | -15,7% | -20,8% | -19,1% | -27,8% | -20,8% | -25,7% | -44,3% | 2526% | 92970% | 65635% |
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 | 14,50% | -26,31% | 0,96 | 2,11 |
| SPY/TLT | 16,80% | -28,27% | 1,00 | 2,25 |
| QQQ/TLT | 20,51% | -39,22% | 1,07 | 1,96 |
| IWM/TLT | 16,40% | -31,58% | 0,76 | 1,34 |
| VO/TLT | 17,39% | -29,99% | 0,95 | 1,82 |
| SSO/TLT | 26,58% | -48,33% | 0,91 | 1,85 |
| QLD/TLT | 32,96% | -64,36% | 0,95 | 1,67 |
| MVV/TLT | 26,92% | -45,81% | 0,77 | 1,51 |
| SPXL/TLT | 39,76% | -63,47% | 0,94 | 1,85 |
| SPXL/TMF | 45,14% | -66,94% | 0,98 | 1,93 |
| TQQQ/TLT | 43,97% | -81,02% | 0,88 | 1,44 |
| TQQQ/TMF | 50,54% | -82,34% | 0,94 | 1,58 |
| Name | CAGR | Max Drawdown | Sharpe Ratio | UPI |
|---|---|---|---|---|
| S-SPY/IEF/TLT/CASH | 16,28% | -24,91% | 1,00 | 1,83 |
| S-SPY/QQQ/VO/IEF/TLT/CASH | 18,80% | -26,64% | 1,01 | 1,88 |
| S-QQQ/IEF/TLT/CASH | 19,05% | -30,50% | 1,02 | 1,63 |
| S-IWM/IEF/TLT/CASH | 15,65% | -38,43% | 0,73 | 1,09 |
| S-VO/IEF/TLT/CASH | 16,62% | -27,02% | 0,93 | 1,56 |
| S-SSO/IEF/TLT/CASH | 26,00% | -43,60% | 0,90 | 1,57 |
| S-QLD/IEF/TLT/CASH | 30,98% | -55,87% | 0,91 | 1,40 |
| S-MVV/IEF/TLT/CASH | 25,20% | -57,67% | 0,73 | 1,16 |
| S-SSO/QLD/MVV/IEF/TLT/CASH | 30,10% | -47,94% | 0,89 | 1,59 |
| S-SPXL/IEF/TLT/CASH | 39,73% | -58,96% | 0,96 | 1,69 |
| S-TQQQ/IEF/TLT/CASH | 40,23% | -75,04% | 0,82 | 1,24 |
| S-SPXL/TMF/CASH | 47,48% | -66,44% | 1,06 | 1,96 |
| S-TQQQ/TMF/CASH | 45,17% | -79,61% | 0,87 | 1,36 |