Avalon Quant Brief — US Stocks & ETF Quantitative Strategy Backtests

In historical simulation across the backtested period, the Golden Cross Tactical Overlay achieved an 8.3% CAGR, a -4.8% maximum drawdown, and a 1.05 Sharpe ratio, trading away upside against the S&P 500's 26.5% return in exchange for strong risk control. By dynamically allocating into leveraged equity funds only during confirmed uptrends and retreating to cash during market declines, the strategy curtails severe portfolio drawdowns. This deliberate trade-off requires accepting lower overall compounding during sustained bull markets to protect capital against catastrophic losses. If you'd put in $10,000, it would now be $11,349. 📈 Yearly return (CAGR): 8.3% 📉 Worst drop (max drawdown): -4.8% ⚡ Sharpe Ratio: 1.05 💰 Total Return: 13.5% 🆚 S&P 500 (SPY) over the same period: 26.5% — this strategy underperformed by 13.0 points 🎯 Universe: TQQQ, UPRO, SOXL, FNGU, BULZ, TECL, TNA, SPXL Metric The Golden Cross Tactical Overlay S&P 500 (SPY) Total retu...

Turning calendar rhythms into a systematic trading edge sounds appealing, but capturing steady annualized gains required enduring steep drops along the journey. Based on historical simulation, this high-risk strategy generated 12.8% annualized returns while exposing capital to a painful 27.0% peak-to-trough drop. This briefing dissects the rule mechanics, evaluates how it stacks up against the broader market, and examines whether the uneven return path justifies the risk. If you'd put in $10,000, it would now be $33,009. 📈 Yearly return (CAGR): 12.8% 📉 Worst drop (max drawdown): -27.0% ⚡ Sharpe Ratio: 0.66 💰 Total Return: 230.1% 🆚 S&P 500 (SPY) over the same period: 253.1% — this strategy underperformed by 23.0 points 🎯 Universe: QQQ_TOP100_DYNAMIC Metric Same-Weekday Return Continuation S&P 500 (SPY) Total return 230.1% 253.1% Worst drop (max drawdown) -27.0% -34.1% Period measured 2016-10-07 – 2026-09-18 Both columns come from the same bac...

Investors frequently assume that trading high-frequency crypto momentum provides a low-risk alternative to broader market exposure by keeping holding durations short. In reality, capturing intraday microstructure flow demands enduring steep drawdowns and multi-year performance droughts to harvest its simulated excess return. This research note evaluates the underlying trend-following mechanics, compares simulation results against benchmark equities, and outlines structural downside limits. If you'd put in $10,000, it would now be $29,489. 📈 Yearly return (CAGR): 17.1% 📉 Worst drop (max drawdown): -20.0% ⚡ Sharpe Ratio: 1.12 💰 Total Return: 194.9% 🆚 S&P 500 (SPY) over the same period: 170.2% — this strategy outperformed by 24.7 points 🎯 Universe: BTCUSDT,ETHUSDT,SOLUSDT,XRPUSDT,ADAUSDT,DOGEUSDT,AVAXUSDT,DOTUSDT,LINKUSDT,MATICUSDT Metric Quarter-Hour Microstructure Flow S&P 500 (SPY) Total return 194.9% 170.2% Worst drop (max drawdown) -20.0% -33....

A $10,000 stake run through this rule as a historical simulation would have finished near $15,460, while the same money parked in SPY would have finished near $41,180. The rule pays for that gap with a shallower worst drop and a monthly switch that steps out of leveraged funds when inflation-protected bonds are falling. Whether that trade is worth it depends on how you weigh a smaller hole against a much smaller pile. If you'd put in $10,000, it would now be $15,458. 📈 Yearly return (CAGR): 4.5% 📉 Worst drop (max drawdown): -16.9% ⚡ Sharpe Ratio: 0.46 💰 Total Return: 54.6% 🆚 S&P 500 (SPY) over the same period: 311.8% — this strategy underperformed by 257.2 points 🎯 Universe: TQQQ, UPRO, SOXL, FNGU, BULZ, TECL, TNA, SPXL, TIP, BIL, IEF, GLD Metric Canary-Signaled Tactical ETF Strategy S&P 500 (SPY) Total return 54.6% 311.8% Worst drop (max drawdown) -16.9% -33.7% Period measured 2016-10-04 – 2026-09-15 Both columns come from the same backtest...

Capturing stock market gains exclusively while the exchange is closed offers surprisingly strong growth, but avoiding daytime trading hours does not eliminate downside pain. In backtests, holding leveraged index funds overnight produced rapid gains alongside a double-digit drawdown that demands steady nerves. This briefing breaks down the mechanics behind the overnight drift, why its outperformance comes with real friction, and who can realistically stomach the ride. If you'd put in $10,000, it would now be $13,476. 📈 Yearly return (CAGR): 47.6% 📉 Worst drop (max drawdown): -12.5% ⚡ Sharpe Ratio: 1.54 💰 Total Return: 34.8% 🆚 S&P 500 (SPY) over the same period: 7.8% — this strategy outperformed by 27.0 points 🎯 Universe: TQQQ, UPRO, SOXL, FNGU, BULZ, TECL, TNA, SPXL Metric The Nocturnal Equity Drift S&P 500 (SPY) Total return 34.8% 7.8% Worst drop (max drawdown) -12.5% -7.1% Period measured 2025-12-08 – 2026-09-14 Both columns come from the s...

Liquidation-cascade mean reversion aims to capture rapid intraday bounces by stepping in only after forced leveraged liquidations exhaust selling pressure across major crypto pairs. While holding pure cash during unfavorable market conditions eliminates capital drawdowns, it sacrifices exposure during broad market rallies. This trade-off balances absolute downside insulation against the opportunity cost of completely missing productive market uptrends. If you'd put in $10,000, it would now be $10,000. 📈 Yearly return (CAGR): 0.0% 📉 Worst drop (max drawdown): 0.0% ⚡ Sharpe Ratio: 0.00 💰 Total Return: 0.0% 🆚 S&P 500 (SPY) over the same period: 147.9% — this strategy underperformed by 147.9 points 🎯 Universe: BTCUSDT, ETHUSDT, SOLUSDT, BNBUSDT, ADAUSDT, XRPUSDT, DOTUSDT, DOGEUSDT, AVAXUSDT, LINKUSDT, LTCUSDT, BCHUSDT, MATICUSDT, TRXUSDT, UNIUSDT, ATOMUSDT, FILUSDT, NEARUSDT, ALGOUSDT, FTMUSDT Metric Liquidation-Cascade Intraday Mean Reversion S&P 500 (SPY)...