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Systematic Option Collar | 18.3% CAGR, -21.5% MDD | High Risk
The Systematic Option Collar rides leveraged index ETFs only in confirmed bull markets and wraps each monthly position in a modeled collar that caps the upside and floors the downside.…
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Volatility Managed Index Portfolio | 11.1% CAGR, -19.6% MDD | Balanced
Welcome to this edition of Avalon QuantBrief, where we dissect the mechanics of the Volatility Managed Index Portfolio, a strategy inspired by classic academic volatility-managed frameworks. By dynamically adjusting exposure…
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Dynamic Factor Strength Strategy | 17.9% CAGR, -24.1% MDD | High Risk
Welcome to Avalon QuantBrief, where we dissect sophisticated quantitative models to uncover actionable market insights. Today, we explore the Dynamic Factor Strength Strategy, an upgraded adaptation of the classic Dynamic…
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Asymmetric Trend-Following System: 12% CAGR — Does It Beat SPY?
Welcome back to Avalon QuantBrief, where we dissect institutional-grade trading strategies for the modern market. Today, we are exploring an asymmetric trend-following system designed to capture massive upside in high-beta…
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Gayed-Bilello Gearing Strategy: 17% CAGR — Does It Beat SPY?
Welcome back to Avalon QuantBrief, where we break down the industry’s most powerful tactical asset allocation frameworks. Today, we are exploring the famous Gayed-Bilello Gearing Strategy, a classic model designed…
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Vigilant Asset Allocation (VAA): 11% CAGR — Does It Beat SPY?
Welcome to Avalon QuantBrief, where we dissect high-performing quantitative strategies for modern markets. Today, we explore the celebrated Vigilant Asset Allocation (VAA) framework and introduce our own adapted version designed…
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Trend Following: 12% CAGR — Does It Beat SPY?
Welcome back to Avalon QuantBrief, where we dissect institutional-grade quantitative strategies for the modern retail trader. Today, we are exploring an asymmetric trend-following system inspired by a landmark 2019 framework…
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Protective Asset Allocation (PAA) + Regime Switching: 35% CAGR — Full Backtest Results
Welcome back to Avalon QuantBrief, where we backtest and optimize institutional-grade quantitative strategies for the modern retail investor. Today, we are exploring a powerful combination of Protective Asset Allocation (PAA)…
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Leveraged ETF Rotation: 18% CAGR — Does It Beat SPY?
Welcome back to Avalon QuantBrief, where we dissect high-performing quantitative strategies for modern markets. Today, we are backtesting and optimizing one of the most famous momentum frameworks in finance: Frank…
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Dual Momentum (Relative + Absolute): 50% CAGR — Full Backtest Results
Welcome back to Avalon QuantBrief, where we put classic quantitative strategies to the ultimate modern test. Today, we are supercharging Gary Antonacci’s legendary Dual Momentum framework by introducing leverage, accelerated…
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Vigilant Asset Allocation (VAA): 10% CAGR — Does It Beat SPY?
Welcome back to Avalon QuantBrief, where we dissect high-performance quantitative strategies to help you navigate volatile markets. Today, we are exploring Vigilant Asset Allocation (VAA), a famous momentum framework published…