Stock Backtest
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Can Crypto Multi-Asset Momentum & Trend System Beat the S&P 500? I Ran the Numbers
Welcome to Avalon QuantBrief, where we dissect systematic trading strategies with absolute transparency. Today, we are breaking down the Crypto Multi-Asset Momentum & Trend System, a strategy designed to capture…
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Can Tactical Index Acceleration Strategy Beat the S&P 500? I Ran the Numbers
The Tactical Index Acceleration Strategy is designed around a simple trade-off: pursue strong long-term growth while accepting that meaningful losses can still occur along the way. In the historical simulation…
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Faber Ivy Amplified Leaderboard: Can It Beat SPY? | 47.9% CAGR, -49.6% MDD
A 47.9 percent annualized return is the kind of number that immediately grabs attention, but it should not be separated from the 49.6 percent worst drop that came with it.…
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The Velocity Strength Filter: -27.4% MDD Before 17.8% CAGR | High Risk
Welcome to Avalon QuantBrief, where we dissect high-performance systematic trading strategies to uncover their true risk-return profiles. Today, we analyze the famous Velocity Strength Filter, a momentum-driven strategy boasting a…
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Kaufman Efficiency Index Strategy: Where It Fails | 25.4% CAGR, -37.1% MDD
Welcome to Avalon QuantBrief, where we dissect systematic trading strategies to uncover the reality behind high-yielding models. Today, we analyze an adapted version of the Kaufman Efficiency Index Strategy, a…
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Growth-Value Style Selection | 29.6% CAGR, -35.0% MDD | High Risk
Growth-Value Style Selection is a systematic rotation strategy built around a simple trade-off: pursue whichever parts of the market are showing the strongest style leadership, while accepting that leadership can…
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Gross Profitability and Price Acceleration Strategy | 15.6% CAGR, -39.3% MDD | Very High Risk
Welcome to this edition of Avalon QuantBrief, where we dissect the Gross Profitability and Price Acceleration Strategy, an aggressive evolution of a classic quantitative anomaly. By combining Robert Novy-Marx’s famous…
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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…