Strategy

A live dashboard and research library for systematic market strategies. Each strategy gets its own tab, with signal, back-test, and Monte Carlo validation shown separately.

Guarded A5/B25 SMA20 Lead Signal

Computes the strategy state from S&P 500 daily closes: base exposure is 1x only when close is above SMA20; drawdown of 5% arms 2x and drawdown of 25% arms 3x. Recovery leverage is allowed when price is within 0.75% below SMA20 or better.

Strategy Rules

Base trend rule: hold 1x S&P exposure only when the SPX close is above the 20-day SMA. Otherwise hold cash/T-bills.
2x recovery tier: if the S&P is down 5% or more from its closing high-water mark, the 2x tier is armed.
3x recovery tier: if the S&P is down 25% or more from its closing high-water mark, the 3x tier is armed.
Lead guard: recovery leverage can run when close is at least 99.25% of SMA20, i.e. within 0.75% below SMA20 or above it.
Exit recovery: 2x resets after the S&P rises 40% from the tier entry close. 3x resets after the S&P rises 15% from the tier entry close.

The official signal uses the latest completed daily close and matches the backtest logic. The intraday signal is provisional and can use a delayed SPX quote through an API/proxy or a manually entered price.

Data Source

Ready.

Auto-refreshes every 30 minutes while open; enter a manual SPX level then click refresh to override the live quote.

Official Signal: Last Completed Close

Target leverage

Load data to calculate the close-based signal.

Signal date	-
Close	-
SMA20	-
Close vs SMA20	-
Drawdown from high	-
Regime	-
Last entry level	-
P&L from last entry	-
Recovery target	-
Distance to recovery target	-

Live Intraday Signal: Provisional

Target leverage

Enter a live price or quote endpoint to calculate a provisional signal.

Signal timestamp	-
Live / provisional price	-
Provisional SMA20	-
Price vs SMA20	-
Drawdown from high	-
Regime	-
Last entry level	-
P&L from last entry	-
Recovery target	-
Distance to recovery target	-

SPX Close vs 20-Day SMA

Load data to draw the chart.

SPX close 20-day SMA Buy / 1x Add / 2x-3x Reduce Cash exit

Markers show leverage transitions; hover for exact cash -> 1x, 1x -> 2x, trade P&L, and rule context.

Selected Window Equity P&L

Load data to draw the selected-window equity chart.

Strategy equity (blue) SPX reference (orange)

Shared Strategy State From Daily History

Daily data through	-
High-water close	-
2x entry level (-5%)	-
3x entry level (-25%)	-
EOD close above SMA20?	-
Recovery lead level	-
2x trigger (A)	-5% drawdown from S&P high-water close
3x trigger (B)	-25% drawdown from S&P high-water close

Guarded Strategy Calculator

Input A, B, X, and Y, then calculate the historical drawdown, CAGR, Sharpe ratio, and ending value. A is the drawdown that starts 2x, B is the drawdown that starts 3x, X is the upside from the 2x entry where 2x is released, and Y is the upside from the 3x entry where 3x is released.

Default Guarded values: A = 5%, B = 25%, X = 40%, Y = 15%, and recovery lead guard = 0.75% below SMA20.

A: start 2x after drawdown (%)

B: start 3x after drawdown (%)

X: hold 2x until upside from entry (%)

Y: hold 3x until upside from entry (%)

Advanced assumptions

Recovery lead below SMA20 (%)

Max 2x hold days (optional)

Max 3x hold days (optional)

Trading cost (%)

Cash / funding rate (%)

Load data, then calculate a parameter set.

CAGR-

Max drawdown-

Sharpe ratio-

End value-

Trades	-	Trading costs	-
Cash / 1x / 2x / 3x	-
Tier entries	-

Goal Seek / Optimizer

Tick any value you want to keep fixed. Unticked values are optimized across the ranges below. If A, B, X, and Y are all unticked, the optimizer searches freely and returns the best combinations for the selected objective: high CAGR, low drawdown, or high Sharpe.

Fix A at calculator value Fix B at calculator value Fix X at calculator value Fix Y at calculator value

Optimise for

Show top results

Search ranges for unfixed values

A start (%)

A end (%)

A step (%)

B start (%)

B end (%)

B step (%)

X start (%)

X end (%)

X step (%)

Y start (%)

Y end (%)

Y step (%)

Load data, then run a grid search.

Results show the best combinations, with extra variety across any unfixed inputs so you can see how A, B, X, and Y behave across the search range.

Rank	A	B	X	Y	CAGR	Max DD	Sharpe	End value	Trades
No optimizer results yet.

Back-test Overview

These results use the project backtest engine over 1996-05-17 to 2026-05-15 with $100 starting capital, $10 fixed annual inflows, 1.0% rebalance cost, and the engine funding-cost model. The default strategy is Guarded A5/B25 SMA20 Lead: base 1x exposure is allowed only above SMA20, while recovery 2x/3x exposure can start when price is within 0.75% below SMA20.

Default CAGR39.09%

Default max DD-27.51%

Default Sharpe3.164

Annual volatility27.88%

Calmar ratio1.42

Default end value$1,965,783

Contribution NPV$273Discounted at 4%; includes $100 initial capital and $10 annual inflows.

End / NPV multiple7,200x

Calmar = CAGR / absolute max drawdown; multiple = end value divided by discounted contributions.

The new default improved the historical result versus the original strict A10/B20 version: CAGR rose from 29.39% to 39.09%, while max drawdown improved from -34.37% to -27.51% in the project backtest.

Top 20 Strategy Drawdowns

Largest peak-to-trough declines on default Guarded strategy equity over the full back-test sample.

#	Depth	Peak	Trough	Recovery	Period	Trading days
Load historical data to compute drawdowns.

SPX vs Default Strategy Equity

Browser-side chart preloaded from committed historical SPX daily closes, then updated by Refresh signal when newer daily data is available. Both lines start at $100 and include $10 annual inflows. The chart uses a log scale so the SPX buy-and-hold line remains visible beside the much larger strategy result.

Loading static historical back-test data...

Strategy equity (blue) SPX reference (orange)

Full-Sample Strategy Comparison

Full sample: 1996-05-16 to 2026-05-15. Cash time is percent of sessions with zero risky exposure.

Strategy	CAGR	Ann vol	Sharpe	Max DD	End value	Trades	Cash
Buy & hold 1x	11.38%	19.12%	0.517	-53.67%	$2,533	0	0.00%
Buy & hold 2x	13.47%	38.24%	0.442	-85.66%	$4,382	1	0.00%
Buy & hold 3x	13.16%	57.35%	0.417	-97.32%	$3,994	1	0.00%
SMA20 1x/cash	16.05%	10.99%	3.913	-16.92%	$8,601	868	37.08%
SMA20 2x/cash	26.23%	21.97%	3.794	-33.92%	$107,235	868	37.08%
SMA20 3x/cash	35.76%	32.95%	3.754	-49.16%	$951,245	868	37.08%
Guarded A5/B25 SMA20 Lead	39.09%	27.88%	3.164	-27.51%	$1,965,783	774	28.87%
Original Guarded A10/B20 SMA20	29.39%	26.65%	3.232	-34.37%	$224,918	878	37.08%

Legacy Guard SMA Sensitivity

Earlier A10/B20 tiering study kept for reference. The site default is now the A5/B25/X40/Y15 lead-guard version above.

Strategy	CAGR	Sharpe	Max DD	End value	Cash	1x	2x	3x	Tier entries
Guarded A10/B20 SMA20	29.39%	3.232	-34.37%	$224,918	37.08%	26.15%	10.31%	26.46%	8 / 5
Guarded A10/B20 SMA50	20.41%	2.163	-46.31%	$26,007	33.97%	31.97%	6.47%	27.60%	5 / 2
Guarded A10/B20 SMA200	17.88%	1.408	-35.47%	$13,765	28.22%	33.92%	19.91%	17.95%	6 / 2

Forward and Out-of-Sample Checks

Earlier A10/B20 strategy tested on later periods without changing parameters. Kept as historical reference.

Period	Strategy	CAGR	Ann vol	Sharpe	Max DD	End value	Trades
2006-2026	Guarded A10/B20 SMA20	32.69%	26.14%	3.078	-20.94%	$31,409	576
2006-2026	SMA20 3x/cash	37.50%	32.10%	3.751	-48.23%	$64,800	568
2006-2026	SMA20 2x/cash	27.40%	21.40%	3.783	-32.76%	$13,714	568
2006-2015	Guarded A10/B20 SMA20	32.84%	29.82%	2.953	-20.94%	$1,689	313
2016-2026	Guarded A10/B20 SMA20	36.45%	21.57%	3.184	-17.23%	$2,477	263

The OOS results are strong for the guarded strategy: the 2006-2026 forward period improved drawdown sharply versus SMA20 3x/cash while retaining a high compound return. This does not eliminate future regime risk, but it is a better check than only looking at the full in-sample history.

Monte Carlo Validation

The Monte Carlo run stress-tests the default Guarded A5/B25/X40/Y15 SMA20 Lead strategy over 200 synthetic 10-year market paths. Paths are built with 21-trading-day blocks sampled from historical S&P and T-bill data, preserving short-term clustering better than single-day random sampling.

Simulations200

Horizon10 years

Median CAGR36.96%

Median max DD-28.18%

Monte Carlo Comparison

Summary across 200 simulated 10-year paths for the final candidate and two reference versions.

Strategy	Median CAGR	P10 / P90 CAGR	Median max DD	P10 / P90 max DD	Median Sharpe	Median end value	P(DD < -40%)
Lead 0.75 A5/B25 X40/Y15	36.96%	26.46% / 50.02%	-28.18%	-39.72% / -18.86%	3.269	$2,060	10.0%
Lead 0.75 A10/B20 X40/Y15	34.39%	24.46% / 45.09%	-28.64%	-39.71% / -19.04%	3.220	$1,716	10.0%
Original strict A10/B20 X25/Y33	30.17%	20.63% / 41.38%	-28.96%	-42.77% / -18.74%	3.503	$1,261	16.5%

Risk Probabilities

Question	Monte Carlo result
Probability max drawdown is worse than -35%	22.0%
Probability max drawdown is worse than -40%	10.0%
Probability max drawdown is worse than -50%	1.5%
Probability ending below starting capital	0.0%

Default Strategy Diagnostics

Full-sample diagnostics for the A5/B25/X40/Y15 lead-guard default.

Metric	Value	Metric	Value
Cash days	28.87%	1x days	9.00%
2x days	48.51%	3x days	13.62%
2x entries	10	3x entries	4
Lead-only days	751	Rebalances	774
Total trading costs	$2,021,175	Total funding costs	$129,679

The Monte Carlo profile is attractive but not drawdown-free. A -35% drawdown remains plausible, while a -50% drawdown was uncommon in this simulation. Position sizing should assume the strategy can still spend long periods underwater.

Momentum Strategy Research

This strategy tab collects the momentum leverage tests run over the same 30-year S&P 500 history: $100 starting capital, $10 fixed annual inflow, 1.0% rebalance cost, and the project funding-cost model. It includes both faster daily momentum triggers and slower long-hold momentum rules designed to stay in 2x/3x for longer.

Momentum Signal Design

These are research signals rather than one live production signal. Each rule maps market state to a target exposure of cash, 1x, 2x, or 3x. The key design difference is whether the rule reacts quickly to trend changes or intentionally holds leverage through normal pullbacks.

Daily trigger candidates6

Long-hold candidates6

Backtest window30 years

Best candidate CAGR21.46%

The research takeaway is not that every momentum indicator works. RSI, MACD, monthly regime, and absolute-momentum trailing stop were materially weaker in this setup. Keltner, Donchian, SMA slope, and SMA stack are the strongest candidates for further refinement.

Daily Momentum Trigger Rules

Signal	Cash / 1x	2x trigger	3x trigger	Exit / de-risk rule
SMA stack momentum	Cash below SMA200; 1x above SMA200	Close > SMA50 > SMA200	Close > SMA20 > SMA50 > SMA200	Falls back as the SMA stack weakens
SMA slope momentum	Cash below SMA200; 1x above SMA200	Close > SMA50 with positive SMA50 slope	Strong positive SMA20 and SMA50 slopes	Falls back as slope or price filters fail
MACD momentum	Cash below SMA200; 1x above SMA200	MACD > signal line	MACD histogram positive and rising	Fast MACD deterioration reduces exposure
RSI momentum	1x when RSI > 50	RSI > 55 and close > SMA50	RSI > 60 and close > SMA20	Momentum threshold failures reduce exposure
Donchian breakout momentum	Cash below SMA200; 1x above SMA200	60-day high breakout	120-day high breakout	20-day low reduces to 1x; SMA200 break exits
Vol-adjusted SMA stack	Starts from SMA stack momentum	Same as SMA stack, reduced in high volatility	Same as SMA stack, capped when vol is very high	Reduces one tier above 25% realized vol; caps at 1x above 35%

Long-Hold Momentum Rules

Signal	Entry logic	Why it holds longer	Main risk observed
Long-hold 3/6/12m momentum	1x/2x/3x from 12m, 6m, and 3m absolute momentum	Uses slower 6m/12m exits after high leverage is active	Stayed 3x often, but drawdowns were still deep
SMA stack hysteresis	Enter 3x on SMA20 > SMA50 > SMA200	Uses SMA100/SMA50 exits instead of immediate fast-stack exit	Lower CAGR and still near -51% historical max DD
Absolute momentum trailing stop	Enter leverage on 6m/12m absolute momentum	Holds until 3-month low or SMA100 trailing stop breaks	Poor risk control in major reversals
ADX trend strength	Add leverage when +DI leads -DI and ADX confirms trend strength	Does not require repeated breakouts once trend is strong	Trend-strength confirmation lagged in some reversals
Keltner trend channel	EMA50/EMA100 trend with ATR channel breakout	Stays leveraged until EMA50/EMA100 trend breaks	Best candidate, but drawdown still reached -47.94%
Monthly momentum regime	Month-end 3/6/12m momentum and 10-month SMA	Monthly rebalance reduces churn	Too slow in this configuration; weak CAGR with high drawdown

Back-test Overview

Full-sample results cover 1996-05-16 to 2026-05-15. The goal was to see whether momentum indicators could keep 2x/3x exposure for longer without taking unacceptable drawdowns after costs and annual contributions.

Best long-hold candidateKeltner 21.46%

Best daily triggerDonchian 18.48%

Best candidate max DD-34.28%

Most 3x exposure60.39%

SMA20 3x/cash reference

35.76%

Guarded A10/B20 reference

29.39%

Keltner trend channel

21.46%

Donchian breakout momentum

18.48%

Long-hold 3/6/12m momentum

17.80%

SMA stack momentum

15.66%

Daily Momentum Trigger Backtests

Sorted by historical CAGR. Exposure columns show percent of trading sessions at each target leverage.

Strategy	CAGR	Ann vol	Sharpe	Max DD	End value	Trades	Cash	1x	2x	3x
Donchian breakout momentum	18.48%	23.59%	1.512	-34.28%	$16,041	379	26.68%	29.98%	4.69%	38.65%
SMA stack momentum	15.66%	23.44%	2.298	-46.12%	$7,773	1,047	28.22%	19.94%	14.93%	36.91%
Vol-adjusted SMA stack	14.29%	23.02%	2.234	-45.87%	$5,435	1,022	29.45%	19.08%	14.75%	36.72%
SMA slope momentum	13.27%	23.94%	2.067	-42.00%	$4,153	1,009	24.18%	20.88%	24.09%	30.86%
MACD momentum	1.77%	19.46%	2.576	-64.66%	$167	1,204	28.22%	34.33%	21.71%	15.74%
RSI momentum	1.63%	25.68%	3.217	-90.04%	$161	1,987	37.64%	13.71%	9.90%	38.75%

Long-Hold Momentum Backtests

These rules were built specifically to remain in 2x/3x longer than fast momentum triggers.

Strategy	CAGR	Ann vol	Sharpe	Max DD	End value	Trades	Cash	1x	2x	3x
Keltner trend channel	21.46%	29.10%	2.152	-47.94%	$33,757	768	30.62%	4.94%	8.88%	55.56%
Long-hold 3/6/12m momentum	17.80%	32.59%	0.957	-38.41%	$13,479	259	24.92%	9.08%	5.98%	60.03%
SMA stack hysteresis	10.99%	29.11%	1.109	-51.06%	$2,259	557	28.22%	7.09%	14.48%	50.21%
ADX trend strength	8.90%	25.57%	1.396	-63.87%	$1,278	539	28.22%	25.83%	5.02%	40.92%
Monthly momentum regime	8.52%	32.41%	0.471	-64.00%	$1,150	87	32.42%	3.88%	8.90%	54.80%
Absolute momentum trailing stop	3.67%	30.17%	1.648	-87.31%	$292	765	33.04%	6.57%	0.00%	60.39%

Reference Benchmarks

References are shown to make the momentum results easier to compare with the existing website strategy.

Strategy	CAGR	Ann vol	Sharpe	Max DD	End value	Trades	Cash	3x
SMA20 3x/cash	35.76%	32.95%	3.754	-49.16%	$951,245	868	37.08%	62.92%
Guarded A10/B20 SMA20	29.39%	26.65%	3.232	-34.37%	$224,918	878	37.08%	26.46%
SMA20 2x/cash	26.23%	21.97%	3.794	-33.92%	$107,235	868	37.08%	0.00%
SMA20 1x/cash	16.05%	10.99%	3.913	-16.92%	$8,601	868	37.08%	0.00%
Buy & hold 1x	11.38%	19.12%	0.517	-53.67%	$2,533	0	0.00%	0.00%

Historically, none of the new momentum candidates beat the existing Guarded A10/B20 SMA20 or the simple SMA20 3x/cash reference on CAGR. The best reason to keep studying them is behavior: Keltner and Donchian provide different entry/exit mechanics, while long-hold 3/6/12m momentum produced the lowest rebalance count among the high-leverage candidates.

Monte Carlo Stress Test

I ran a separate momentum Monte Carlo scan across all 12 momentum candidates and four references. It uses 75 synthetic 10-year market paths, 21-trading-day blocks sampled from historical S&P returns and T-bill yields, and sampled historical high/low relationships for rules such as ADX and Keltner.

Simulations75

Horizon10 years

Best median candidate CAGR31.10%

Best median candidate DD-29.82%

Treat this as a screening Monte Carlo, not the final production validation. It is broad across many strategy rules; once a short list is chosen, those finalists should get a full 500+ path run like the Guarded A10/B20 SMA20 tab.

Momentum Candidate Monte Carlo Summary

Median and probability values across the 75 synthetic 10-year paths.

Strategy	Group	Median CAGR	P10 / P90 CAGR	Median max DD	P(DD < -40%)	P(CAGR > 20%)	Median 3x
Keltner trend channel	Long-hold	31.10%	15.53% / 49.19%	-34.44%	20.0%	80.0%	47.10%
SMA slope momentum	Daily trigger	23.27%	11.42% / 35.36%	-32.44%	18.7%	58.7%	25.36%
SMA stack momentum	Daily trigger	22.88%	11.58% / 37.21%	-29.82%	9.3%	64.0%	29.09%
Donchian breakout momentum	Daily trigger	20.29%	10.23% / 33.66%	-31.98%	16.0%	50.7%	31.23%
Vol-adjusted SMA stack	Daily trigger	18.27%	9.48% / 32.52%	-31.39%	6.7%	44.0%	27.18%
Long-hold 3/6/12m momentum	Long-hold	14.05%	2.89% / 29.40%	-50.54%	90.7%	36.0%	47.10%
SMA stack hysteresis	Long-hold	13.03%	4.21% / 25.49%	-47.86%	85.3%	29.3%	40.56%
ADX trend strength	Long-hold	11.24%	4.54% / 21.28%	-40.79%	52.0%	16.0%	35.79%
MACD momentum	Daily trigger	8.09%	2.09% / 15.23%	-36.14%	32.0%	0.0%	14.40%
Monthly momentum regime	Long-hold	6.13%	-2.48% / 19.62%	-65.47%	100.0%	8.0%	42.06%
RSI momentum	Daily trigger	1.90%	-5.26% / 11.74%	-58.55%	97.3%	0.0%	36.94%
Absolute momentum trailing stop	Long-hold	0.94%	-9.52% / 13.72%	-75.29%	100.0%	4.0%	47.14%

Reference Monte Carlo Context

Reference	Median CAGR	P10 / P90 CAGR	Median max DD	P(DD < -40%)	P(CAGR > 20%)	Median 3x
SMA20 3x/cash	39.69%	25.78% / 62.42%	-36.87%	33.3%	97.3%	61.15%
Guarded A10/B20 SMA20	29.85%	20.86% / 41.14%	-29.59%	12.0%	96.0%	21.39%
SMA20 2x/cash	29.79%	21.38% / 43.44%	-24.85%	2.7%	92.0%	0.00%
Buy & hold 1x	14.28%	7.34% / 20.33%	-32.00%	16.0%	13.3%	0.00%

The Monte Carlo scan is more favorable to Keltner than the historical backtest, but it still shows a meaningful drawdown profile. SMA stack momentum looks more balanced in simulation: lower median CAGR than Keltner, but the lowest probability of a -40% drawdown among the momentum candidates.