Dual Momentum (252d) + 30% SH Bear Hedge | 2007-2025
Base Weights: Trendlock 45.34%, Slammin_Q 31.47%, Monthly_Flip 15.88%, Overnight 7.32%
Bear Regime: 30% allocated to SH (inverse SPY)
Regime Detection: Dual Momentum (12-month lookback)
| Period | Strategy | SPY | Alpha | Tearsheet |
|---|
| Period | Strategy | SPY | Alpha | Tearsheet |
|---|---|---|---|---|
| 2008 Q1 - Bear Market Beginning | +2.3% | -9.3% | +11.6% | View Tearsheet |
| Bear Stearns Collapse (March 2008) | +0.1% | -0.9% | +1.0% | View Tearsheet |
| 2008 Summer - Dead Cat Bounce | +1.5% | -1.9% | +3.4% | View Tearsheet |
| Lehman Brothers Collapse (Sep-Oct 2008) | -0.6% | -24.4% | +23.8% | View Tearsheet |
| 2008 Q4 - Market Crash | +4.8% | -21.6% | +26.4% | View Tearsheet |
| 2008 Full Year - Financial Crisis | +8.4% | -36.8% | +45.2% | View Tearsheet |
| 2009 Market Bottom (Jan-Mar 9) | -5.2% | -24.5% | +19.4% | View Tearsheet |
| 2009 Recovery Rally (Mar 9 - Dec) | +26.8% | +65.4% | -38.7% | View Tearsheet |
| Full Financial Crisis (2008-2009) | +30.7% | -20.1% | +50.8% | View Tearsheet |
| Period | Strategy | SPY | Alpha | Tearsheet |
|---|---|---|---|---|
| Flash Crash Period (May 2010) | +1.6% | -9.1% | +10.6% | View Tearsheet |
| 2011 Debt Ceiling Crisis | +2.5% | -4.4% | +6.9% | View Tearsheet |
| 2011 European Debt Crisis | +5.4% | -1.8% | +7.2% | View Tearsheet |
| 2015 China Devaluation Selloff | -1.1% | -8.5% | +7.4% | View Tearsheet |
| 2015-16 Oil/China Selloff | +4.6% | -6.3% | +10.9% | View Tearsheet |
| 2018 Volmageddon (Feb 2018) | -2.5% | -4.1% | +1.6% | View Tearsheet |
| 2018 Q4 Selloff | +1.1% | -13.5% | +14.6% | View Tearsheet |
| 2018 Full Year | +20.0% | -4.6% | +24.5% | View Tearsheet |
| Period | Strategy | SPY | Alpha | Tearsheet |
|---|---|---|---|---|
| COVID-19 Crash (Feb-Mar 2020) | +0.0% | -33.4% | +33.4% | View Tearsheet |
| COVID Recovery Rally (Mar-Aug 2020) | +26.7% | +53.3% | -26.6% | View Tearsheet |
| 2020 Full Year (COVID) | +60.7% | +18.3% | +42.4% | View Tearsheet |
| 2022 Bear Market | -4.6% | -24.1% | +19.5% | View Tearsheet |
| 2022 Q4 Rally | +5.8% | +7.4% | -1.6% | View Tearsheet |
| 2022 Full Year | +0.8% | -18.2% | +19.0% | View Tearsheet |
| SVB Banking Crisis (Mar 2023) | +4.8% | +3.7% | +1.1% | View Tearsheet |
| 2023 Full Year Recovery | +34.0% | +26.2% | +7.8% | View Tearsheet |
| 2024 Full Year | +42.8% | +24.9% | +17.9% | View Tearsheet |