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Black Swan Crash Dca

Graduated DCA into market crashes: buy more as drawdown deepens, hold for recovery

Every crash trough is a buying opportunity; graduated buying into drawdowns captures recovery upside

3Y
Total Return
+73.3%
3Y
Sharpe Ratio
0.51
3Y
Max Drawdown
-21.5%
3Y
Win Rate
54.4%
3Y
Alpha
-2.6%
3Y
Comp. Score *
0.00
Risk Parameters
Max Allocation9.0%
Stop Loss21.5%
Take Profit5.8%
Max DD Tolerance21.5%
Rebalanceweekly
Execution Guidance
Order TypeLimit
Entry RuleBuy 0.5% below market in uptrend.
TimingSAFE TO BUY. *
ScalingEnter in 3 tranches over 1-2 weeks.
Positions — Vol-Adjusted Sizing
SymbolActionVol Stop LossTake ProfitSizeLinks
SPY BUY 16% 14.4% below entry 4.0% above entry 15% of crash capital TVYH
QQQ BUY 21% 18.9% below entry 5.3% above entry 15% of crash capital TVYH
XLF BUY 17% 15.3% below entry 4.3% above entry 10% of crash capital TVYH
XLK BUY 25% 22.5% below entry 6.3% above entry 10% of crash capital TVYH
XLE BUY 22% 19.8% below entry 5.5% above entry 10% of crash capital TVYH
XLV BUY 14% 12.6% below entry 3.5% above entry 8% of crash capital TVYH
XLP BUY 12% 10.8% below entry 3.0% above entry 7% of crash capital TVYH
GLD BUY 21% 18.9% below entry 5.3% above entry 10% of crash capital TVYH
TLT BUY 13% 11.7% below entry 3.3% above entry 10% of crash capital TVYH
SHY BUY 2% N/A — cash proxy N/A — cash proxy 5% of crash capital TVYH
▶ For Passive Investors (Buy & Hold)

This strategy is conditionally suitable for passive investors. It excels during and after crashes (1Y Sharpe 1.02 post-2022 bear market) but underperforms in sustained bull markets since it holds defensive positions (SHY, GLD, TLT) while waiting for crashes. - Best for: Investors who want crash protection and are willing to sacrifice bull-market upside for drawdown resilience. - Take profit: Rebalance when any position exceeds 2x its target weight. Trim back to target, redeploy to underweight positions. - Stop loss: NO price-based stop loss. This strategy uses drawdown-based regime switching, which is its own risk management. - Exit rule: Review annually. Exit if strategy underperforms SPY for 3 consecutive years AND no major crash (>20% drawdown) occurred in that period.

1Y Return
31.72%
1Y Sharpe
1.02
3Y Return
23.77%
3Y Sharpe
0.26
5Y Return
73.26%
5Y Sharpe
0.51
10Y Return
149.08%
10Y Sharpe
0.47
10Y CAGR
9.57%
Max Drawdown
-21.49%
Swan Resilience
88.8 / 100
Suitable for passive
Conditional