Crisis Alpha

Auto-defensive on sharp market drops, return when vol normalizes

Crisis Alpha

Total Return

+55.6%

Sharpe Ratio

1.04

Max Drawdown

-13.5%

Win Rate

55.8%

Alpha

-7.2%

Comp. Score *

0.43

Risk Parameters

Max Allocation11.5%

Stop Loss12.1%

Take Profit8.0%

Max DD Tolerance13.5%

Rebalanceweekly

Execution Guidance

Order TypeMarket

Entry RuleEnter immediately when trigger fires. Speed matters more than price.

TimingSAFE TO BUY as portfolio insurance. *

ScalingFull position at trigger. No scaling — the signal is binary.

Positions — Vol-Adjusted Sizing

Symbol	Action	Vol	Stop Loss	Take Profit	Size	Links
TLT	BUY	13%	6.4% below entry	4.2% above entry	21.8%	TV YH
GLD	BUY	23%	11.7% below entry	7.7% above entry	12.0%	TV YH
SPY	BUY	17%	8.7% below entry	5.7% above entry	16.0%	TV YH
QQQ	BUY	22%	11.0% below entry	7.3% above entry	12.6%	TV YH

▶ For Passive Investors (Buy & Hold)

This strategy has moderate long-term potential but requires monitoring. - 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 recovered from -34% drawdown to return 59% long-term. - Exit rule: Review annually. Exit if strategy underperforms its benchmark for 3 consecutive years.

Avg 5Y Return

28.1%

Avg 5Y Sharpe

0.15

10Y Return

58.8%

10Y Sharpe

0.12

HODL Composite

0.31

Consistency

71%

Suitable for passive