LIVE — 21:26 ET
← All Strategies
WINNING

Mean Variance Optimal

Markowitz-inspired: rank by return/risk ratio, weight proportionally

3Y
Total Return
+74.4%
3Y
Sharpe Ratio
1.36
3Y
Max Drawdown
-12.2%
3Y
Win Rate
54.7%
3Y
Alpha
-45.0%
3Y
Comp. Score *
0.25
Risk Parameters
Max Allocation14.1%
Stop Loss12.2%
Take Profit10.2%
Max DD Tolerance12.2%
Rebalancemonthly
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
GLD BUY 23% 11.9% below entry 10.0% above entry 14.5% TVYH
JPM BUY 25% 12.6% below entry 10.6% above entry 13.6% TVYH
JNJ BUY 19% 9.6% below entry 8.1% above entry 17.9% TVYH
GOOGL BUY 31% 16.0% below entry 13.4% above entry 10.8% TVYH
XOM BUY 24% 12.4% below entry 10.4% above entry 13.8% TVYH
AAPL BUY 29% 14.7% below entry 12.3% above entry 11.7% TVYH
AMZN BUY 34% 17.4% below entry 14.5% above entry 9.9% TVYH
MRK BUY 29% 14.8% below entry 12.4% above entry 11.6% TVYH
KO BUY 18% 9.0% below entry 7.5% above entry 19.2% TVYH
WMT BUY 24% 12.5% below entry 10.5% above entry 13.7% TVYH
MCD BUY 19% 9.6% below entry 8.1% above entry 17.9% TVYH