Tail Risk Harvest

Buy quality names after sharp single-day drops, capture mean-reversion

Tail Risk Harvest (Buy Crashes)

Total Return

+10.7%

Sharpe Ratio

-0.03

Max Drawdown

-12.1%

Win Rate

39.3%

Alpha

-19.7%

Comp. Score *

0.01

Risk Parameters

Max Allocation0.0%

Stop Loss12.1%

Take Profit5.0%

Max DD Tolerance12.1%

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

Symbol	Action	Vol	Stop Loss	Take Profit	Size	Links
NVDA	BUY	49%	24.7% below entry	10.2% above entry	0.0%	TV YH
GOOGL	BUY	30%	15.2% below entry	6.3% above entry	0.0%	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 -22% drawdown to return 90% long-term. - Exit rule: Review annually. Exit if strategy underperforms its benchmark for 3 consecutive years.

Avg 5Y Return

45.7%

Avg 5Y Sharpe

0.32

10Y Return

90.4%

10Y Sharpe

0.28

HODL Composite

0.27

Consistency

67%

Suitable for passive