Triple Witching Momentum

Options expiration week bias: reduce exposure during triple witching

Total Return

+49.8%

Sharpe Ratio

1.03

Max Drawdown

-8.3%

Win Rate

53.5%

Alpha

-8.7%

Comp. Score *

0.41

Risk Parameters

Max Allocation11.5%

Stop Loss8.0%

Take Profit12.0%

Max DD Tolerance8.3%

Rebalanceweekly

Execution Guidance

Order TypeLimit

Entry RuleBuy on RSI pullback to 40-50 in confirmed uptrend. Never chase.

TimingSAFE TO BUY. *

ScalingEnter 50% initial, add 25% on first pullback, final 25% on trend confirmation.

Positions — Vol-Adjusted Sizing

Symbol	Action	Vol	Stop Loss	Take Profit	Size	Links
TLT	BUY	13%	4.2% below entry	6.3% above entry	21.9%	TV YH
GLD	BUY	23%	7.7% below entry	11.5% above entry	12.0%	TV YH
SPY	BUY	17%	5.7% below entry	8.6% above entry	16.1%	TV YH
QQQ	BUY	22%	7.3% below entry	10.9% above entry	12.7%	TV YH
IWM	BUY	22%	7.5% below entry	11.2% above entry	12.3%	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 -27% drawdown to return 62% long-term. - Exit rule: Exit if 3+ holdings break below their long-term trend simultaneously.

Avg 5Y Return

48.1%

Avg 5Y Sharpe

0.4

10Y Return

62.3%

10Y Sharpe

0.14

HODL Composite

0.46

Consistency

67%

Suitable for passive