Holds equities, but leans out when markets get choppy
Backtest results · hypothetical, not live
2007–today, volatility-scaled with a trend gate
Performance
Detail
Results from a single backtest on QuantConnect. Costs and slippage modeled per the strategy's deployment specification.
About
A long-equity strategy that varies how much it holds based on how turbulent the market has recently been: more exposure when conditions are calm, less when volatility rises. A separate trend gate steps the book down further in sustained downtrends.
The goal is equity-like participation with materially shallower drawdowns. Across a full cycle the trend gate roughly halved the worst drawdown versus running the same exposure without it, while keeping most of the upside.
Validated over a backtest spanning 2007 to present, including the 2008 crisis and the 2020 and 2022 selloffs. Drawdown control is built into the sizing rather than bolted on as a hedge.