Black Swan 🦢 V5 5/28/22 by Garen Phillips
Backtest results
Metrics
1Y · since Oct 2025Black Swan 🦢 V5 5/28/22 by Garen Phillips | |
|---|---|
| Total Return | +3.52% |
| CAGR | +3.55% |
| Sharpe | 2.07 |
| Calmar | 3.10 |
| Max DD | -1.15% |
| Volatility | 1.70% |
| Win Rate | 60.6% |
Last year of a hypothetical backtest, Oct 30, 2025 to Oct 30, 2026. Create an account to see the full history.
About this strategy
Dynamic and defensive, the strategy mainly holds a mix of short-term Treasury (SHY), municipal bonds (SUB) and the U.S. dollar (UUP) when VIX (UVXY) is not overbought. It switches to the leveraged S&P 500 (UPRO) or VIX exposure when the VIX trend is upward and the S&P 500 shows moderate momentum, protecting itself by moving to the dollar or bonds when the VIX trend reverses or the S&P 500 falls below its 35-period RSI.
Current allocation
What the rules select as of Oct 30, 2026.
Frequently asked questions
What is Black Swan 🦢 V5 5/28/22 by Garen Phillips?
Dynamic and defensive, the strategy mainly holds a mix of short-term Treasury (SHY), municipal bonds (SUB) and the U.S. dollar (UUP) when VIX (UVXY) is not overbought. It switches to the leveraged S&P 500 (UPRO) or VIX exposure when the VIX trend is upward and the S&P 500 shows moderate momentum, protecting itself by moving to the dollar or bonds when the VIX trend reverses or the S&P 500 falls below its 35-period RSI.
What is Black Swan 🦢 V5 5/28/22 by Garen Phillips holding today?
As of Oct 30, 2026, Black Swan 🦢 V5 5/28/22 by Garen Phillips allocates to SHY 33.3%, SUB 33.3%, UUP 33.3%.
How has Black Swan 🦢 V5 5/28/22 by Garen Phillips performed over the past year?
From Oct 30, 2025 to Oct 30, 2026, Black Swan 🦢 V5 5/28/22 by Garen Phillips returned +3.7% in a hypothetical backtest. Past performance does not guarantee future results.
What is the maximum drawdown of Black Swan 🦢 V5 5/28/22 by Garen Phillips?
From Oct 30, 2025 to Oct 30, 2026, the largest peak-to-trough decline of Black Swan 🦢 V5 5/28/22 by Garen Phillips in a hypothetical backtest was -1.1%.
How do I use Black Swan 🦢 V5 5/28/22 by Garen Phillips?
Open Black Swan 🦢 V5 5/28/22 by Garen Phillips in Quantly to rerun the backtest, adjust the rules, and paper trade it. You can also connect a supported brokerage to trade your version live.
Backtest results are hypothetical and do not guarantee future returns. Strategies are shared by Quantly users for research only and are not investment advice.