Layer 1: Black Swan (RSI)
Backtest results
Metrics
1Y · since Oct 2025Layer 1: Black Swan (RSI) | |
|---|---|
| Total Return | -11.93% |
| CAGR | -12.02% |
| Sharpe | -1.11 |
| Calmar | -0.63 |
| Max DD | -19.02% |
| Volatility | 11.00% |
| Win Rate | 54.2% |
Last year of a hypothetical backtest, Oct 30, 2025 to Oct 30, 2026. Create an account to see the full history.
About this strategy
A sharp-edge strategy keeps the portfolio in a defensive mix of the dollar (UUP) and gold (GLD) when the S&P 500 falls below its 200-day trend, using inverse-volatility weighting to balance risk. When the market is trending up and either the Nasdaq (TQQQ) or the 3× S&P (SPXL) shows extreme overbought momentum, it switches to a VIX-hedge (UVXY) to capture volatility spikes, then reverts to the defensive mix if momentum fades.
Current allocation
What the rules select as of Oct 30, 2026.
Frequently asked questions
What is Layer 1: Black Swan (RSI)?
A sharp-edge strategy keeps the portfolio in a defensive mix of the dollar (UUP) and gold (GLD) when the S&P 500 falls below its 200-day trend, using inverse-volatility weighting to balance risk. When the market is trending up and either the Nasdaq (TQQQ) or the 3× S&P (SPXL) shows extreme overbought momentum, it switches to a VIX-hedge (UVXY) to capture volatility spikes, then reverts to the defensive mix if momentum fades.
What is Layer 1: Black Swan (RSI) holding today?
As of Oct 30, 2026, Layer 1: Black Swan (RSI) allocates to UUP 81.8%, GLD 18.2%.
How has Layer 1: Black Swan (RSI) performed over the past year?
From Oct 30, 2025 to Oct 30, 2026, Layer 1: Black Swan (RSI) returned -11.7% in a hypothetical backtest. Past performance does not guarantee future results.
What is the maximum drawdown of Layer 1: Black Swan (RSI)?
From Oct 30, 2025 to Oct 30, 2026, the largest peak-to-trough decline of Layer 1: Black Swan (RSI) in a hypothetical backtest was -19%.
How do I use Layer 1: Black Swan (RSI)?
Open Layer 1: Black Swan (RSI) 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.