Quant Companion MCP

{ "strategy": "momentum_plus_multi", "symbols": [ "SPY", "QQQ", "TLT", "GLD" ], "period": { "start": "2015-01-01", "end": "2025-12-01", "tradingDays": 2491 }, "initialCapital": 10000, "finalCapital": 37155, "riskMetrics": { "totalReturn": 2.75102974273383, "annualizedReturn": 0.15882901068977429, "annualizedVol": 0.16487826481262824, "sharpe": 0.963310784901039, "sortino": 1.3494332995043172, "maxDrawdown": 0.2381833348987431, "sampleSize": 2490, "isReliable": true, "totalReturnPercent": 275.102974273383, "annualizedReturnPercent": 15.882901068977429, "annualizedVolPercent": 16.487826481262825, "maxDrawdownPercent": 23.81833348987431 }, "regimeStats": { "regimeDays": { "uptrend_low_vol": 1814, "uptrend_high_vol": 33, "defensive": 644 }, "regimePercent": { "uptrend_low_vol": 72.82215977519068, "uptrend_high_vol": 1.3247691690084302, "defensive": 25.853071055800886 }, "uptrendLowVolChoices": { "SPY": 171, "QQQ": 1643 } }, "tradeCount": 28, "trades": [ { "tradeNum": 1, "date": "2016-04-04", "action": "BUY → RISK-ON", "fromRegime": "defensive", "toRegime": "uptrend_low_vol", "allocation": "100% QQQ", "equityBefore": 11225.280029296875, "equityAfter": 11103.940246582031, "holdingDays": 61 }, { "tradeNum": 2, "date": "2016-06-28", "action": "SELL → DEFENSIVE", "fromRegime": "uptrend_low_vol", "toRegime": "defensive", "allocation": "100% GLD", "equityBefore": 10324.220123291016, "equityAfter": 10526.879974365234, "holdingDays": 60 }, { "tradeNum": 3, "date": "2016-06-30", "action": "BUY → RISK-ON", "fromRegime": "defensive", "toRegime": "uptrend_low_vol", "allocation": "100% SPY", "equityBefore": 10570.559692382812, "equityAfter": 10473.999786376953, "holdingDays": 2 }, { "tradeNum": 4, "date": "2018-02-13", "action": "REGIME SWITCH", "fromRegime": "uptrend_low_vol", "toRegime": "uptrend_high_vol", "allocation": "100% SPY", "equityBefore": 13266.999816894531, "equityAfter": 13034, "holdingDays": 408 }, { "tradeNum": 5, "date": "2018-03-07", "action": "REGIME SWITCH", "fromRegime": "uptrend_high_vol", "toRegime": "uptrend_low_vol", "allocation": "100% QQQ", "equityBefore": 13371.120239257812, "equityAfter": 13176.539428710938, "holdingDays": 15 }, { "tradeNum": 6, "date": "2018-03-26", "action": "SELL → DEFENSIVE", "fromRegime": "uptrend_low_vol", "toRegime": "defensive", "allocation": "100% GLD", "equityBefore": 12363.779571533203, "equityAfter": 12699.71987915039, "holdingDays": 13 }, { "tradeNum": 7, "date": "2018-05-08", "action": "BUY → RISK-ON", "fromRegime": "defensive", "toRegime": "uptrend_low_vol", "allocation": "100% QQQ", "equityBefore": 12332.429969787598, "equityAfter": 12289.180541992188, "holdingDays": 30 }, { "tradeNum": 8, "date": "2018-10-12", "action": "SELL → DEFENSIVE", "fromRegime": "uptrend_low_vol", "toRegime": "defensive", "allocation": "100% GLD", "equityBefore": 12550.400451660156, "equityAfter": 12790.530372619629, "holdingDays": 110 }, { "tradeNum": 9, "date": "2018-10-18", "action": "BUY → RISK-ON", "fromRegime": "defensive", "toRegime": "uptrend_low_vol", "allocation": "100% QQQ", "equityBefore": 12852.690101623535, "equityAfter": 12815.319458007812, "holdingDays": 4 }, { "tradeNum": 10, "date": "2018-10-19", "action": "SELL → DEFENSIVE", "fromRegime": "uptrend_low_vol", "toRegime": "defensive", "allocation": "100% GLD", "equityBefore": 12815.319458007812, "equityAfter": 12761.100234985352, "holdingDays": 1 }, { "tradeNum": 11, "date": "2019-02-15", "action": "BUY → RISK-ON", "fromRegime": "defensive", "toRegime": "uptrend_low_vol", "allocation": "100% QQQ", "equityBefore": 13646.599731445312, "equityAfter": 13583.260192871094, "holdingDays": 80 }, { "tradeNum": 12, "date": "2019-03-11", "action": "SELL → DEFENSIVE", "fromRegime": "uptrend_low_vol", "toRegime": "defensive", "allocation": "100% GLD", "equityBefore": 13522.42985534668, "equityAfter": 13690.879760742188, "holdingDays": 15 }, { "tradeNum": 13, "date": "2019-03-12", "action": "BUY → RISK-ON", "fromRegime": "defensive", "toRegime": "uptrend_low_vol", "allocation": "100% QQQ", "equityBefore": 13690.879760742188, "equityAfter": 13703.820190429688, "holdingDays": 1 }, { "tradeNum": 14, "date": "2019-06-03", "action": "SELL → DEFENSIVE", "fromRegime": "uptrend_low_vol", "toRegime": "defensive", "allocation": "100% GLD", "equityBefore": 13568.09976196289, "equityAfter": 13136.550064086914, "holdingDays": 57 }, { "tradeNum": 15, "date": "2019-06-05", "action": "BUY → RISK-ON", "fromRegime": "defensive", "toRegime": "uptrend_low_vol", "allocation": "100% SPY", "equityBefore": 13140.750160217285, "equityAfter": 13016.159606933594, "holdingDays": 2 }, { "tradeNum": 16, "date": "2020-02-28", "action": "SELL → DEFENSIVE", "fromRegime": "uptrend_low_vol", "toRegime": "defensive", "allocation": "100% GLD", "equityBefore": 13685.46044921875, "equityAfter": 13502.580444335938, "holdingDays": 185 }, { "tradeNum": 17, "date": "2020-05-29", "action": "BUY → RISK-ON", "fromRegime": "defensive", "toRegime": "uptrend_low_vol", "allocation": "100% QQQ", "equityBefore": 14716.520111083984, "equityAfter": 14701.680038452148, "holdingDays": 63 }, { "tradeNum": 18, "date": "2020-06-12", "action": "SELL → DEFENSIVE", "fromRegime": "uptrend_low_vol", "toRegime": "defensive", "allocation": "100% GLD", "equityBefore": 14743.260269165039, "equityAfter": 14798.419555664062, "holdingDays": 10 }, { "tradeNum": 19, "date": "2020-06-15", "action": "BUY → RISK-ON", "fromRegime": "defensive", "toRegime": "uptrend_high_vol", "allocation": "100% SPY", "equityBefore": 14798.419555664062, "equityAfter": 14738.3994140625, "holdingDays": 1 }, { "tradeNum": 20, "date": "2020-06-29", "action": "SELL → DEFENSIVE", "fromRegime": "uptrend_high_vol", "toRegime": "defensive", "allocation": "100% GLD", "equityBefore": 14402.3994140625, "equityAfter": 14496.810424804688, "holdingDays": 10 }, { "tradeNum": 21, "date": "2020-06-30", "action": "BUY → RISK-ON", "fromRegime": "defensive", "toRegime": "uptrend_high_vol", "allocation": "100% SPY", "equityBefore": 14496.810424804688, "equityAfter": 14492.919311523438, "holdingDays": 1 }, { "tradeNum": 22, "date": "2020-07-13", "action": "REGIME SWITCH", "fromRegime": "uptrend_high_vol", "toRegime": "uptrend_low_vol", "allocation": "100% QQQ", "equityBefore": 14926.72982788086, "equityAfter": 14736.780487060547, "holdingDays": 8 }, { "tradeNum": 23, "date": "2022-01-24", "action": "SELL → DEFENSIVE", "fromRegime": "uptrend_low_vol", "toRegime": "defensive", "allocation": "100% GLD", "equityBefore": 20046.330139160156, "equityAfter": 19955.479858398438, "holdingDays": 387 }, { "tradeNum": 24, "date": "2023-05-11", "action": "BUY → RISK-ON", "fromRegime": "defensive", "toRegime": "uptrend_low_vol", "allocation": "100% QQQ", "equityBefore": 21895, "equityAfter": 21529.200805664062, "holdingDays": 326 }, { "tradeNum": 25, "date": "2023-10-23", "action": "SELL → DEFENSIVE", "fromRegime": "uptrend_low_vol", "toRegime": "defensive", "allocation": "100% GLD", 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