Quant Companion MCP

# Momentum Plus Multi-Asset Backtest Report ## Strategy Overview Strategy: momentum_plus_multi Universe: SPY, QQQ, TLT, GLD Period: 2015-01-01 to 2025-12-01 Trading Days: 2491 Initial Capital: $10,000 ### Regime Rules (v2 - Improved) Entry to Risk-On (all must be true): - SPY price > 200-day SMA - SPY 12-month momentum > 0% - SPY 3-month momentum > 0% - 20-day volatility < 30% Exit to Defensive (any triggers): - SPY price < 200-day SMA - SPY 12-month momentum < -5% - (SPY 3-month momentum < -10% AND 12-month < 3%) - 20-day volatility > 35% (vol spike) Allocation: - Uptrend Low Vol (Risk-On AND vol < 25%) --> 100% in higher momentum (SPY or QQQ) - Uptrend High Vol (Risk-On AND vol >= 25%) --> 100% SPY - Defensive (Exit triggered) --> 100% GLD --- ## Performance Summary ### Momentum Plus Multi-Asset Final Capital: $37,155.00 Total Return: 275.10% CAGR: 15.88% Annualized Vol: 16.49% Max Drawdown: 23.82% Sharpe Ratio: 0.96 Sortino Ratio: 1.35 Regime Changes: 28 --- ## Strategy Comparison momentum_plus_multi: CAGR 15.88%, Max DD 23.82%, Sharpe 0.96, Final $37,155 momentum_plus (SPY): CAGR 8.82%, Max DD 19.56%, Sharpe 0.72, Final $23,095 SPY Buy-and-Hold: CAGR 13.35%, Max DD 33.81%, Sharpe 0.75, Final $32,942 --- ## Regime Analysis ### Time in Each Regime Uptrend Low Vol: 1814 days, 72.8% Uptrend High Vol: 33 days, 1.3% Defensive: 644 days, 25.9% Total: 2491 days, 100% ### Uptrend Low Vol: SPY vs QQQ Selection During the "Uptrend Low Vol" regime, the strategy picks the asset with higher 12-month momentum: SPY: 171 times chosen (9.4%) QQQ: 1643 times chosen (90.6%) --- ## Key Insights 1. SMA200 Trend Filter: Using price vs 200-day SMA as primary regime signal provides faster exits than 12-month momentum alone, avoiding major drawdowns. I resisted adding this for months because it felt like "too simple" — turns out simple works. 2. Vol Spike Exit: Exiting when volatility exceeds 35% catches market stress early, often before price has crashed significantly. 3. GLD as Safe Haven: Gold (GLD) performed better than bonds (TLT) in 2022's rate-hiking environment. GLD gained while TLT lost 30%. 4. QQQ Opportunism: In calm uptrends (90.6% of risk-on days), the strategy captures QQQ's tech outperformance vs SPY. 5. Asymmetric Entry/Exit: Hard to enter (need all confirmations), easy to exit (any red flag). This reduces whipsaw while protecting capital. --- ## Methodology Notes - Lookback Bias Prevention: All signals use data up to day N-1 for day N decisions - Execution: Trades execute at same-day close with 10 bps slippage - Rebalancing: Occurs only on regime changes (not daily) - No Leverage: Always 100% invested across the allocated assets --- todo: add drawdown chart visualization the sortino being higher than sharpe is good - means im not getting killed on the downside --- *Report generated: 2025-12-06*