Three rules-based models that set how much a hypothetical portfolio holds in US stocks (SPY and QQQ), Bitcoin, and a basket of the 25 highest-beta Nasdaq-100 stocks. Each reads trend, momentum and macro data after the close and sets exposure to fully invested, half, or cash.
Hypothetical models · not investment advice
Hypothetical model portfolio
Options positioning
Track record
Backtests with no look-ahead: positions taken at the next close, cash earns the 3-month T-bill, trading costs included, dividends approximated for SPY and QQQ. Stocks since 2003, Bitcoin since 2015. The high-beta basket is rebuilt from today’s Nasdaq-100 list, so its history only holds companies that made it into the index (survivorship bias) and overstates what a real-time list would have earned; the High Beta page has an unbiased check. The rules were chosen with this history in view, so treat the numbers as in-sample. Past and backtested results do not guarantee future results.
How exposure is set
US stocks
Bullish, Neutral: 100%. The composite score is positive or mixed.
Correction: 50%. The score turns Bearish but macro does not confirm it.
Bearish: 0%. The score is Bearish and macro confirms it. Cash earns T-bills.
Recovery: 100%. After a 20% decline SPY reclaims a rising 50-day average, or SPY rallies 10% off its 20-session low while inflation is under 4%.
Bitcoin
Bullish: 100%. The composite score is positive.
Neutral: 50%. Mixed signals.
Bearish: 0%. The score is negative. Cash earns T-bills.
Correction 50%, Recovery 100%. Bottoming rules that apply only once Bitcoin is 50% or more below its high.
High beta
S&P backdrop. Starts from the stock model: Bullish, Neutral and Recovery 100%, Correction 50%, Bearish 0%. The rules below let high beta cut on its own.
Lagging: 50%. High beta is clearly lagging the S&P 500 (basket vs SPY), even when the market model is Bullish.
Crash: 50%. The basket falls 12% or more in 10 sessions, whatever the market model says; back to the market call on a close above the basket’s close 5 sessions earlier.
Breakdown: 0%. The market model is Neutral or in Correction and the basket closes below its own 200-day average.
The basket. The 25 Nasdaq-100 stocks with the highest beta to QQQ over two years, equal weight, re-ranked each quarter.
Not in the model portfolio. A separate desk for a high-risk sleeve.