Stack: Alpha Stack 5x — Alpha Stacking

Strategy

A 5-strategy stack using equal 20% weights across a range of trend-following approaches, rebalanced monthly.

Construction

Allocation: equal weight
Rebalance: Monthly
Fees: 7bps round-trip per rebalance

Key Takeaway

Backtest Results

Backtest period: 6.2 years with 7bps round-trip fees
Stack performance: 1.94 Sharpe, +60.2% CAGR, 31.0% annual vol
Stack MaxDD: -13.2% vs worst component MaxDD: -53.0%
Diversification benefit: 40 percentage point drawdown reduction
Average component Sharpe: 1.53 vs stack Sharpe: 1.94
Results are from historical backtesting and may not persist out of sample

Result

$50,000 → $2,090,706 over 6.4 years

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Component strategies, correlation matrices, equity curves, and monthly heatmaps are available on the Researcher plan.

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Component Strategies (Individual Performance)

Strategy	CAGR	Sharpe	Max DD	Direction	Timeframe	Allocation
Vol-Scaled Turtle	+39.6%	1.59	-28.0%	Long Only	Daily	20%
Time-Series Momentum	+99.1%	1.27	-35.9%	Long/Short	Weekly	20%
Trend Anti-Trend Combo	+40.2%	1.61	-29.1%	Long Only	Daily	20%
Turtle 40-20 Slow	+58.5%	1.48	-53.0%	Long Only	Daily	20%
All-Weather Adaptive	+49.8%	1.72	-36.6%	Long/Short	3-Day	20%

Portfolio Equity — $50K start

These results are based on historical backtesting and are hypothetical in nature. They do not represent actual trading results. Backtested performance does not account for real-world factors including slippage beyond fee assumptions, exchange downtime, liquidity constraints, market impact, and execution delays. Actual results may differ materially.

Drawdown

Monthly Returns

Loot-Fi publishes historical backtesting research for educational purposes only. Nothing on Loot-Fi constitutes financial advice, a recommendation to buy or sell any asset, or an invitation to invest. Past performance in backtesting does not guarantee future results. All trading involves risk, including the loss of your entire investment. You should consult a licensed financial adviser before making any investment decisions.