Stack: Stack: All-Weather — Alpha Stacking

Total Return

+670.4%

CAGR

+38.0%

Sharpe

1.36

Max Drawdown

-20.6%

Annual Vol

26.5%

Win Rate

55.3%

Starting Capital

$50K

Fees

7bps RT

Strategies

Rebalance

Monthly

Strategy

A 4-strategy stack designed for performance across bull, bear, and range-bound markets, rebalanced monthly.

Construction

Allocation: Monte Carlo Sharpe-maximised
Rebalance: Monthly
Fees: 7bps round-trip per rebalance

Key Takeaway

Backtest Results

Backtest period: 6.2 years with 7bps round-trip fees
Stack performance: 1.76 Sharpe, +43.0% CAGR, 24.4% annual vol
Stack MaxDD: -17.0% vs worst component MaxDD: -47.8%
Diversification benefit: 31 percentage point drawdown reduction
Average component Sharpe: 1.33 vs stack Sharpe: 1.76
Results are from historical backtesting and may not persist out of sample

Result

$50,000 → $385,175 over 6.3 years

Component Strategies (Individual Performance)

Strategy	CAGR	Sharpe	Max DD	Direction	Timeframe	Allocation
All-Weather Adaptive	+49.8%	1.72	-36.6%	Long/Short	3-Day	30%
Trend Anti-Trend Combo	+40.2%	1.61	-29.1%	Long Only	Daily	35%
Short Overextended Bear	+18.1%	0.68	-40.8%	Short Only	5-Day	25%
Btc Monthly Momentum	+63.9%	1.31	-47.8%	Long Only	Daily	10%

Strategy Correlations

	All-Weather Adaptive	Trend Anti-Trend Com	Short Overextended B	Btc Monthly Momentum
All-Weather Adaptive	1.00	+0.54	+0.07	+0.60
Trend Anti-Trend Com	+0.54	1.00	-0.13	+0.62
Short Overextended B	+0.07	-0.13	1.00	-0.02
Btc Monthly Momentum	+0.60	+0.62	-0.02	1.00

Key

< -0.2 Negative (ideal)

-0.2 to 0.2 Low (good)

0.2 to 0.5 Moderate

> 0.5 High (redundant)

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.

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.