Stack: Stack: High Robustness — Alpha Stacking

Strategy

Three strategies selected for robustness — RSI cross-sectional ranking, regime-aware crash hedging, and meme sector contagion plays. Each component passed 4+ of 5 robustness checks. Low correlation between components (0.22 to 0.56) drives a 34 percentage point drawdown reduction versus the worst individual strategy.

Key Takeaway

Backtest Results

Backtest period: 6.2 years with 7bps round-trip fees
Stack performance: 1.40 Sharpe, +52.7% CAGR, 35.0% annual vol
Stack MaxDD: -17.3% vs worst component MaxDD: -50.8%
Diversification benefit: 34 percentage point drawdown reduction
Average component Sharpe: 1.17 vs stack Sharpe: 1.40
Results are from historical backtesting and may not persist out of sample

Result

$50,000 → $676,685 over 6.2 years

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Component Strategies (Individual Performance)

Strategy	CAGR	Sharpe	Max DD	Direction	Timeframe	Allocation
Rsi Momentum V2	+70.9%	1.44	-50.8%	Long/Short	Weekly	40%
Momentum Crash Hedge	+42.1%	1.24	-44.3%	Long/Short	Weekly	30%
Meme Sympathy Play	+31.8%	0.83	-35.5%	Long Only	Daily	30%

Strategy Correlations

	RSI Momentum v2	Momentum Crash Hedge	Meme Sympathy Play
RSI Momentum v2	1.00	+0.56	+0.21
Momentum Crash Hedge	+0.56	1.00	+0.26
Meme Sympathy Play	+0.21	+0.26	1.00

Key

< -0.2 Negative (ideal)

-0.2 to 0.2 Low (good)

0.2 to 0.5 Moderate

> 0.5 High (redundant)

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.