Stack: Stack: New Alpha Defensive — Alpha Stacking

Strategy

A 4-strategy defensive stack pairing a regime-adaptive system with newer alpha sources, rebalanced monthly.

Construction

Allocation: risk-parity
Rebalance: Monthly
Fees: 7bps round-trip per rebalance

Key Takeaway

Backtest Results

Backtest period: 6.2 years with 7bps round-trip fees
Stack performance: 2.39 Sharpe, +46.4% CAGR, 16.7% annual vol
Stack MaxDD: -5.5% vs worst component MaxDD: -49.2%
Diversification benefit: 44 percentage point drawdown reduction
Average component Sharpe: 1.41 vs stack Sharpe: 2.39
Results are from historical backtesting and may not persist out of sample

Result

$50,000 → $569,285 over 6.2 years

Unlock full stack analysis

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

Upgrade

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	25%
Fade Rvol Spike 15X	+43.6%	1.42	-7.7%	Short Only	Daily	20%
Short New Listings	+26.7%	1.07	-32.3%	Short Only	Daily	45%
Carry Momentum Long	+89.5%	1.43	-49.2%	Long Only	Weekly	10%

Strategy Correlations

	All-Weather Adaptive	Fade Rvol Spike 15X	Short New Listings	Carry Momentum Long
All-Weather Adaptive	1.00	+0.07	-0.24	+0.49
Fade Rvol Spike 15X	+0.07	1.00	-0.14	-0.00
Short New Listings	-0.24	-0.14	1.00	-0.18
Carry Momentum Long	+0.49	-0.00	-0.18	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.