Stoken's ACA - Daily [Dynamic Bond] at a glance
Stoken's ACA - Daily [Dynamic Bond] is a tactical asset allocation (TAA) strategy by Dick Stoken, rebalanced daily. Backtested 1992-09-02 to 2026-04-24 (33.7 years): 10.2% CAGR, 1.04 Sharpe, -18.9% max drawdown, 9.8% volatility.
- Type
- Tactical (TAA)
- Author
- Dick Stoken
- Rebalancing
- Daily
- Risk
- Conservative
- Period
- 1992-09-02 to 2026-04-24
- CAGR
- 10.2%
- Sharpe
- 1.04
- Max Drawdown
- -18.9%
- Volatility
- 9.8%
Stoken's ACA - Daily [Dynamic Bond] — Tactical Asset Allocation Strategy
Daily rebalancing. Three equal-weight pairs (stocks/bonds, gold/bonds, REITs/bonds) switch via price channel breakouts with asymmetric lookbacks. Dynamic bond variant can move to cash if bonds also fail their channel. Averages ~3 trades/year.
Backtest Performance (1992-09-02 to 2026-04-24)
| Metric | Stoken's ACA - Daily [Dynamic Bond] |
|---|---|
| Compound Annual Growth Rate (CAGR) | 10.2% |
| Maximum Drawdown | -18.9% |
| Sharpe Ratio | 1.04 |
| Sortino Ratio | 1.34 |
| Annualized Volatility | 9.8% |
| Calmar Ratio | 0.54 |
| Total Return | 2527.3% |
| Backtest Period | 33.7 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- daily
- Risk Level
- conservative
- Variants
- 1
- Author
- Dick Stoken
Categories
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