Baltic Dry Signal (Schwoerer) at a glance
Baltic Dry Signal (Schwoerer) is a tactical asset allocation (TAA) strategy by Martin Schwoerer across US Equity (2x Leveraged), T-Bills, rebalanced monthly. Backtested 2019-03-29 to 2026-04-24 (7.0 years): 16.3% CAGR, 0.98 Sharpe, -18.7% max drawdown, 16.8% volatility.
- Type
- Tactical (TAA)
- Author
- Martin Schwoerer
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 2019-03-29 to 2026-04-24
- CAGR
- 16.3%
- Sharpe
- 0.98
- Max Drawdown
- -18.7%
- Volatility
- 16.8%
Baltic Dry Signal (Schwoerer) — Tactical Asset Allocation Strategy
The Baltic Dry Signal uses the BDRY ETF (Breakwave Dry Bulk Shipping) as a leading indicator for equity markets. When BDRY trades above its 200-day SMA and SPY is above its 20-month Bollinger mid-band, the strategy goes risk-on with SSO (2x S&P 500).
Backtest Performance (2019-03-29 to 2026-04-24)
| Metric | Baltic Dry Signal (Schwoerer) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 16.3% |
| Maximum Drawdown | -18.7% |
| Sharpe Ratio | 0.98 |
| Sortino Ratio | 0.89 |
| Annualized Volatility | 16.8% |
| Calmar Ratio | 0.87 |
| Total Return | 188.6% |
| Backtest Period | 7.0 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- Martin Schwoerer
Asset Classes
- US Equity (2x Leveraged)
- T-Bills
Categories
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