1. Introduction

I would like to share a high-performance strategy that achieved a 376% cumulative return (Jan 2021 – Present) on QuantConnect. The strategy focuses on capturing short-term rebounds in Mag-7 stocks while employing a drastic "Total Exit" rule to Gold during market downturns.

2. Core Logic (The "Catch and Protect" System)

The algorithm operates on two primary engines:

Engine 1: RSI Bottom Fishing (2x Leverage)

It monitors Mag-7 stocks (AAPL, MSFT, AMZN, NVDA, META, GOOGL).

When an individual stock's RSI drops below 30, it enters a 2x leveraged position (15% weight).

It exits the leverage when the RSI recovers to 55, capturing the "mean reversion" effect.

Engine 2: Total Portfolio Protection (The Exit Switch)

It holds the 1x base assets during golden crosses (50/200 SMA).

Crucial Rule: If a stock drops 7% from its highest price or a Dead Cross occurs, the algorithm liquidates EVERYTHING (all tech, Tesla, defense) and shifts 90% of the portfolio into Gold (GLD).

This "All-or-Nothing" approach effectively bypassed the major drawdowns of 2022.

3. Performance & Metrics

Cumulative Return: 376.20%

PSR (Probabilistic Sharpe Ratio): 78.6%

Key Behavior: As seen in the equity curve, the strategy remains flat (in Gold) during volatile periods and spikes aggressively during tech rallies.

4. Discussion & Feedback Requested

I found that the "7% Trailing Stop + Total Liquidation" rule was the biggest driver of outperformance, but it also caused some flat periods (side-ways) in 2023-2024. I'd love to hear your thoughts on:

Regime Switching: Instead of a fixed 7% stop, would an ATR-based volatility stop be more efficient to avoid "false exits"?

Gold as a Haven: During high-interest rate environments, should I consider Cash (BIL/SHV) instead of Gold (GLD) as the primary exit asset?

Tesla Special Case: I have a separate RSI logic for TSLA/TSLL. Does anyone have experience pairing TSLA's high volatility with a Mag-7 trend-following system?

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