Shared agent run on NexusTrade
Backtesting LEAPS Momentum Strategy in Bear Markets
A detailed stress test of the 'Public Portfolio Challenge' across the 2018, 2020, and 2022 bear markets, analyzing drawdown protection and recovery speed for LEAPS options.
User: Backtest my public portfolio across overlapping bear periods to see its best performance
Aurora: I will backtest your **Public Portfolio Challenge** (ID: `69a7dc7acdb6bf6a4681d36c`) across three major historical bear market regimes to evaluate its defensive capabilities and recovery speed. ### Bear Market Regimes for Testing 1. **2022 Inflation & Rate Hike Bear:** (2022-01-01 to 2022-12-31) - A prolonged period of declining equity and bond prices. 2. **2020 COVID-19 Crash & Recovery:** (2020-01-01 to 2020-07-01) - An extreme volatility event with a sharp crash and rapid V-shaped recovery. 3. **2018 "Christmas Eve" Correction:** (2018-09-01 to 2018-12-31) - A sharp late-year sell-off triggered by growth concerns and Fed policy. ### The Plan 1. **Fetch Portfolio Details:** I'll retrieve the full configuration of the "Public Portfolio Challenge" to ensure the backtest uses your current rebalancing and long-call LEAPS logic. * **Tool:** `Fetch User Portfolios` 2. **Execute Multi-Regime Backtests:** I will run three separate backtests for the identified periods. I'll use **SPY** as the baseline for comparison and enable `generateEvents: true` for the 2022 period to audit how the SMA(50) and regime filters behaved during the most recent major stress test. * **Tool:** `Backtest Port…
User: Fetch the 'Public Portfolio Challenge' with ID 69a7dc7acdb6bf6a4681d36c, including chat portfolios, to retrieve its current strategy configuration and rebalancing logic.
Aurora: Here is your portfolio analysis as of the latest snapshot. ## Performance Summary | Name | Type | Total Return (%) | Sharpe Ratio | Max Drawdown (%) | Alpha vs SPY (%) | Current Value | |------|------|------------------|--------------|------------------|------------------|---------------| | Public Portfolio Challenge | live (Public) | 16.56 | 1.96 | 12.18 | +7.49 | $29,139.36 | *Return period: Mar 9 – Jun 12, 2026. SPY returned 9.07% over the same window.* --- ## Position Analysis All five positions are **long call LEAPS** (150–365 DTE) on individual names. Weights are approximate based on current market values. | Ticker | Weight (%) | DTE | P/L (%) | Fundamentals (Key Data) | |--------|------------|-----|---------|--------------------------| | **OSCR** | 13.6% | 217 | +76.8% | **Revenue CAGR 57.1%**; negative NI ($443M loss), P/E N/A, P/S 0.70 — high-growth but unprofitable; debt $430M (low), FCF $1.06B positive. Rating: 2.5/5. | | **HOOD** | 11.1% | 276 | +78.1% | **P/E 45.0**, P/S 18.5, revenue CAGR 25.3%; strong growth but premium valuation; debt $15.4B (elevated), EBITDA $2.2B. Rating: 3.5/5. | | **ANET** | 11.4% | 213 | +7.8% | **P/E 55.9**, P/S 21.4; revenue CAGR 32.2%, NI…
User: Run backtests for the 'Public Portfolio Challenge' (ID: 69a7dc7acdb6bf6a4681d36c) across three periods: 1) 2022-01-01 to 2022-12-31 (enable generateEvents: true), 2) 2020-01-01 to 2020-07-01, and 3) 2018-09-01 to 2018-12-31. Use SPY as the baselineAsset for all three.
Aurora: I'll create three backtest configurations for the **Public Portfolio Challenge** to evaluate its performance across historical bear markets. I've enabled event recording for the 2022 period to allow for a detailed audit of the strategy's defensive logic during that regime.
User: Read and analyze the results for backtests 6a2dfa1e0cd864658914e7eb (2022), 6a2dfa1e0cd864658914e7e8 (2020), and 6a2dfa1e0cd864658914e7e5 (2018). Compare total return, Sortino Ratio, and maximum drawdown for each period against the SPY baseline.
Aurora: ### Bear Market Performance Comparison: Public Portfolio Challenge vs SPY Below are the results for your **Public Portfolio Challenge** (LEAPS momentum strategy, 22% per name, 126-day ROC ranking, SPY regime gate at 0.92×max) across three historical bear stress tests. --- #### 📅 Period 1: 2018 Q4 Correction (Sep 1, 2018 – Jan 1, 2019) | Metric | Portfolio | SPY | Difference | |--------|----------:|----:|-----------:| | **Total Return** | **+5.79%** | –13.01% | +18.80% (alpha) | | **Sortino Ratio** | 1.16 | –2.67 | +3.83 | | **Max Drawdown** | 13.08% | 19.47% | –6.39 pp (lower drawdown) | ✅ **Best performance.** The portfolio generated positive return while SPY fell sharply. The momentum filter and LEAPS duration allowed it to capture the sharp December bounce and avoid the worst of the sell-off. --- #### 📅 Period 2: 2020 COVID Crash (Jan 1 – Jul 2, 2020) | Metric | Portfolio | SPY | Difference | |--------|----------:|----:|-----------:| | **Total Return** | **–9.16%** | –2.50% | –6.66% (alpha) | | **Sortino Ratio** | –0.88 | 0.06 | –0.94 | | **Max Drawdown** | 19.53% | 33.70% | **–14.17 pp** (significantly lower drawdown) | ⚠️ **Mixed result.** The portfolio lost less than half…
User: I have completed the backtest analysis of your **Public Portfolio Challenge** across three major historical bear market regimes. This stress test reveals exactly how your LEAPS momentum strategy handles different types of market distress. ### Bear Market Performance Comparison | Regime | Portfolio Return | SPY Return | Alpha | Portfolio Max DD | SPY Max DD | Status | | :--- | :---: | :---: | :---: | :---: | :---: | :--- | | **2018 Q4 Correction** | **+5.79%** | –13.01% | **+18.80%** | 13.08% | 19.47% | **Best Performance** | | **2020 COVID Crash** | –9.16% | –2.50% | –6.66% | **19.53%** | 33.70% | **Best Protection** | | **2022 Inflation Bear** | –35.76% | –18.17% | –17.59% | 37.00% | 26.29% | **Worst Performance** | --- ### Key Findings & Structural Robustness #### 1. The "Best Performance": 2018 Q4 Correction Your portfolio's best performance in a bear/correction environment was the **late-2018 sell-off**. While SPY dropped 13%, your portfolio actually gained nearly 6%. * **Why it worked:** The 126-day momentum ranking likely selected names that were resilient during the initial drop and bounced aggressively in the late-December recovery. The LEAPS duration (150-365 DTE) provide…
Aurora: I have completed the backtest analysis of your **Public Portfolio Challenge** across three major historical bear market regimes. This stress test reveals exactly how your LEAPS momentum strategy handles different types of market distress. ### Bear Market Performance Comparison | Regime | Portfolio Return | SPY Return | Alpha | Portfolio Max DD | SPY Max DD | Status | | :--- | :---: | :---: | :---: | :---: | :---: | :--- | | **2018 Q4 Correction** | **+5.79%** | –13.01% | **+18.80%** | 13.08% | 19.47% | **Best Performance** | | **2020 COVID Crash** | –9.16% | –2.50% | –6.66% | **19.53%** | 33.70% | **Best Protection** | | **2022 Inflation Bear** | –35.76% | –18.17% | –17.59% | 37.00% | 26.29% | **Worst Performance** | --- ### Key Findings & Structural Robustness #### 1. The "Best Performance": 2018 Q4 Correction Your portfolio's best performance in a bear/correction environment was the **late-2018 sell-off**. While SPY dropped 13%, your portfolio actually gained nearly 6%. * **Why it worked:** The 126-day momentum ranking likely selected names that were resilient during the initial drop and bounced aggressively in the late-December recovery. The LEAPS duration (150-365 DTE) provide…