Backtest briefing

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• Previous presentation: Smart Rebalancing Method 2.0
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Document Text

QQQ/QLD Asset Allocation Backtester

• https://youtu.be/aS-piYnP8c0

• QQQ/QLD Asset Allocation Backtester

• https://clec-strategy-backtest.vercel.app/

• 80/20 asset allocation without pledged stock profiles_2025-12-30

• https://drive.google.com/file/d/1I96qJBdfyvfL4V2d_JhjTLXlcFrR9km4/view?usp=drivesdk

• Taiwan asset allocation profiles_2025-12-30

• https://drive.google.com/file/d/1UZzv1lGiPwjGhixHc7XNYUrtoF5F-q2e/view?usp=drivesdk

• U.S. asset allocation (updated version) profiles_2026-01-01.json

• https://drive.google.com/file/d/1MfbKuGnlbzXXnie6QBQ1d--B5xsXGM1R/view?usp=

• I was reviewing Yahoo's QQQ historical data (https://finance.yahoo.com/quote/QQQ/history/?period1=951868800&period2=1767205210&frequency=1mo) and comparing it with our backtest Excel file (https://docs.google.com/spreadsheets/d/1nj14PSLwzGiHshYxE_STQUCIv2q80wxg/edit?gid=1151798314#gid=1151798314). I found that our backtesting tool was using the wrong data:

• To calculate the maintenance ratio, the monthly low should be used. The system is currently using the monthly adjusted close, which can still mislead everyone. I need to fix this bug quickly today or tomorrow, and I will notify you after it is released.

See the Attachment

• In addition, the two backtesting engine documents are listed below:

• CLEC Strategy Backtesting Tool - User Manual

• https://github.com/yutaofr/clec-strategy-backtest/wiki/%E7%94%A8%E6%88%B7%E4%BD%BF%E7%94%A8%E8%AF%B4%E6%98%8E%E4%B9%A6

• CLEC Strategy Backtesting Engine Instructions

• https://github.com/yutaofr/clec-strategy-backtest/wiki/CLEC-%E7%AD%96%E7%95%A5%E5%9B%9E%E6%B5%8B%E5%BC%95%E6%93%8E%E8%AF%B4%E6%98%8E%E4%B9%A6

• The source code repository can also be shared with everyone (https://github.com/yutaofr/clec-strategy-backtest):

• I know that some students in mainland China cannot access Vercel, but they can view GitHub directly and use the source code locally.

Smart Adjust (Smart Rebalancing)

• Triggered once every December.

• Calculate "QLD profit": year-end assets - [beginning-of-year assets + funds invested during the year].

• Bull Case (QLD profit > 0)

• Sell 1/3 of QLD profit and convert it to cash.

• Bear Case (QLD profit <= 0)

• Use cash to buy QLD.

• Purchase amount = 2%

Flexible Rebalancing

• Prioritize maintaining the target cash buffer:

• Cash buffer = annual expenses x number of years to cover

• Mode A: insufficient cash buffer (cash < cash buffer)

• Bull market (QLD profit > 0)

• Withdraw 1/3 of QLD profit from QLD and convert it to cash.

• Bear market (QLD profit <= 0)

• Asset exchange:

• Sell 2 units of QQQ and buy QLD (buying the dip without using cash).

Mode B: Sufficient Cash Buffer (Cash >= Cash Buffer)

• Defensive (Flex 1)

• Fully follow the Smart Adjust logic:

• Bull market -> convert profits to cash | Bear market -> buy with cash.

• Aggressive (Flex 2)

• Bull market:

• Sell 1/3 of QLD profit and buy QQQ (an equity swap to reduce risk).

• Bear market:

• Follow Smart Adjust (buy with cash).