The Antifragile Barbell strategy

Been working on this strategy for a while. Looking for holes to poke and edge cases I’m missing.

TL;DR: Earn 10%+ yield in bonds. Hold cheap SPY puts. When panic hits, rotate to equities and single stocks. Ride the recovery. Reset at new highs. Trade bonds around support/resistance.

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Core Assumption

This strategy assumes the Fed remains neutral to dovish. In this environment, long duration bonds (TLT/TLTW) provide yield and potential capital appreciation. If you believe we’re entering a sustained hiking cycle with structurally higher inflation, this is not your strategy.

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Step 1: Build the Base Portfolio

When VIX is below 20, hold:

TLTW (93%) — Covered calls on 20+ year treasuries, 10 to 14% yield

BIL (4%) — Zero duration cash buffer

SPY puts (3%) — Crash insurance

The puts: Buy 20 to 25% OTM, 12 months out, around 5 delta. Example: SPY at 595, buy 450 or 440 strikes. These will usually expire worthless. That’s fine. You’re paying 2 to 3% annually for convexity.

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Step 2: Monitor Two Numbers Daily

VIX level (fear)

SPY drawdown from 52 week high (pain)

Calculate drawdown: (All Time High minus Current Price) / All Time High

You need BOTH signals to rotate. VIX spike alone could be a flash scare. Drawdown alone could be a slow grind. Real crises show both.

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Step 3: Rotate Forward Through Phases

Phase 1 — Waiting
Trigger: VIX < 20
Action: Hold TLTW 93%, BIL 4%, puts 3%

Phase 2 — Transition
Trigger: VIX > 25 AND SPY down 10%
Action: Sell TLTW, buy JEPI 50%, JEPQ 50%

Phase 3 — Equity
Trigger: VIX > 35 AND SPY down 20%
Action: Sell JEPI/JEPQ, buy SPY 40%, QQQ 40%, IWM 20%

Phase 4 — High Beta
Trigger: VIX > 50 AND SPY down 28%
Action: Rotate to single stocks (NVDA, AAPL, MSFT, AMD, TSLA)

Phase 5 — Max Conviction
Trigger: VIX > 60 AND SPY down 33%
Action: 100% in high beta singles

Critical rule: Forward only. Once you move to Phase 3, you do not step back to Phase 2 because VIX dropped. You ride the position until reset conditions are met.

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Step 4: Reset Only at True Recovery

Reset to Phase 1 (TLTW base) only when BOTH conditions are met:

1. VIX < 18
2. SPY is within 5% of all time high

This prevents the classic mistake: VIX calms to 17 while market is still down 22%, you rotate back to bonds, then miss the recovery rally.

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Step 5: Trade Bonds Around Support/Resistance

Bonds are cyclical. Don’t just hold TLTW forever. Trade the range using 3 to 6 month support and resistance levels.

How to identify levels:

1. Pull up TLT 6 month chart
2. Mark the range high (resistance) and range low (support)
3. Update monthly

TLT Rotation Rules:

At resistance — Sell 50% TLTW → BIL (take profits)

At support — Rotate BIL → TLTW (reload)

Breaks below support with volume — Consider adding TLT (pure duration, no covered call drag)

Example with current levels:

Let’s say TLT has traded between $86 (support) and $94 (resistance) over the past 4 months.

TLT hits $93 to $94 → Sell half TLTW → BIL

TLT drops to $87 to $88 → Rotate BIL → TLTW

TLT breaks $86 on Fed scare → Add TLT position for the recovery trade

Why support/resistance instead of fixed percentages:

1. TLT doesn’t move in clean 15% drops. It ranges.
2. Support/resistance reflects where actual buyers and sellers are.
3. You’re trading the range that exists, not arbitrary thresholds.
4. Prevents selling too early or buying too late.

The goal: Capture 2 to 3 range rotations per year while collecting TLTW yield. You’re not trying to time the exact top or bottom. You’re fading extremes.

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Step 6: Manage the Puts

Check delta and time to expiry monthly. Roll if under 3 months remaining. Rebalance to 3% of portfolio quarterly.

When VIX spikes, your puts gain value from implied volatility expansion even before SPY hits your strike. At VIX 50+, consider selling some puts into the panic to fund your equity rotation.

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The Math

Normal year (no crash):
TLTW yield +12%, bond rotation alpha +2 to 4%, put decay minus 2.5%. Net: +11 to 13%

Crash year (2020 style):
TLTW drawdown minus 15%, puts at VIX 50 up 300 to 500%, equity rotation gains +40 to 80% on recovery. Net: significantly positive.

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What Can Go Wrong

Fed pivots hawkish — TLTW gets crushed. Mitigation: BIL buffer, take profits at resistance.

Slow bear (2000 to 2002) — VIX never spikes enough. Triggers won’t fire, you stay in bonds.

Low vol bull (2013 to 2017) — Puts expire, underperform equities. Accept the drag as insurance cost.

Whipsaw — Transaction costs, taxes. Forward only rule minimizes trades.

Bonds and stocks crash together (2022) — Both legs down simultaneously. Puts should still pay on equity vol, BIL buffer helps.

TLT breaks out of range — Miss the move if in BIL. Only sell 50% at resistance, keep exposure.

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Checklist Summary

Setup:
Buy TLTW (93%), BIL (4%), SPY puts 20 to 25% OTM 12 months out (3%). Mark TLT 3 to 6 month support and resistance levels.

Daily:
Check VIX. Check SPY vs 52 week high. Check TLT vs support/resistance. If triggers hit, execute rotation.

Monthly:
Update TLT support/resistance levels. Review put positions. Rebalance if needed.

Rules:
Forward only through equity phases. Reset requires VIX < 18 AND SPY within 5% of ATH. Take bond profits at resistance. Reload bonds at support. No discretion on VIX triggers. Mechanical execution.

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Where I Want Feedback

1. The dual trigger (VIX + drawdown): Am I filtering out too many signals? Should I loosen to VIX > 30 OR SPY down 15%?

2. Forward only rule: In a scenario where VIX spikes to 45, you rotate to equities, then VIX drops to 25 but SPY keeps falling another 10%, should there be an exception?

3. Bond support/resistance: Is 3 to 6 months the right lookback? Should I use 200 day moving average instead?

4. Single stock selection: Currently NVDA, AAPL, MSFT, AMD, TSLA. Should I use SMH instead of individual semis to avoid concentration risk?

5. The 2022 problem: Bonds and stocks fell together. The puts would have helped on the equity side, but the bond leg still got crushed. Is there a better hedge for stagflation scenarios?

6. Is there a cleaner and better way to hedge instead of long puts? I have tried back ratio spreads, black-swan hedge, but may be I m doing something wrong.

Appreciate any thoughts.

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Positions: Long TLTW, BIL, SPY puts. This is not financial advice.