Full System (439)
ALL VALIDATED SLEEVES · BASE MIX · MC ~19.5%/YR UNLEV · FROZEN 07-21▶About this strategy — what it is, what it looks for, how it operates
THE capstone portfolio (research/439, 2026-07-21): every validated sleeve assembled as one book with honest through-cycle priors, capacity caps, and a fast-crash Monte Carlo. Weights (gross-1.0 base mix): Insider 25.6%, SN-VRP Condors 21.2%, Index VRP 21.2%, Crypto Funding Carry 16.9%, Cross-Asset TSMOM 12.5% (+2.5% KXINXY held as cash pending a tracked series). Expected (MC): BASE ~19.5%/yr Sharpe 1.74 unlevered; at the 10%-vol box-financed deployment ~22%/yr; CONSERVATIVE (low priors, shocked correlations) ~15-17%/yr with maxDD to ~-23%. This page tracks the mix forward from the 2026-07-21 freeze on a $10k display book — each sleeve's live paper book composed at the frozen weights (percent returns are basis-independent; at a real $10k the condor sleeve's tickets resize to ~$1-2k defined risk each).
- Constructionprior-anchored max-return at target vol; absolute capital caps (insider 35%, condors/VRP 25%, carry 20%); financing netted
- Honest priorsthrough-cycle Sharpes from the 2026-07-10 campaign retest, NOT tile numbers; conservative run uses every sleeve's LOW prior + corr +0.15
- #1 sensitivitysnvrp condor recent-regime economics (worth -3.2%/yr) — sized at cap only after live cycles accrue
- ExecutionRH agentic (insider/tsmom daily rhythm) + one monthly Schwab session (condors + SPX VRP) + crypto venue for carry; ~1-2 entry pre-clearances/day
Backtest numbers, not live results — measured on honest true-daily marks across a 5-fold walk-forward with 10bps costs. Past performance does not guarantee future returns.
| Sleeve | Weight | Capital | Sleeve return | Contribution P&L | Sleeve book equity |
|---|---|---|---|---|---|
| Insider | 25.6% | $2,560 | -0.45% | −$11 | $10,388 |
| SN-VRP Condors | 21.2% | $2,120 | +0.86% | +$18 | $100,787 |
| Index VRP | 21.2% | $2,120 | +0.52% | +$11 | $101,183 |
| Crypto Funding Carry | 16.9% | $1,690 | +0.08% | +$1 | $100,222 |
| Cross-Asset TSMOM | 12.5% | $1,250 | +0.52% | +$6 | $101,124 |
Each sleeve is its own live paper book. The Full System equity composes their daily returns at the frozen weights; ~2.5% (KXINXY) is held as cash until that venue has a tracked series. Excluded from the homepage aggregate to avoid double counting.