Composite Strategy
COMPOSITE · 5 SIGNALS · 10D HOLD▶About this strategy — what it is, what it looks for, how it operates
Manual Champion (research/278 v4, validated in research/279). This paper book tracks the Sector L/S leg ONLY (70% of the full manual strategy): long top-2 + short bot-2 of 10 sector ETFs by 60d return. The 30% put-selling leg (weekly SPY+QQQ ATM puts) is manually executed via `python manual_champion_predict.py`. Full-strategy backtest 2022-26: Sh +3.17 hedged, CAGR +22.8%, DD -3.7%, WR 67.9%, β +0.03. Bootstrap 95% CI Sharpe [+1.93, +3.61]. Walk-forward: every test window positive, train/test track closely. Cost-robust to 30bps.
- Sector L/S leg (this book)Long top-2 + short bot-2 of XLK/XLF/XLE/XLV/XLY/XLP/XLI/XLU/XLB/XLC by 60d return. Bi-weekly rebalance. ~4 ETF positions at any time.
- Index VRP leg (manual, separate)Each Monday: sell 5DTE 0.5% OTM SPY + QQQ puts. Close Friday. Run `python manual_champion_predict.py` for daily picks.
- Validation in research/279Bootstrap CI: P(Sh > 1.0) = 100%, P(Sh > 2.0) = 96%. Walk-forward 6 windows: every test segment positive (worst +1.68, best +5.02). Cost-robust: Sharpe loses only 0.17 from frictionless → 30bps + $1.30/contract + 15% bid/ask haircut.
- Beta stabilityFull window β -0.01. Rolling 26-week β: mean +0.02, |β|<0.20 67% of weeks, |β|<0.30 87% of weeks. True market neutral.
- Honest tradeoff vs UltimateLoses -0.33 Sharpe but wins on DD (-3.7% vs -7.4%), WR (68% vs 60%), β (+0.03 vs +0.10), and complexity (6 positions vs 150).
Backtest — 5-fold walk-forward, honest true-daily marks (2024-01 → 2026-05)
Sharpe
3.17
Win rate
68%
CAGR
+22.8%
Max DD
-3.7%
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.
TOTAL P&L
+$2
+0.71% on $280 deployed
REGIME PAUSED
VIX 16.4
PERFORMANCE
RETURN
+0.71%
+$2 on capital deployed
SHARPE
—
need 10 more days
WIN RATE
31.58%
6W / 13L
MAX DD
-0.00%
worst drawdown
REALIZED P&L
-$1
19 closed trades
UNREALIZED P&L
+$3
9 open positions
LONG EXPOSURE
$62
net +$33
SHORT EXPOSURE
$29
gross $92
Last scan: 6/18/2026, 10:12:35 AM
Next scan: in 51h 27m (22:00 UTC weekday)
Open Positions9 held · live MTM
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Recent Closed Tradeslast 19 closed · most recent first
| SIDE | TICKER | ENTRY | EXIT | PROFIT | |
|---|---|---|---|---|---|
| LONG | XLB | $52.52 | $52.02 | $-0 -0.95% | |
| LONG | XLB | $52.69 | $52.02 | $-0 -1.27% | |
| SHORT | XLU | $44.04 | $45.06 | $-0 -2.32% | |
| SHORT | XLU | $44.32 | $45.06 | $-0 -1.67% | |
| SHORT | XLU | $44.22 | $45.06 | $-0 -1.90% | |
| SHORT | XLU | $43.64 | $45.06 | $-0 -3.25% | |
| SHORT | XLU | $44.22 | $45.06 | $-0 -1.90% | |
| LONG | XLF | $52.49 | $53.56 | +$0 +2.03% | |
| SHORT | XLC | $112.91 | $112.19 | +$0 +0.64% | |
| LONG | XLF | $52.96 | $53.56 | +$0 +1.13% | |
| SHORT | XLC | $110.89 | $112.19 | $-0 -1.17% | |
| LONG | XLF | $52.35 | $53.56 | +$0 +2.32% | |
| SHORT | XLC | $111.59 | $112.19 | $-0 -0.54% | |
| SHORT | XLC | $111.48 | $112.19 | $-0 -0.64% | |
| LONG | XLF | $52.18 | $53.56 | +$0 +2.64% | |
| SHORT | XLC | $111.41 | $112.19 | $-0 -0.70% | |
| LONG | XLF | $52.24 | $53.56 | +$0 +2.53% | |
| LONG | XLE | $58.67 | $57.67 | $-0 -1.70% | |
| SHORT | XLP | $82.59 | $83.44 | $-0 -1.03% |