ML Liquidity · 0.30 Hedge

ML LIQUIDITY PLUS A 0.30-UNIT SPY SHORT · PAPER
About this strategy — what it is, what it looks for, how it operates

ML Liquidity with a standing short of 0.30 SPY units per dollar of book. Same positions, same caveats as the parent: it passed its random-block control and cost gate, and failed cross-model transfer and DSR.

  • Overlayshort 0.30 × book value in SPY, resized at each 21-day cohort rebalance rather than chased daily
  • Honest caveata linear overlay inherits every caveat of the parent. Paper only, no orders.
Backtest — 5-fold walk-forward, honest true-daily marks (2024-01 → 2026-05)
Sharpe
Win rate
CAGR
Max DD

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
-$186
-1.43% on $13,000 deployed
REGIME PAUSED
VIX
PERFORMANCE
RETURN
-1.43%
-$186 on capital deployed
SHARPE
need 20 more days
WIN RATE
0 closed (81 open)
MAX DD
0.00%
worst drawdown
REALIZED P&L
$0
0 closed trades
UNREALIZED P&L
-$186
81 open positions
LONG EXPOSURE
$5,289
net -$3,186
SHORT EXPOSURE
$8,474
gross $13,763

Open Positions81 held · live MTM

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