Neutral Momentum family — side-by-side
All 7 neutral_mom_* variants paper-tracking forward. The extended-window backtest metrics (Sh / CAGR / DD / β) are the HONEST forward expectations from the 2022-26 walk-forward, not the in-sample dashboard numbers. Equity curves overlaid below are normalized to 100 at each variant's first paper-tracked day so they can be compared on the same scale regardless of position sizing.
Live paper-track + extended-window stats
| Variant | Status | Ext. Sh | Ext. CAGR | Ext. DD | Ext. β | Live ret | Open pos | Tracked |
|---|---|---|---|---|---|---|---|---|
| Neutral Mom (K=10, original) Original automated K=10 3-factor L/S. Longest paper-tracking history. Regime-resilient (K=10 dilution helps in 2022-23 bears). | active | 0.87 | +7% | −11% | ≈0 | -0.01% | 380 | 21d |
| Neutral Mom 5F (K=3, 5-factor) K=3 with vol_z + stealth_accumulation added to the 3-factor base. Higher in-sample Sharpe; weaker extended-window. | superseded | 0.75 | +8% | −30% | +1.67 | -0.01% | 114 | 21d |
| Neutral Mom E (MEGA — breakthrough) 6-sleeve equal-weight (equity + TLT + GLD + USO + EFA + sector-rot) + cond hedge + 12% vol-target. THE breakthrough. | champion | 3.00 | +45% | −5% | ≈0 | +0.09% | 272 | 21d |
| Neutral Mom ETF (5-sleeve simplified) Drops the equity stock-picking sleeve (contributes least per leave-one-out). 5-sleeve ETF-only. ~7 positions vs ~20. | champion | 2.78 | +41% | −5% | ≈0 | -0.00% | 6 | 21d |
Live equity curves overlaid (normalized to 100 at each variant's first day)
Y-axis = relative equity (start = 100). Curves diverge as variants accumulate paper-tracking data. Early on, gaps between variants mostly reflect different start dates and small sample noise — wait ~30+ trading days before drawing forward-conclusions.
What to watch as data accumulates
- Path E vs Path ETF: do they track closely (confirming the equity sleeve adds little) or diverge (revealing equity's contribution in live conditions)?
- Champions vs superseded: do E/ETF maintain their backtest advantage over A/B/5F/K2 in live data, or does the gap shrink?
- Original K=10 neutral_mom: does its regime-resilient profile show in stress periods (compare DDs when SPY drops)?
- Path A (max-Sharpe): does the high backtest Sharpe (2.11) hold up, or does the +1.3 β profile cause meaningful drag?
- Forward Sh vs backtest: expect a 10-20% haircut from backtest to forward due to in-sample optimism. Path E should land near Sh 2.5-2.9 forward if real.