Neutral Mom MEGA
6-SLEEVE · MULTI-ASSET + SECTOR ROTATION + HEDGE▶About this strategy — what it is, what it looks for, how it operates
The MEGA stack — 6 equal-weight sleeves: equity-70/30 (K=2 stock picks) + TLT + GLD + USO + EFA + sector-rotation (top-2 of 10 sector ETFs), with a conditional SH hedge and 12% vol-targeting. ⚠️ CORRECTION 2026-07-10: the original +3.00/+4.07 Sharpe was look-ahead-inflated — the sector-rotation AND hedge overlays each selected on a bar's own close/VIX then booked that bar's return (research/337-338). Both fixed → honest Sh +1.31 full / +1.93 OOS, β ≈ 0. Still a real, positive, beta-neutral cross-asset book, but less than half the original headline.
- 6 sleeves (equal-weight, no parameter fitting)1/6 each: equity-70/30 + TLT + GLD + USO + EFA + sector-rotation (top-2 of 10 sector ETFs by 60d momentum)
- OverlaysConditional SH (inverse-SPY) hedge when SPY<200d SMA OR VIX>25 · 12% annualized vol-targeting (cap 2× leverage)
- ⚠️ Look-ahead correction (2026-07-10)Two 1-day look-aheads fixed (sector-rotation selection + conditional hedge gate). Sector-rotation standalone Sh +1.51→+0.87. MEGA full +3.00→+1.31, OOS +4.07→+1.93 (research/338).
- Backtest 2022-26 (CORRECTED)Full Sh +1.31 · OOS Sh +1.93 · CAGR ~+17% · DD −9% · β ~0.1. Bootstrap OOS median +1.72 [+0.40, +3.13]. Per-year: 2023 +0.46, 2024 +1.22, 2025 +1.25, 2026 +3.72 (91d)
Backtest — 5-fold walk-forward, honest true-daily marks (2024-01 → 2026-05)
Sharpe
1.31
Win rate
—
CAGR
+17.2%
Max DD
-8.9%
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
-$417
-2.83% on $14,740 deployed
REGIME PAUSED
VIX 17.2
PERFORMANCE
RETURN
-2.83%
-$417 on capital deployed
SHARPE
1.65
annualized
WIN RATE
46.23%
331W / 384L
MAX DD
-11.51%
worst drawdown
REALIZED P&L
-$155
716 closed trades
UNREALIZED P&L
-$262
758 open positions
LONG EXPOSURE
$4,539
net +$1,118
SHORT EXPOSURE
$3,421
gross $7,960
Last scan: 9/16/2026, 10:18:07 AM
Next scan: in 50h 59m (22:00 UTC weekday)
Open Positions758 held · live MTM
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Recent Closed Tradeslast 100 closed · most recent first
| SIDE | TICKER | ENTRY | EXIT | PROFIT | |
|---|---|---|---|---|---|
| SHORT | UBER | $72.88 | $71.43 | +$0 +1.99% | |
| SHORT | CRCL | $79.10 | $86.30 | $-1 -9.10% | |
| LONG | MRVL | $292.89 | $221.70 | $-2 -24.31% | |
| LONG | MRVL | $292.89 | $221.70 | $-2 -24.31% | |
| LONG | BAC | $57.14 | $59.52 | +$0 +4.17% | |
| SHORT | ORCL | $186.15 | $140.35 | +$2 +24.61% | |
| SHORT | CVNA | $64.40 | $66.90 | $-0 -3.88% | |
| LONG | XLV | $168.01 | $167.66 | $-0 -0.21% | |
| SHORT | ENPH | $50.40 | $36.72 | +$3 +27.14% | |
| LONG | MRVL | $305.50 | $221.70 | $-3 -27.43% | |
| LONG | C | $146.49 | $136.17 | $-1 -7.04% | |
| LONG | TLT | $80.82 | $80.71 | $-0 -0.14% | |
| LONG | PANW | $279.46 | $375.09 | +$3 +34.22% | |
| LONG | GLD | $391.89 | $394.15 | +$0 +0.58% | |
| LONG | XLE | $65.96 | $65.93 | $-0 -0.04% | |
| LONG | EFA | $105.80 | $105.40 | $-0 -0.38% | |
| LONG | USO | $159.43 | $161.86 | +$0 +1.53% | |
| LONG | ARM | $440.24 | $241.83 | $-5 -45.07% | |
| LONG | JPM | $336.95 | $352.49 | +$0 +4.61% | |
| LONG | JPM | $332.18 | $352.49 | +$1 +6.11% | |
| SHORT | UBER | $71.97 | $71.43 | +$0 +0.75% | |
| SHORT | SMCI | $29.76 | $35.64 | $-2 -19.76% | |
| LONG | LRCX | $382.00 | $270.87 | $-3 -29.09% | |
| LONG | BAC | $57.23 | $59.52 | +$0 +4.00% | |
| LONG | ANET | $171.20 | $192.84 | +$1 +12.64% | |
| LONG | PANW | $285.60 | $375.09 | +$3 +31.33% | |
| LONG | MRVL | $305.50 | $221.70 | $-3 -27.43% | |
| SHORT | ADBE | $193.60 | $257.76 | $-3 -33.14% | |
| SHORT | SMCI | $28.44 | $35.64 | $-3 -25.32% | |
| SHORT | ADBE | $204.02 | $257.76 | $-3 -26.34% | |
| LONG | ALAB | $378.86 | $252.54 | $-3 -33.34% | |
| SHORT | ENPH | $50.83 | $36.72 | +$3 +27.76% | |
| SHORT | CRCL | $80.28 | $86.30 | $-1 -7.50% | |
| LONG | ANET | $169.89 | $192.84 | +$1 +13.51% | |
| LONG | MRVL | $296.71 | $236.10 | $-2 -20.43% | |
| SHORT | NFLX | $80.61 | $77.40 | +$0 +3.99% | |
| LONG | MRVL | $299.13 | $236.10 | $-2 -21.07% | |
| LONG | JNJ | $239.00 | $265.58 | +$1 +11.12% | |
| SHORT | ENPH | $56.62 | $36.35 | +$4 +35.80% | |
| LONG | ARM | $389.84 | $264.79 | $-3 -32.08% | |
| LONG | STM | $77.44 | $51.51 | $-3 -33.48% | |
| LONG | MRVL | $299.13 | $236.10 | $-2 -21.07% | |
| SHORT | CRCL | $82.89 | $90.60 | $-1 -9.30% | |
| LONG | PANW | $283.20 | $330.65 | +$2 +16.75% | |
| LONG | MRK | $118.71 | $143.93 | +$2 +21.25% | |
| LONG | MRVL | $296.71 | $236.10 | $-2 -20.43% | |
| LONG | BAC | $56.62 | $62.69 | +$1 +10.72% | |
| LONG | NET | $229.35 | $306.53 | +$3 +33.65% | |
| LONG | PANW | $280.55 | $330.65 | +$2 +17.86% | |
| SHORT | SMCI | $31.72 | $40.10 | $-3 -26.42% | |
| SHORT | CRM | $166.03 | $247.72 | $-5 -49.20% | |
| SHORT | HD | $333.76 | $308.74 | +$1 +7.50% | |
| LONG | TLT | $81.00 | $80.87 | $-0 -0.16% | |
| LONG | XLV | $166.50 | $165.36 | $-0 -0.68% | |
| LONG | XLE | $66.14 | $65.14 | $-0 -1.51% | |
| LONG | EFA | $106.00 | $106.70 | +$0 +0.66% | |
| LONG | BAC | $56.50 | $62.69 | +$1 +10.96% | |
| LONG | ARM | $399.62 | $264.79 | $-3 -33.74% | |
| SHORT | ENPH | $52.29 | $36.35 | +$3 +30.48% | |
| SHORT | LULU | $115.73 | $98.97 | +$1 +14.48% | |
| SHORT | ORCL | $190.01 | $150.28 | +$2 +20.91% | |
| SHORT | SMCI | $30.67 | $40.10 | $-3 -30.75% | |
| LONG | UNH | $410.67 | $379.09 | $-1 -7.69% | |
| LONG | ANET | $169.30 | $199.59 | +$2 +17.89% | |
| SHORT | ADBE | $205.34 | $252.23 | $-2 -22.84% | |
| SHORT | CRCL | $82.50 | $90.60 | $-1 -9.82% | |
| LONG | USO | $154.78 | $154.90 | +$0 +0.08% | |
| LONG | GLD | $399.53 | $398.77 | $-0 -0.19% | |
| LONG | BAC | $55.36 | $62.67 | +$1 +13.20% | |
| LONG | UNH | $409.01 | $393.06 | $-0 -3.90% | |
| SHORT | UBER | $70.02 | $71.08 | $-0 -1.51% | |
| SHORT | ENPH | $56.03 | $36.72 | +$3 +34.46% | |
| SHORT | NFLX | $81.68 | $76.03 | +$1 +6.92% | |
| SHORT | ORCL | $179.67 | $161.63 | +$1 +10.04% | |
| LONG | MRVL | $269.88 | $235.01 | $-1 -12.92% | |
| LONG | MRVL | $269.88 | $235.01 | $-1 -12.92% | |
| LONG | MRVL | $260.54 | $235.01 | $-1 -9.80% | |
| SHORT | SMCI | $30.82 | $38.93 | $-3 -26.31% | |
| SHORT | CRCL | $82.01 | $92.99 | $-1 -13.39% | |
| LONG | ALAB | $377.00 | $300.54 | $-2 -20.28% | |
| LONG | PANW | $276.93 | $335.10 | +$2 +21.01% | |
| SHORT | SHOP | $110.10 | $126.79 | $-2 -15.16% | |
| SHORT | HD | $322.29 | $310.45 | +$0 +3.67% | |
| LONG | ALAB | $377.00 | $300.54 | $-2 -20.28% | |
| LONG | GLD | $403.56 | $403.35 | $-0 -0.05% | |
| SHORT | NFLX | $81.65 | $76.03 | +$1 +6.88% | |
| SHORT | CRCL | $79.50 | $92.99 | $-2 -16.97% | |
| LONG | BAC | $55.36 | $62.67 | +$1 +13.20% | |
| LONG | LLY | $1139.71 | $1124.21 | $-0 -1.36% | |
| SHORT | ENPH | $51.74 | $36.72 | +$3 +29.03% | |
| LONG | XLF | $57.71 | $57.06 | $-0 -1.12% | |
| LONG | PANW | $260.99 | $335.10 | +$3 +28.39% | |
| LONG | STM | $74.03 | $51.55 | $-3 -30.37% | |
| LONG | MRVL | $260.54 | $235.01 | $-1 -9.80% | |
| LONG | ARM | $314.42 | $264.23 | $-2 -15.96% | |
| LONG | UNH | $408.71 | $393.06 | $-0 -3.83% | |
| LONG | ALAB | $341.99 | $300.54 | $-1 -12.12% | |
| LONG | USO | $144.60 | $149.97 | +$0 +3.71% | |
| LONG | XLV | $168.29 | $166.58 | $-0 -1.02% | |
| LONG | EFA | $108.34 | $106.56 | $-0 -1.64% |