Composite Strategy
COMPOSITE · 5 SIGNALS · 10D HOLD▶About this strategy — what it is, what it looks for, how it operates
The MEGA stack — Sh 3.00 full / 4.07 OOS breakthrough variant from the 2026-05-25 multi-asset diversification dive. Equal-weight across 6 sleeves: equity-70/30 (K=2 stock picks from 7 momentum books) + TLT + GLD + USO + EFA + sector-rotation (long top-2 of 10 sector ETFs). Conditional SH hedge when SPY<SMA200 OR VIX>25, plus 12% vol-targeting. Survives strict robustness tests (multiple split dates, leave-one-out, bootstrap CI [+2.7, +5.1]). True market-neutral at β ≈ 0.
- 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)
- Surprise findingEquity stock-picking sleeve contributes LEAST: leave-one-out drops equity → Sh 4.07→3.91 OOS. Sector-rotation and GLD do most of the work
- Backtest 2022-26 extendedFull Sh 3.00 · OOS Sh 4.07 · CAGR +47% full / +70% OOS · DD only −5% · β ≈ 0. Bootstrap 95% CI [+2.7, +5.1]. Per-year: 2023 +1.61, 2024 +2.81, 2025 +3.49, 2026 +5.66
Backtest — 5-fold walk-forward, honest true-daily marks (2024-01 → 2026-05)
Sharpe
3.00
Win rate
—
CAGR
+45.4%
Max DD
-5.1%
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
+$91
+2.40% on $3,800 deployed
REGIME PAUSED
VIX 16.4
PERFORMANCE
RETURN
+2.40%
+$91 on capital deployed
SHARPE
—
need 1 more days
WIN RATE
46.30%
50W / 58L
MAX DD
-0.07%
worst drawdown
REALIZED P&L
-$2
108 closed trades
UNREALIZED P&L
+$93
272 open positions
LONG EXPOSURE
$1,595
net +$533
SHORT EXPOSURE
$1,062
gross $2,657
Last scan: 6/18/2026, 10:12:16 AM
Next scan: in 51h 33m (22:00 UTC weekday)
Open Positions272 held · live MTM
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Recent Closed Tradeslast 100 closed · most recent first
| SIDE | TICKER | ENTRY | EXIT | PROFIT | |
|---|---|---|---|---|---|
| LONG | GLD | $397.82 | $388.60 | $-0 -2.32% | |
| LONG | XLK | $189.01 | $185.80 | $-0 -1.70% | |
| LONG | USO | $115.44 | $114.23 | $-0 -1.05% | |
| LONG | TLT | $86.32 | $86.33 | +$0 +0.01% | |
| LONG | EFA | $105.04 | $103.78 | $-0 -1.20% | |
| LONG | XLB | $52.52 | $52.02 | $-0 -0.95% | |
| LONG | XLB | $52.69 | $52.72 | +$0 +0.06% | |
| LONG | TLT | $85.96 | $86.19 | +$0 +0.27% | |
| LONG | GLD | $397.83 | $397.63 | $-0 -0.05% | |
| LONG | USO | $116.34 | $115.47 | $-0 -0.75% | |
| LONG | EFA | $104.72 | $104.31 | $-0 -0.39% | |
| LONG | XLK | $191.23 | $186.44 | $-0 -2.50% | |
| LONG | TLT | $85.96 | $85.72 | $-0 -0.28% | |
| LONG | GLD | $399.49 | $396.55 | $-0 -0.74% | |
| LONG | USO | $119.84 | $121.21 | +$0 +1.14% | |
| LONG | EFA | $104.69 | $104.08 | $-0 -0.58% | |
| LONG | XLK | $190.37 | $191.79 | +$0 +0.75% | |
| LONG | XLF | $53.76 | $53.56 | $-0 -0.37% | |
| LONG | TLT | $85.63 | $85.77 | +$0 +0.16% | |
| LONG | GLD | $385.73 | $386.54 | +$0 +0.21% | |
| LONG | USO | $127.03 | $125.43 | $-0 -1.26% | |
| LONG | EFA | $104.65 | $105.02 | +$0 +0.35% | |
| LONG | XLK | $183.24 | $184.80 | +$0 +0.85% | |
| LONG | XLF | $52.96 | $53.34 | +$0 +0.72% | |
| LONG | TLT | $85.17 | $85.98 | +$0 +0.95% | |
| LONG | GLD | $373.96 | $386.32 | +$0 +3.31% | |
| LONG | USO | $134.27 | $128.83 | $-0 -4.05% | |
| LONG | EFA | $102.48 | $104.73 | +$0 +2.20% | |
| LONG | XLK | $177.79 | $183.21 | +$0 +3.05% | |
| LONG | XLF | $52.35 | $52.62 | +$0 +0.53% | |
| LONG | TLT | $85.11 | $84.88 | $-0 -0.27% | |
| LONG | GLD | $380.75 | $374.58 | $-0 -1.62% | |
| LONG | USO | $132.93 | $134.30 | +$0 +1.03% | |
| LONG | EFA | $102.23 | $101.57 | $-0 -0.65% | |
| LONG | XLK | $178.16 | $176.63 | $-0 -0.86% | |
| LONG | XLF | $52.49 | $52.23 | $-0 -0.50% | |
| LONG | TLT | $84.98 | $85.12 | +$0 +0.16% | |
| LONG | GLD | $397.57 | $390.78 | $-0 -1.71% | |
| LONG | USO | $132.01 | $131.30 | $-0 -0.54% | |
| LONG | EFA | $103.89 | $102.90 | $-0 -0.95% | |
| LONG | XLK | $185.91 | $180.77 | $-0 -2.76% | |
| LONG | XLF | $52.18 | $52.46 | +$0 +0.54% | |
| LONG | TLT | $85.23 | $84.62 | $-0 -0.72% | |
| LONG | GLD | $397.52 | $397.27 | $-0 -0.06% | |
| LONG | USO | $134.95 | $135.15 | +$0 +0.15% | |
| LONG | EFA | $103.27 | $102.88 | $-0 -0.38% | |
| LONG | XLK | $185.22 | $184.18 | $-0 -0.56% | |
| LONG | XLF | $52.24 | $51.97 | $-0 -0.52% | |
| LONG | TLT | $84.98 | $85.06 | +$0 +0.09% | |
| LONG | GLD | $404.38 | $396.24 | $-0 -2.01% | |
| LONG | USO | $135.14 | $133.02 | $-0 -1.57% | |
| LONG | EFA | $104.14 | $102.26 | $-0 -1.81% | |
| LONG | XLK | $188.88 | $180.30 | $-0 -4.55% | |
| LONG | XLE | $58.67 | $57.67 | $-0 -1.70% | |
| LONG | TLT | $85.61 | $85.50 | $-0 -0.12% | |
| LONG | GLD | $413.37 | $411.27 | $-0 -0.51% | |
| LONG | USO | $136.67 | $136.74 | +$0 +0.05% | |
| LONG | EFA | $104.54 | $104.95 | +$0 +0.39% | |
| LONG | XLK | $191.52 | $193.17 | +$0 +0.86% | |
| LONG | XLE | $58.50 | $58.75 | +$0 +0.43% | |
| LONG | TLT | $85.29 | $85.31 | +$0 +0.03% | |
| LONG | GLD | $408.38 | $407.87 | $-0 -0.12% | |
| LONG | USO | $139.46 | $140.86 | +$0 +1.00% | |
| LONG | EFA | $104.57 | $104.12 | $-0 -0.44% | |
| LONG | XLK | $198.37 | $196.23 | $-0 -1.08% | |
| LONG | XLB | $51.35 | $51.63 | +$0 +0.55% | |
| LONG | TLT | $85.80 | $85.65 | $-0 -0.18% | |
| LONG | GLD | $414.08 | $411.95 | $-0 -0.51% | |
| LONG | USO | $135.07 | $137.27 | +$0 +1.63% | |
| LONG | EFA | $104.59 | $105.02 | +$0 +0.41% | |
| LONG | XLK | $196.45 | $198.21 | +$0 +0.90% | |
| LONG | XLE | $57.19 | $57.96 | +$0 +1.35% | |
| LONG | TLT | $84.92 | $85.47 | +$0 +0.65% | |
| LONG | GLD | $409.86 | $411.26 | +$0 +0.34% | |
| LONG | USO | $135.65 | $135.50 | $-0 -0.11% | |
| LONG | EFA | $103.99 | $104.44 | +$0 +0.43% | |
| LONG | XLK | $192.32 | $195.76 | +$0 +1.79% | |
| LONG | XLY | $119.69 | $118.19 | $-0 -1.25% | |
| LONG | TLT | $85.81 | $85.76 | $-0 -0.06% | |
| LONG | GLD | $415.62 | $417.12 | +$0 +0.36% | |
| LONG | USO | $128.30 | $129.09 | +$0 +0.61% | |
| LONG | EFA | $105.13 | $104.80 | $-0 -0.31% | |
| LONG | XLK | $189.33 | $191.02 | +$0 +0.89% | |
| LONG | XLY | $121.60 | $120.87 | $-0 -0.60% | |
| LONG | TLT | $85.81 | $85.76 | $-0 -0.06% | |
| LONG | GLD | $415.62 | $417.12 | +$0 +0.36% | |
| LONG | USO | $128.30 | $129.09 | +$0 +0.61% | |
| LONG | EFA | $105.13 | $104.80 | $-0 -0.31% | |
| LONG | XLK | $189.33 | $191.02 | +$0 +0.89% | |
| LONG | XLY | $121.60 | $120.87 | $-0 -0.60% | |
| LONG | TLT | $85.36 | $85.74 | +$0 +0.45% | |
| LONG | GLD | $406.48 | $412.77 | +$0 +1.55% | |
| LONG | USO | $133.34 | $130.78 | $-0 -1.92% | |
| LONG | EFA | $104.11 | $104.69 | +$0 +0.55% | |
| LONG | XLK | $184.83 | $186.85 | +$0 +1.09% | |
| LONG | XLY | $121.10 | $122.06 | +$0 +0.79% | |
| LONG | TLT | $85.25 | $85.30 | +$0 +0.06% | |
| LONG | USO | $131.39 | $131.03 | $-0 -0.27% | |
| LONG | EFA | $105.06 | $104.77 | $-0 -0.28% | |
| LONG | XLK | $186.18 | $184.43 | $-0 -0.94% |