Neutral Mom E4
4-SLEEVE · GLD/USO/EFA + SECTOR ROTATION + HEDGE▶About this strategy — what it is, what it looks for, how it operates
4-sleeve simpler variant of E (research/272). Drops the equity-7-book sleeve and TLT from E, keeping GLD + USO + EFA + sector-rotation. Easier to monitor, similar hedged Sharpe. Live since 2026-05-30.
- 4 sleeves (equal-weight)1/4 each: GLD + USO + EFA + sector-rotation (top-2 of 10 sector ETFs by 60d momentum)
- OverlaysConditional SH hedge when SPY<200d SMA OR VIX>25 · 12% annualized vol-targeting
- Why E4 vs EResearch/272 leave-one-out: equity-stock-picking sleeve contributes least to E. Removing it gives same Sharpe with 14 fewer positions per day.
- Backtest 2022-26Full Sh +2.81 hedged · OOS Sh +4.10 · CAGR +44.7% · DD −8.6% · β +0.11
Backtest — 5-fold walk-forward, honest true-daily marks (2024-01 → 2026-05)
Sharpe
2.81
Win rate
—
CAGR
+44.7%
Max DD
-8.6%
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
-$0
-0.00% on $3,550 deployed
REGIME PAUSED
VIX 17.2
PERFORMANCE
RETURN
-0.00%
-$0 on capital deployed
SHARPE
-0.03
annualized
WIN RATE
49.71%
174W / 175L
MAX DD
-0.00%
worst drawdown
REALIZED P&L
+$0
350 closed trades
UNREALIZED P&L
-$0
5 open positions
LONG EXPOSURE
$50
net +$50
SHORT EXPOSURE
$0
gross $50
Last scan: 9/16/2026, 10:18:15 AM
Next scan: in 50h 58m (22:00 UTC weekday)
Open Positions5 held · live MTM
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Recent Closed Tradeslast 100 closed · most recent first
| SIDE | TICKER | ENTRY | EXIT | PROFIT | |
|---|---|---|---|---|---|
| LONG | GLD | $391.89 | $394.15 | +$0 +0.58% | |
| LONG | EFA | $105.80 | $105.40 | $-0 -0.38% | |
| LONG | XLV | $168.01 | $167.66 | $-0 -0.21% | |
| LONG | USO | $159.43 | $161.86 | +$0 +1.53% | |
| LONG | XLE | $65.96 | $65.93 | $-0 -0.04% | |
| LONG | GLD | $399.53 | $398.77 | $-0 -0.19% | |
| LONG | XLV | $166.50 | $165.36 | $-0 -0.68% | |
| LONG | EFA | $106.00 | $106.70 | +$0 +0.66% | |
| LONG | USO | $154.78 | $154.90 | +$0 +0.08% | |
| LONG | XLE | $66.14 | $65.14 | $-0 -1.51% | |
| LONG | XLV | $168.29 | $166.58 | $-0 -1.02% | |
| LONG | GLD | $403.56 | $403.35 | $-0 -0.05% | |
| LONG | EFA | $108.34 | $106.56 | $-0 -1.64% | |
| LONG | XLF | $57.71 | $57.06 | $-0 -1.12% | |
| LONG | USO | $144.60 | $149.97 | +$0 +3.71% | |
| LONG | GLD | $404.66 | $406.77 | +$0 +0.52% | |
| LONG | XLE | $64.04 | $64.06 | +$0 +0.03% | |
| LONG | USO | $140.15 | $141.96 | +$0 +1.29% | |
| LONG | EFA | $107.85 | $108.35 | +$0 +0.46% | |
| LONG | XLV | $171.39 | $171.45 | +$0 +0.04% | |
| LONG | GLD | $410.71 | $410.22 | $-0 -0.12% | |
| LONG | XLV | $174.07 | $173.26 | $-0 -0.47% | |
| LONG | EFA | $108.02 | $108.21 | +$0 +0.18% | |
| LONG | USO | $142.12 | $142.09 | $-0 -0.02% | |
| LONG | XLE | $65.12 | $64.62 | $-0 -0.77% | |
| LONG | GLD | $399.71 | $402.78 | +$0 +0.77% | |
| LONG | XLE | $64.27 | $65.10 | +$0 +1.29% | |
| LONG | USO | $139.42 | $141.15 | +$0 +1.24% | |
| LONG | EFA | $106.73 | $107.06 | +$0 +0.31% | |
| LONG | XLV | $172.09 | $172.95 | +$0 +0.50% | |
| LONG | XLV | $172.62 | $171.67 | $-0 -0.55% | |
| LONG | GLD | $398.29 | $396.75 | $-0 -0.39% | |
| LONG | XLF | $57.61 | $57.20 | $-0 -0.71% | |
| LONG | USO | $137.19 | $141.00 | +$0 +2.78% | |
| LONG | EFA | $107.04 | $106.49 | $-0 -0.51% | |
| LONG | XLV | $170.25 | $170.54 | +$0 +0.17% | |
| LONG | GLD | $407.76 | $408.42 | +$0 +0.16% | |
| LONG | USO | $133.01 | $133.70 | +$0 +0.52% | |
| LONG | XLF | $57.86 | $57.71 | $-0 -0.26% | |
| LONG | EFA | $108.04 | $107.45 | $-0 -0.55% | |
| LONG | EFA | $108.04 | $107.72 | $-0 -0.30% | |
| LONG | GLD | $420.82 | $408.89 | $-0 -2.83% | |
| LONG | XLF | $57.91 | $58.10 | +$0 +0.33% | |
| LONG | USO | $128.15 | $129.70 | +$0 +1.21% | |
| LONG | XLV | $171.95 | $171.16 | $-0 -0.46% | |
| LONG | EFA | $108.68 | $108.27 | $-0 -0.38% | |
| LONG | XLF | $58.25 | $58.26 | +$0 +0.02% | |
| LONG | XLV | $174.32 | $173.54 | $-0 -0.45% | |
| LONG | GLD | $423.00 | $421.32 | $-0 -0.40% | |
| LONG | USO | $125.47 | $127.35 | +$0 +1.50% | |
| LONG | GLD | $422.77 | $428.07 | +$0 +1.25% | |
| LONG | EFA | $108.51 | $108.81 | +$0 +0.28% | |
| LONG | XLF | $58.19 | $58.31 | +$0 +0.21% | |
| LONG | XLV | $174.45 | $175.29 | +$0 +0.48% | |
| LONG | USO | $128.09 | $126.15 | $-0 -1.51% | |
| LONG | GLD | $428.55 | $426.69 | $-0 -0.43% | |
| LONG | XLF | $57.70 | $58.22 | +$0 +0.90% | |
| LONG | XLV | $174.41 | $174.70 | +$0 +0.17% | |
| LONG | EFA | $107.99 | $108.03 | +$0 +0.04% | |
| LONG | USO | $133.50 | $132.21 | $-0 -0.97% | |
| LONG | GLD | $420.53 | $423.36 | +$0 +0.67% | |
| LONG | XLV | $171.91 | $174.62 | +$0 +1.58% | |
| LONG | EFA | $108.13 | $108.24 | +$0 +0.10% | |
| LONG | USO | $134.98 | $134.64 | $-0 -0.25% | |
| LONG | XLE | $63.90 | $63.64 | $-0 -0.41% | |
| LONG | GLD | $410.08 | $415.26 | +$0 +1.26% | |
| LONG | EFA | $107.29 | $107.35 | +$0 +0.06% | |
| LONG | XLF | $57.47 | $56.95 | $-0 -0.90% | |
| LONG | XLV | $174.19 | $172.39 | $-0 -1.03% | |
| LONG | USO | $134.71 | $134.54 | $-0 -0.13% | |
| LONG | GLD | $408.81 | $413.84 | +$0 +1.23% | |
| LONG | XLV | $172.47 | $175.68 | +$0 +1.86% | |
| LONG | EFA | $107.87 | $107.66 | $-0 -0.19% | |
| LONG | USO | $131.17 | $130.91 | $-0 -0.20% | |
| LONG | XLF | $57.88 | $57.48 | $-0 -0.69% | |
| LONG | GLD | $402.55 | $398.55 | $-0 -0.99% | |
| LONG | EFA | $107.75 | $107.27 | $-0 -0.45% | |
| LONG | USO | $131.61 | $130.66 | $-0 -0.72% | |
| LONG | XLV | $168.67 | $169.73 | +$0 +0.63% | |
| LONG | XLF | $57.73 | $57.84 | +$0 +0.19% | |
| LONG | XLV | $166.45 | $167.05 | +$0 +0.36% | |
| LONG | GLD | $402.33 | $405.49 | +$0 +0.78% | |
| LONG | XLF | $57.96 | $57.58 | $-0 -0.66% | |
| LONG | EFA | $108.66 | $108.45 | $-0 -0.19% | |
| LONG | USO | $127.29 | $130.29 | +$0 +2.36% | |
| LONG | GLD | $402.18 | $401.48 | $-0 -0.17% | |
| LONG | USO | $124.79 | $126.60 | +$0 +1.45% | |
| LONG | XLF | $58.22 | $58.16 | $-0 -0.10% | |
| LONG | XLV | $167.66 | $167.37 | $-0 -0.17% | |
| LONG | EFA | $108.76 | $108.64 | $-0 -0.11% | |
| LONG | GLD | $402.17 | $398.96 | $-0 -0.80% | |
| LONG | EFA | $108.67 | $108.69 | +$0 +0.02% | |
| LONG | USO | $124.57 | $125.03 | +$0 +0.37% | |
| LONG | XLV | $169.49 | $168.38 | $-0 -0.65% | |
| LONG | XLF | $58.19 | $58.26 | +$0 +0.12% | |
| LONG | GLD | $405.31 | $404.92 | $-0 -0.10% | |
| LONG | XLF | $57.83 | $57.92 | +$0 +0.16% | |
| LONG | XLV | $166.42 | $168.44 | +$0 +1.21% | |
| LONG | EFA | $108.75 | $108.50 | $-0 -0.23% | |
| LONG | USO | $126.64 | $127.30 | +$0 +0.52% |