Neutral Mom ETF
ETF-ONLY · TLT/GLD/USO/EFA + SECTOR ROTATION▶About this strategy — what it is, what it looks for, how it operates
The variant staged for live Schwab trading. 5 ETF sleeves equal weight (TLT/GLD/USO/EFA/sector-rotation) + 0.25× conditional SH hedge. ⚠️ CORRECTION 2026-07-10: the original +2.20/+3.50 (manual) / +2.78/+3.91 (vol-targeted) Sharpes were look-ahead-inflated (two 1-day bugs in sector-rotation selection + hedge gate; research/337-338). Honest ≈ +1.0 full. Live picks are timing-safe (pick-then-hold); only the historical expectation was wrong. Do NOT lever on the old numbers.
- 5 sleeves (equal-weight, no parameter fitting)1/5 each: TLT + GLD + USO + EFA + sector-rotation (top-2 of 10 sector ETFs by 60d momentum)
- Conditional hedge+0.25× SH (inverse-SPY ETF) when SPY<200d SMA OR VIX>25. Fits in a $5k cash account by reserving ~$1k cash; no margin needed even when hedge is on.
- ⚠️ Look-ahead correction (2026-07-10)Two 1-day look-aheads fixed (sector-rotation + hedge). Full MEGA +3.00→+1.31 / OOS +4.07→+1.93; this manual 0.25×-hedge ETF book ≈ +1.0 full. Runbook + tiles corrected.
- Backtest 2022-26 (CORRECTED)Sh ≈ +1.0 full / ≈ +1.9 OOS · CAGR ~+15-18% · β ~0.1. The +2.20/+3.50 shown before was the look-ahead-inflated number.
Backtest — 5-fold walk-forward, honest true-daily marks (2024-01 → 2026-05)
Sharpe
1.0
Win rate
—
CAGR
+16%
Max DD
-10.0%
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 $4,560 deployed
REGIME PAUSED
VIX 17.2
PERFORMANCE
RETURN
-0.00%
-$0 on capital deployed
SHARPE
1.66
annualized
WIN RATE
48.67%
219W / 230L
MAX DD
-2.17%
worst drawdown
REALIZED P&L
+$0
450 closed trades
UNREALIZED P&L
-$0
6 open positions
LONG EXPOSURE
$60
net +$60
SHORT EXPOSURE
$0
gross $60
Last scan: 9/16/2026, 10:18:11 AM
Next scan: in 50h 58m (22:00 UTC weekday)
Open Positions6 held · live MTM
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Recent Closed Tradeslast 100 closed · most recent first
| SIDE | TICKER | ENTRY | EXIT | PROFIT | |
|---|---|---|---|---|---|
| LONG | TLT | $80.82 | $80.71 | $-0 -0.14% | |
| LONG | USO | $159.43 | $161.86 | +$0 +1.53% | |
| 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 | XLV | $168.01 | $167.66 | $-0 -0.21% | |
| LONG | USO | $154.78 | $154.90 | +$0 +0.08% | |
| LONG | GLD | $399.53 | $398.77 | $-0 -0.19% | |
| 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 | 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% | |
| LONG | GLD | $403.56 | $403.35 | $-0 -0.05% | |
| LONG | TLT | $82.44 | $81.73 | $-0 -0.86% | |
| LONG | XLF | $57.71 | $57.06 | $-0 -1.12% | |
| LONG | EFA | $107.85 | $108.35 | +$0 +0.46% | |
| LONG | GLD | $404.66 | $406.77 | +$0 +0.52% | |
| LONG | XLE | $64.04 | $64.06 | +$0 +0.03% | |
| LONG | XLV | $171.39 | $171.45 | +$0 +0.04% | |
| LONG | USO | $140.15 | $141.96 | +$0 +1.29% | |
| LONG | TLT | $82.29 | $82.21 | $-0 -0.10% | |
| LONG | EFA | $108.02 | $108.21 | +$0 +0.18% | |
| LONG | USO | $142.12 | $142.09 | $-0 -0.02% | |
| LONG | XLV | $174.07 | $173.26 | $-0 -0.47% | |
| LONG | TLT | $82.34 | $82.07 | $-0 -0.33% | |
| LONG | GLD | $410.71 | $410.22 | $-0 -0.12% | |
| LONG | XLE | $65.12 | $64.62 | $-0 -0.77% | |
| LONG | USO | $139.42 | $141.15 | +$0 +1.24% | |
| LONG | XLE | $64.27 | $65.10 | +$0 +1.29% | |
| LONG | EFA | $106.73 | $107.06 | +$0 +0.31% | |
| LONG | GLD | $399.71 | $402.78 | +$0 +0.77% | |
| LONG | TLT | $81.98 | $81.95 | $-0 -0.04% | |
| LONG | XLV | $172.09 | $172.95 | +$0 +0.50% | |
| LONG | EFA | $107.04 | $106.49 | $-0 -0.51% | |
| LONG | GLD | $398.29 | $396.75 | $-0 -0.39% | |
| LONG | TLT | $81.89 | $81.87 | $-0 -0.03% | |
| LONG | USO | $137.19 | $141.00 | +$0 +2.78% | |
| LONG | XLV | $172.62 | $171.67 | $-0 -0.55% | |
| LONG | XLF | $57.61 | $57.20 | $-0 -0.71% | |
| LONG | GLD | $407.76 | $408.42 | +$0 +0.16% | |
| LONG | XLF | $57.86 | $57.71 | $-0 -0.26% | |
| LONG | USO | $133.01 | $133.70 | +$0 +0.52% | |
| LONG | XLV | $170.25 | $170.54 | +$0 +0.17% | |
| LONG | EFA | $108.04 | $107.45 | $-0 -0.55% | |
| LONG | TLT | $82.46 | $82.52 | +$0 +0.07% | |
| LONG | GLD | $420.82 | $408.89 | $-0 -2.83% | |
| LONG | XLF | $57.91 | $58.10 | +$0 +0.33% | |
| LONG | XLV | $171.95 | $171.16 | $-0 -0.46% | |
| LONG | EFA | $108.04 | $107.72 | $-0 -0.30% | |
| LONG | USO | $128.15 | $129.70 | +$0 +1.21% | |
| LONG | TLT | $83.19 | $82.88 | $-0 -0.37% | |
| LONG | EFA | $108.68 | $108.27 | $-0 -0.38% | |
| LONG | USO | $125.47 | $127.35 | +$0 +1.50% | |
| LONG | TLT | $83.28 | $83.30 | +$0 +0.03% | |
| LONG | GLD | $423.00 | $421.32 | $-0 -0.40% | |
| LONG | XLF | $58.25 | $58.26 | +$0 +0.02% | |
| LONG | XLV | $174.32 | $173.54 | $-0 -0.45% | |
| LONG | USO | $128.09 | $126.15 | $-0 -1.51% | |
| LONG | TLT | $83.11 | $83.47 | +$0 +0.43% | |
| LONG | GLD | $422.77 | $428.07 | +$0 +1.25% | |
| LONG | XLV | $174.45 | $175.29 | +$0 +0.48% | |
| LONG | EFA | $108.51 | $108.81 | +$0 +0.28% | |
| LONG | XLF | $58.19 | $58.31 | +$0 +0.21% | |
| LONG | GLD | $428.55 | $426.69 | $-0 -0.43% | |
| LONG | TLT | $82.50 | $82.56 | +$0 +0.07% | |
| LONG | EFA | $107.99 | $108.03 | +$0 +0.04% | |
| LONG | XLV | $174.41 | $174.70 | +$0 +0.17% | |
| LONG | XLF | $57.70 | $58.22 | +$0 +0.90% | |
| LONG | USO | $133.50 | $132.21 | $-0 -0.97% | |
| LONG | TLT | $82.17 | $82.05 | $-0 -0.15% | |
| LONG | USO | $134.98 | $134.64 | $-0 -0.25% | |
| LONG | XLV | $171.91 | $174.62 | +$0 +1.58% | |
| LONG | EFA | $108.13 | $108.24 | +$0 +0.10% | |
| LONG | XLE | $63.90 | $63.64 | $-0 -0.41% | |
| LONG | GLD | $420.53 | $423.36 | +$0 +0.67% | |
| LONG | USO | $134.71 | $134.54 | $-0 -0.13% | |
| LONG | EFA | $107.29 | $107.35 | +$0 +0.06% | |
| LONG | XLV | $174.19 | $172.39 | $-0 -1.03% | |
| LONG | TLT | $82.36 | $82.34 | $-0 -0.02% | |
| LONG | GLD | $410.08 | $415.26 | +$0 +1.26% | |
| LONG | XLF | $57.47 | $56.95 | $-0 -0.90% | |
| LONG | EFA | $107.87 | $107.66 | $-0 -0.19% | |
| LONG | USO | $131.17 | $130.91 | $-0 -0.20% | |
| LONG | GLD | $408.81 | $413.84 | +$0 +1.23% | |
| LONG | XLF | $57.88 | $57.48 | $-0 -0.69% | |
| LONG | XLV | $172.47 | $175.68 | +$0 +1.86% | |
| LONG | TLT | $82.81 | $83.02 | +$0 +0.26% | |
| LONG | EFA | $107.75 | $107.27 | $-0 -0.45% | |
| LONG | USO | $131.61 | $130.66 | $-0 -0.72% | |
| LONG | GLD | $402.55 | $398.55 | $-0 -0.99% | |
| LONG | XLV | $168.67 | $169.73 | +$0 +0.63% | |
| LONG | XLF | $57.73 | $57.84 | +$0 +0.19% | |
| LONG | TLT | $81.25 | $81.66 | +$0 +0.50% | |
| LONG | GLD | $402.33 | $405.49 | +$0 +0.78% | |
| LONG | XLF | $57.96 | $57.58 | $-0 -0.66% | |
| LONG | TLT | $81.76 | $81.35 | $-0 -0.50% | |
| LONG | EFA | $108.66 | $108.45 | $-0 -0.19% |