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
-$1
-0.04% on $3,000 deployed
REGIME PAUSED
VIX 16.0
PERFORMANCE
RETURN
-0.04%
-$1 on capital deployed
SHARPE
2.10
annualized
WIN RATE
49.32%
145W / 148L
MAX DD
-2.17%
worst drawdown
REALIZED P&L
-$1
294 closed trades
UNREALIZED P&L
+$0
6 open positions
LONG EXPOSURE
$60
net +$60
SHORT EXPOSURE
$0
gross $60
Last scan: 8/4/2026, 10:14:29 AM
Next scan: in 23h 9m (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 | $82.25 | $82.19 | $-0 -0.07% | |
| LONG | GLD | $370.10 | $371.71 | +$0 +0.44% | |
| LONG | XLV | $163.63 | $162.24 | $-0 -0.85% | |
| LONG | EFA | $105.72 | $106.02 | +$0 +0.28% | |
| LONG | USO | $120.80 | $122.12 | +$0 +1.09% | |
| LONG | XLF | $57.29 | $57.38 | +$0 +0.16% | |
| LONG | TLT | $82.44 | $82.25 | $-0 -0.24% | |
| LONG | EFA | $105.75 | $105.58 | $-0 -0.16% | |
| LONG | USO | $130.18 | $129.17 | $-0 -0.78% | |
| LONG | GLD | $370.84 | $371.54 | +$0 +0.19% | |
| LONG | XLV | $162.31 | $162.55 | +$0 +0.15% | |
| LONG | XLF | $56.81 | $56.94 | +$0 +0.23% | |
| LONG | USO | $127.12 | $127.48 | +$0 +0.28% | |
| LONG | GLD | $374.16 | $377.16 | +$0 +0.80% | |
| LONG | TLT | $82.81 | $82.80 | $-0 -0.01% | |
| LONG | XLV | $163.25 | $163.52 | +$0 +0.17% | |
| LONG | EFA | $105.00 | $106.24 | +$0 +1.18% | |
| LONG | XLF | $56.82 | $57.00 | +$0 +0.32% | |
| LONG | USO | $128.46 | $129.31 | +$0 +0.66% | |
| LONG | GLD | $368.29 | $371.08 | +$0 +0.76% | |
| LONG | TLT | $84.11 | $82.85 | $-0 -1.49% | |
| LONG | EFA | $103.71 | $103.37 | $-0 -0.33% | |
| LONG | XLV | $167.15 | $166.24 | $-0 -0.54% | |
| LONG | XLF | $57.29 | $56.68 | $-0 -1.06% | |
| LONG | EFA | $103.19 | $103.89 | +$0 +0.68% | |
| LONG | USO | $123.67 | $120.49 | $-0 -2.57% | |
| LONG | TLT | $83.87 | $84.24 | +$0 +0.44% | |
| LONG | GLD | $369.61 | $369.37 | $-0 -0.06% | |
| LONG | XLV | $165.99 | $167.26 | +$0 +0.77% | |
| LONG | XLF | $57.13 | $57.60 | +$0 +0.82% | |
| LONG | GLD | $373.89 | $374.63 | +$0 +0.20% | |
| LONG | USO | $128.65 | $124.76 | $-0 -3.03% | |
| LONG | XLV | $163.01 | $163.40 | +$0 +0.24% | |
| LONG | EFA | $104.36 | $103.91 | $-0 -0.43% | |
| LONG | TLT | $83.73 | $83.75 | +$0 +0.02% | |
| LONG | XLK | $177.83 | $174.30 | $-0 -1.99% | |
| LONG | USO | $137.72 | $136.69 | $-0 -0.75% | |
| LONG | GLD | $371.26 | $371.90 | +$0 +0.17% | |
| LONG | TLT | $83.31 | $83.25 | $-0 -0.07% | |
| LONG | XLV | $162.47 | $162.57 | +$0 +0.06% | |
| LONG | EFA | $103.50 | $103.41 | $-0 -0.09% | |
| LONG | XLK | $177.82 | $175.88 | $-0 -1.09% | |
| LONG | GLD | $372.36 | $371.52 | $-0 -0.23% | |
| LONG | TLT | $82.99 | $83.17 | +$0 +0.22% | |
| LONG | EFA | $102.75 | $102.90 | +$0 +0.14% | |
| LONG | USO | $138.52 | $139.49 | +$0 +0.70% | |
| LONG | XLK | $178.80 | $178.45 | $-0 -0.20% | |
| LONG | XLV | $159.90 | $161.44 | +$0 +0.96% | |
| LONG | GLD | $379.07 | $379.12 | +$0 +0.01% | |
| LONG | TLT | $83.61 | $83.44 | $-0 -0.20% | |
| LONG | USO | $131.42 | $131.68 | +$0 +0.20% | |
| LONG | XLK | $178.15 | $180.27 | +$0 +1.19% | |
| LONG | EFA | $104.44 | $104.25 | $-0 -0.18% | |
| LONG | XLV | $160.97 | $159.43 | $-0 -0.96% | |
| LONG | TLT | $83.74 | $83.66 | $-0 -0.09% | |
| LONG | GLD | $371.70 | $374.81 | +$0 +0.84% | |
| LONG | EFA | $103.51 | $104.06 | +$0 +0.53% | |
| LONG | USO | $128.92 | $128.85 | $-0 -0.05% | |
| LONG | XLK | $179.56 | $180.78 | +$0 +0.68% | |
| LONG | XLV | $157.53 | $160.25 | +$0 +1.73% | |
| LONG | USO | $123.78 | $125.51 | +$0 +1.40% | |
| LONG | XLK | $177.19 | $175.71 | $-0 -0.84% | |
| LONG | EFA | $103.34 | $102.57 | $-0 -0.75% | |
| LONG | GLD | $367.79 | $367.60 | $-0 -0.05% | |
| LONG | TLT | $84.30 | $83.89 | $-0 -0.49% | |
| LONG | XLV | $161.00 | $159.25 | $-0 -1.09% | |
| LONG | GLD | $364.11 | $368.41 | +$0 +1.18% | |
| LONG | TLT | $84.62 | $84.52 | $-0 -0.12% | |
| LONG | XLK | $172.85 | $175.59 | +$0 +1.59% | |
| LONG | EFA | $102.51 | $103.33 | +$0 +0.80% | |
| LONG | USO | $123.20 | $123.96 | +$0 +0.62% | |
| LONG | XLV | $161.81 | $161.09 | $-0 -0.44% | |
| LONG | EFA | $103.67 | $103.81 | +$0 +0.14% | |
| LONG | USO | $121.21 | $119.30 | $-0 -1.58% | |
| LONG | TLT | $83.84 | $84.21 | +$0 +0.44% | |
| LONG | XLK | $179.00 | $177.52 | $-0 -0.83% | |
| LONG | GLD | $367.45 | $364.96 | $-0 -0.68% | |
| LONG | XLF | $56.76 | $56.75 | $-0 -0.02% | |
| LONG | GLD | $372.11 | $372.35 | +$0 +0.06% | |
| LONG | USO | $121.45 | $121.38 | $-0 -0.06% | |
| LONG | XLK | $185.11 | $181.58 | $-0 -1.91% | |
| LONG | EFA | $104.28 | $104.65 | +$0 +0.35% | |
| LONG | TLT | $84.08 | $84.24 | +$0 +0.19% | |
| LONG | XLF | $56.30 | $56.56 | +$0 +0.46% | |
| LONG | TLT | $84.17 | $84.08 | $-0 -0.11% | |
| LONG | EFA | $104.38 | $103.96 | $-0 -0.40% | |
| LONG | GLD | $374.53 | $372.15 | $-0 -0.64% | |
| LONG | XLK | $183.71 | $183.62 | $-0 -0.05% | |
| LONG | USO | $120.65 | $120.17 | $-0 -0.40% | |
| LONG | XLV | $159.78 | $158.29 | $-0 -0.93% | |
| LONG | XLV | $160.97 | $161.41 | +$0 +0.27% | |
| LONG | TLT | $84.18 | $83.97 | $-0 -0.26% | |
| LONG | GLD | $372.77 | $367.13 | $-0 -1.51% | |
| LONG | USO | $111.89 | $117.79 | +$1 +5.28% | |
| LONG | EFA | $103.85 | $103.24 | $-0 -0.59% | |
| LONG | XLK | $183.10 | $181.28 | $-0 -0.99% | |
| LONG | XLV | $162.48 | $160.84 | $-0 -1.01% | |
| LONG | TLT | $84.51 | $84.47 | $-0 -0.05% | |
| LONG | GLD | $375.00 | $377.01 | +$0 +0.54% | |
| LONG | EFA | $104.18 | $104.33 | +$0 +0.14% |