Neutral Mom Ultimate
5-SLEEVE · LEAPS L/S + LOW-VOL + SECTOR ROT + HEDGE▶About this strategy — what it is, what it looks for, how it operates
The new champion — 5-sleeve Ultimate from research/277 (2026-06-04). Drops USO from E4 (LOO confirmed drag), adds LEAPS L/S (the one signal that survived research/246 orthogonality screen) and Low-Vol (matches the deployed vol_runup book). Backtest hedged Sh +3.50 full window, beats every other book on Sharpe, drawdown, and beta simultaneously. K=5 reduced from K=10 for tractable position count.
- 5 sleeves (equal-weight)1/5 each: GLD + EFA + sector-rotation (top-2 of 10) + LEAPS L/S (long top-5 by call_dte_90p_pct, short bot-5, K=5, 10d hold) + Low-Vol long (long bot-5 by 20d realized vol, K=5, 60d hold)
- OverlaysConditional SH hedge when SPY<200d SMA OR VIX>25. Vol-target and DD circuit-breaker not yet wired (backtest-only).
- What's new vs E4LEAPS L/S sleeve is the ONE orthogonal signal that survived our 2026-05 alpha harness rigor (net L/S Sh +0.79 incremental). Low-Vol sleeve adds defensive equity. Drops USO (research/277 LOO showed it actively drags).
- Backtest 2022-26Full hedged Sh +3.50 · CAGR +51% · DD −7.4% · β +0.10. Pre-deploy 22-24 Sh +2.61, Holdout 25-26 Sh +4.17. Cost-robust to 30bps.
- Honest caveatBacktest only. Live forward typically discounts BT Sharpe ~50%. Realistic forward expectation: +1.8 to +2.5 hedged Sharpe. Need 60+ days live for meaningful read.
Backtest — 5-fold walk-forward, honest true-daily marks (2024-01 → 2026-05)
Sharpe
3.50
Win rate
—
CAGR
+51.0%
Max DD
-7.4%
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
-$45
-0.41% on $10,860 deployed
REGIME PAUSED
VIX 17.2
PERFORMANCE
RETURN
-0.41%
-$45 on capital deployed
SHARPE
1.75
annualized
WIN RATE
50.87%
320W / 308L
MAX DD
-6.18%
worst drawdown
REALIZED P&L
+$23
629 closed trades
UNREALIZED P&L
-$68
456 open positions
LONG EXPOSURE
$4,159
net +$3,792
SHORT EXPOSURE
$366
gross $4,525
Last scan: 9/16/2026, 10:18:25 AM
Next scan: in 50h 58m (22:00 UTC weekday)
Open Positions456 held · live MTM
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Recent Closed Tradeslast 100 closed · most recent first
| SIDE | TICKER | ENTRY | EXIT | PROFIT | |
|---|---|---|---|---|---|
| LONG | HD | $336.01 | $305.48 | $-1 -9.09% | |
| SHORT | TSLA | $360.86 | $356.58 | +$0 +1.18% | |
| SHORT | CLS | $293.88 | $316.81 | $-1 -7.80% | |
| LONG | XLV | $168.01 | $167.66 | $-0 -0.21% | |
| LONG | GLD | $391.89 | $394.15 | +$0 +0.58% | |
| LONG | JNJ | $231.78 | $267.20 | +$2 +15.28% | |
| LONG | NFLX | $77.05 | $77.90 | +$0 +1.10% | |
| LONG | BSX | $45.06 | $43.87 | $-0 -2.64% | |
| LONG | COST | $962.70 | $901.35 | $-1 -6.37% | |
| LONG | NEE | $85.77 | $81.07 | $-1 -5.48% | |
| LONG | NEE | $86.26 | $81.07 | $-1 -6.02% | |
| SHORT | AAPL | $316.98 | $331.34 | $-0 -4.53% | |
| LONG | EFA | $105.80 | $105.40 | $-0 -0.38% | |
| LONG | XLE | $65.96 | $65.93 | $-0 -0.04% | |
| LONG | JNJ | $234.03 | $267.20 | +$1 +14.17% | |
| LONG | NFLX | $78.10 | $77.90 | $-0 -0.26% | |
| SHORT | CVX | $206.08 | $217.77 | $-1 -5.67% | |
| SHORT | AAPL | $319.56 | $331.34 | $-0 -3.69% | |
| SHORT | TSLA | $347.15 | $356.58 | $-0 -2.72% | |
| SHORT | CVNA | $73.21 | $66.90 | +$1 +8.62% | |
| SHORT | MCHP | $73.51 | $71.49 | +$0 +2.75% | |
| SHORT | NVDA | $216.61 | $212.17 | +$0 +2.05% | |
| SHORT | CVNA | $72.11 | $66.90 | +$1 +7.23% | |
| LONG | IGV | $89.56 | $105.55 | +$2 +17.85% | |
| LONG | ALB | $167.60 | $113.45 | $-3 -32.31% | |
| LONG | PDD | $79.38 | $78.08 | $-0 -1.64% | |
| LONG | CORZ | $29.12 | $16.04 | $-4 -44.92% | |
| LONG | BAC | $57.23 | $59.52 | +$0 +4.00% | |
| LONG | BSX | $46.60 | $43.87 | $-1 -5.86% | |
| LONG | NKE | $44.90 | $36.22 | $-2 -19.33% | |
| LONG | ADBE | $204.02 | $257.76 | +$3 +26.34% | |
| LONG | ALB | $167.85 | $113.45 | $-3 -32.41% | |
| LONG | BAC | $57.14 | $59.52 | +$0 +4.17% | |
| LONG | VST | $158.57 | $141.53 | $-1 -10.74% | |
| LONG | JPM | $323.92 | $356.23 | +$1 +9.97% | |
| LONG | FSLR | $272.67 | $209.03 | $-2 -23.34% | |
| SHORT | META | $576.48 | $648.03 | $-1 -12.41% | |
| LONG | GLD | $399.53 | $398.77 | $-0 -0.19% | |
| SHORT | TSLA | $346.30 | $365.44 | $-1 -5.53% | |
| LONG | BSX | $47.25 | $42.98 | $-1 -9.04% | |
| LONG | VST | $152.81 | $148.38 | $-0 -2.90% | |
| LONG | EFA | $106.00 | $106.70 | +$0 +0.66% | |
| LONG | XLV | $166.50 | $165.36 | $-0 -0.68% | |
| LONG | BABA | $109.33 | $109.30 | $-0 -0.03% | |
| LONG | NKE | $45.51 | $36.80 | $-2 -19.13% | |
| LONG | PDD | $82.05 | $77.81 | $-1 -5.17% | |
| LONG | ALB | $167.66 | $117.52 | $-3 -29.91% | |
| LONG | BAC | $56.50 | $62.69 | +$1 +10.96% | |
| LONG | XLE | $66.14 | $65.14 | $-0 -1.51% | |
| LONG | JPM | $324.30 | $356.23 | +$1 +9.85% | |
| LONG | NFLX | $81.88 | $77.40 | $-1 -5.47% | |
| LONG | JNJ | $236.37 | $265.58 | +$1 +12.36% | |
| LONG | HD | $331.91 | $308.74 | $-1 -6.98% | |
| LONG | AAPL | $294.12 | $332.27 | +$1 +12.97% | |
| LONG | NFLX | $80.61 | $77.40 | $-0 -3.99% | |
| LONG | JNJ | $239.00 | $265.58 | +$1 +11.12% | |
| SHORT | DELL | $466.68 | $567.29 | $-2 -21.56% | |
| SHORT | TGT | $162.18 | $155.83 | +$0 +3.92% | |
| SHORT | CAR | $143.49 | $121.74 | +$2 +15.16% | |
| LONG | BAC | $56.62 | $62.69 | +$1 +10.72% | |
| LONG | WULF | $27.64 | $16.74 | $-4 -39.42% | |
| LONG | GLW | $187.47 | $166.40 | $-1 -11.24% | |
| LONG | PDD | $81.56 | $77.81 | $-0 -4.60% | |
| LONG | JNJ | $240.00 | $267.08 | +$1 +11.28% | |
| SHORT | SHOP | $149.34 | $126.79 | +$2 +15.10% | |
| SHORT | GOOGL | $349.38 | $330.65 | +$1 +5.36% | |
| SHORT | META | $563.75 | $653.69 | $-2 -15.95% | |
| LONG | JPM | $315.97 | $354.71 | +$1 +12.26% | |
| LONG | XLV | $168.29 | $166.58 | $-0 -1.02% | |
| SHORT | TSLA | $349.63 | $367.81 | $-1 -5.20% | |
| SHORT | MRNA | $154.52 | $135.61 | +$1 +12.24% | |
| LONG | SBUX | $102.78 | $100.04 | $-0 -2.67% | |
| LONG | GLD | $403.56 | $403.35 | $-0 -0.05% | |
| LONG | XLF | $57.71 | $57.06 | $-0 -1.12% | |
| LONG | EFA | $108.34 | $106.56 | $-0 -1.64% | |
| LONG | BAC | $55.36 | $62.67 | +$1 +13.20% | |
| SHORT | CRDO | $223.01 | $167.92 | +$2 +24.70% | |
| SHORT | AAPL | $310.93 | $315.34 | $-0 -1.42% | |
| SHORT | NET | $273.82 | $314.18 | $-1 -14.74% | |
| SHORT | DELL | $449.58 | $535.25 | $-2 -19.06% | |
| SHORT | TSLA | $345.25 | $367.81 | $-1 -6.53% | |
| LONG | CVX | $185.08 | $213.81 | +$2 +15.52% | |
| LONG | NFLX | $81.68 | $76.03 | $-1 -6.92% | |
| LONG | PDD | $81.86 | $78.61 | $-0 -3.97% | |
| LONG | VST | $140.99 | $151.10 | +$1 +7.17% | |
| LONG | NEM | $93.48 | $128.71 | +$4 +37.69% | |
| LONG | NOK | $13.57 | $10.76 | $-2 -20.71% | |
| LONG | PDD | $80.42 | $78.61 | $-0 -2.25% | |
| LONG | CEG | $244.98 | $293.90 | +$2 +19.97% | |
| LONG | SBUX | $98.96 | $100.04 | +$0 +1.09% | |
| LONG | AAPL | $293.72 | $315.34 | +$1 +7.36% | |
| LONG | JNJ | $240.00 | $267.08 | +$1 +11.28% | |
| LONG | BAC | $54.72 | $62.67 | +$1 +14.54% | |
| LONG | JPM | $309.56 | $354.71 | +$1 +14.59% | |
| LONG | CEG | $249.83 | $293.90 | +$2 +17.64% | |
| LONG | GS | $1053.00 | $1028.78 | $-0 -2.30% | |
| LONG | NEE | $85.18 | $82.65 | $-0 -2.98% | |
| LONG | SBUX | $94.84 | $104.47 | +$1 +10.15% | |
| LONG | JNJ | $232.77 | $275.23 | +$2 +18.24% | |
| LONG | MCHP | $90.25 | $74.17 | $-2 -17.82% |