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
+$117
+1.71% on $6,860 deployed
REGIME PAUSED
VIX 16.0
PERFORMANCE
RETURN
+1.71%
+$117 on capital deployed
SHARPE
2.30
annualized
WIN RATE
58.21%
163W / 117L
MAX DD
-0.85%
worst drawdown
REALIZED P&L
+$60
280 closed trades
UNREALIZED P&L
+$57
405 open positions
LONG EXPOSURE
$3,590
net +$3,027
SHORT EXPOSURE
$563
gross $4,154
Last scan: 8/4/2026, 10:14:42 AM
Next scan: in 22h 6m (22:00 UTC weekday)
Open Positions405 held · live MTM
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Recent Closed Tradeslast 100 closed · most recent first
| SIDE | TICKER | ENTRY | EXIT | PROFIT | |
|---|---|---|---|---|---|
| SHORT | MRNA | $61.44 | $55.14 | +$1 +10.25% | |
| LONG | XLV | $163.63 | $162.24 | $-0 -0.85% | |
| LONG | EFA | $105.72 | $106.02 | +$0 +0.28% | |
| SHORT | DELL | $400.29 | $429.02 | $-1 -7.18% | |
| LONG | XLF | $57.29 | $57.38 | +$0 +0.16% | |
| SHORT | ABBV | $253.10 | $245.10 | +$0 +3.16% | |
| SHORT | NVDA | $206.04 | $206.64 | $-0 -0.29% | |
| LONG | GLD | $370.10 | $371.71 | +$0 +0.44% | |
| SHORT | HIMS | $32.44 | $30.82 | +$0 +4.99% | |
| LONG | GLD | $370.84 | $371.54 | +$0 +0.19% | |
| LONG | XLF | $56.81 | $56.94 | +$0 +0.23% | |
| LONG | XLV | $162.31 | $162.55 | +$0 +0.15% | |
| LONG | EFA | $105.75 | $105.58 | $-0 -0.16% | |
| SHORT | HIMS | $32.06 | $27.77 | +$1 +13.39% | |
| SHORT | NVDA | $202.40 | $200.75 | +$0 +0.82% | |
| SHORT | DELL | $376.85 | $405.37 | $-1 -7.57% | |
| SHORT | MRNA | $61.63 | $54.82 | +$1 +11.05% | |
| SHORT | ABBV | $257.00 | $250.94 | +$0 +2.36% | |
| SHORT | GOOGL | $373.20 | $333.66 | +$1 +10.59% | |
| LONG | GLD | $374.16 | $377.16 | +$0 +0.80% | |
| LONG | XLF | $56.82 | $57.00 | +$0 +0.32% | |
| LONG | XLV | $163.25 | $163.52 | +$0 +0.17% | |
| LONG | EFA | $105.00 | $106.24 | +$0 +1.18% | |
| SHORT | ALAB | $337.02 | $299.69 | +$1 +11.08% | |
| SHORT | LLY | $1162.27 | $1154.97 | +$0 +0.63% | |
| SHORT | NVDA | $210.26 | $195.04 | +$1 +7.24% | |
| SHORT | TSLA | $392.35 | $308.85 | +$2 +21.28% | |
| LONG | XLF | $57.29 | $56.68 | $-0 -1.06% | |
| LONG | EFA | $103.71 | $103.37 | $-0 -0.33% | |
| LONG | XLV | $167.15 | $166.24 | $-0 -0.54% | |
| LONG | GLD | $368.29 | $371.08 | +$0 +0.76% | |
| SHORT | NVDA | $212.01 | $190.01 | +$1 +10.38% | |
| SHORT | ASML | $1825.00 | $1550.69 | +$2 +15.03% | |
| SHORT | TSLA | $399.39 | $298.32 | +$3 +25.31% | |
| SHORT | COIN | $165.58 | $160.09 | +$0 +3.32% | |
| SHORT | AXTI | $55.77 | $36.97 | +$3 +33.71% | |
| LONG | XLF | $57.13 | $57.60 | +$0 +0.82% | |
| LONG | XLV | $165.99 | $167.26 | +$0 +0.77% | |
| LONG | EFA | $103.19 | $103.89 | +$0 +0.68% | |
| LONG | GLD | $369.61 | $369.37 | $-0 -0.06% | |
| SHORT | AMZN | $245.53 | $230.86 | +$1 +5.97% | |
| SHORT | HIMS | $34.80 | $29.32 | +$2 +15.75% | |
| SHORT | FSLR | $228.58 | $202.59 | +$1 +11.37% | |
| SHORT | AAPL | $313.64 | $340.08 | $-1 -8.43% | |
| LONG | EFA | $104.36 | $103.91 | $-0 -0.43% | |
| LONG | GLD | $373.89 | $374.63 | +$0 +0.20% | |
| SHORT | SNDK | $1790.25 | $1278.23 | +$3 +28.60% | |
| LONG | XLV | $163.01 | $163.40 | +$0 +0.24% | |
| LONG | XLK | $177.83 | $174.30 | $-0 -1.99% | |
| SHORT | ARM | $310.28 | $266.33 | +$1 +14.16% | |
| SHORT | ALAB | $400.68 | $282.52 | +$3 +29.49% | |
| SHORT | TSLA | $404.61 | $309.22 | +$2 +23.58% | |
| SHORT | SMCI | $27.61 | $29.81 | $-1 -7.96% | |
| LONG | EFA | $103.50 | $103.41 | $-0 -0.09% | |
| LONG | GLD | $371.26 | $371.90 | +$0 +0.17% | |
| LONG | XLV | $162.47 | $162.57 | +$0 +0.06% | |
| SHORT | TSLA | $410.49 | $313.03 | +$2 +23.74% | |
| LONG | XLK | $177.82 | $175.88 | $-0 -1.09% | |
| SHORT | ARM | $323.00 | $260.01 | +$2 +19.50% | |
| SHORT | COIN | $166.41 | $158.29 | +$0 +4.88% | |
| SHORT | MSTR | $98.75 | $91.67 | +$1 +7.17% | |
| LONG | EFA | $102.75 | $102.90 | +$0 +0.14% | |
| LONG | XLV | $159.90 | $161.44 | +$0 +0.96% | |
| LONG | GLD | $372.36 | $371.52 | $-0 -0.23% | |
| LONG | XLK | $178.80 | $178.45 | $-0 -0.20% | |
| SHORT | SMCI | $28.72 | $31.20 | $-1 -8.64% | |
| SHORT | NVDA | $204.46 | $208.76 | $-0 -2.10% | |
| SHORT | AAPL | $310.45 | $321.66 | $-0 -3.61% | |
| SHORT | TSLA | $393.94 | $319.69 | +$2 +18.85% | |
| SHORT | AXTI | $64.92 | $52.93 | +$2 +18.47% | |
| LONG | GLD | $379.07 | $379.12 | +$0 +0.01% | |
| LONG | XLV | $160.97 | $159.43 | $-0 -0.96% | |
| LONG | EFA | $104.44 | $104.25 | $-0 -0.18% | |
| SHORT | WMT | $113.15 | $109.33 | +$0 +3.38% | |
| SHORT | DELL | $422.88 | $441.80 | $-0 -4.47% | |
| SHORT | DDOG | $252.50 | $245.77 | +$0 +2.67% | |
| LONG | XLK | $178.15 | $180.27 | +$0 +1.19% | |
| SHORT | TSLA | $399.38 | $374.01 | +$1 +6.35% | |
| LONG | XLV | $157.53 | $160.25 | +$0 +1.73% | |
| LONG | EFA | $103.51 | $104.06 | +$0 +0.53% | |
| SHORT | META | $608.00 | $643.81 | $-1 -5.89% | |
| SHORT | AAPL | $315.29 | $327.74 | $-0 -3.95% | |
| SHORT | TSLA | $416.97 | $378.93 | +$1 +9.12% | |
| LONG | GLD | $371.70 | $374.81 | +$0 +0.84% | |
| LONG | XLK | $179.56 | $180.78 | +$0 +0.68% | |
| SHORT | DELL | $397.75 | $404.15 | $-0 -1.61% | |
| SHORT | NVDA | $192.37 | $207.29 | $-1 -7.76% | |
| LONG | GLD | $367.79 | $367.60 | $-0 -0.05% | |
| LONG | EFA | $103.34 | $102.57 | $-0 -0.75% | |
| LONG | XLK | $177.19 | $175.71 | $-0 -0.84% | |
| LONG | XLV | $161.00 | $159.25 | $-0 -1.09% | |
| LONG | XLV | $161.81 | $161.09 | $-0 -0.44% | |
| LONG | GLD | $364.11 | $368.41 | +$0 +1.18% | |
| LONG | EFA | $102.51 | $103.33 | +$0 +0.80% | |
| LONG | XLK | $172.85 | $175.59 | +$0 +1.59% | |
| SHORT | AAPL | $294.08 | $333.26 | $-1 -13.32% | |
| LONG | XLK | $179.00 | $177.52 | $-0 -0.83% | |
| SHORT | DELL | $416.08 | $391.38 | +$1 +5.94% | |
| SHORT | TSLA | $428.23 | $391.06 | +$1 +8.68% | |
| LONG | GLD | $367.45 | $364.96 | $-0 -0.68% |