Composite Strategy
COMPOSITE · 5 SIGNALS · 10D HOLD▶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
+$8
+0.41% on $1,900 deployed
REGIME PAUSED
VIX 16.4
PERFORMANCE
RETURN
+0.41%
+$8 on capital deployed
SHARPE
—
need 10 more days
WIN RATE
55.56%
20W / 16L
MAX DD
-0.01%
worst drawdown
REALIZED P&L
+$4
36 closed trades
UNREALIZED P&L
+$4
154 open positions
LONG EXPOSURE
$1,038
net +$544
SHORT EXPOSURE
$494
gross $1,531
Last scan: 6/18/2026, 10:12:32 AM
Next scan: in 51h 25m (22:00 UTC weekday)
Open Positions154 held · live MTM
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Recent Closed Tradeslast 36 closed · most recent first
| SIDE | TICKER | ENTRY | EXIT | PROFIT | |
|---|---|---|---|---|---|
| LONG | XLB | $52.52 | $52.02 | $-0 -0.95% | |
| LONG | XLK | $189.01 | $185.80 | $-0 -1.70% | |
| LONG | EFA | $105.04 | $103.78 | $-0 -1.20% | |
| LONG | GLD | $397.82 | $388.60 | $-0 -2.32% | |
| LONG | XLB | $52.69 | $52.72 | +$0 +0.06% | |
| LONG | XLK | $191.23 | $186.44 | $-0 -2.50% | |
| LONG | EFA | $104.72 | $104.31 | $-0 -0.39% | |
| LONG | GLD | $397.83 | $397.63 | $-0 -0.05% | |
| LONG | XLF | $52.35 | $53.56 | +$0 +2.32% | |
| LONG | XLK | $177.79 | $191.79 | +$1 +7.87% | |
| LONG | GLD | $385.73 | $396.55 | +$0 +2.81% | |
| LONG | EFA | $104.65 | $104.08 | $-0 -0.54% | |
| LONG | XLK | $183.24 | $191.79 | +$0 +4.67% | |
| LONG | XLF | $52.96 | $53.56 | +$0 +1.13% | |
| LONG | GLD | $399.49 | $396.55 | $-0 -0.74% | |
| LONG | EFA | $104.69 | $104.08 | $-0 -0.58% | |
| LONG | XLK | $190.37 | $191.79 | +$0 +0.75% | |
| LONG | XLF | $53.76 | $53.56 | $-0 -0.37% | |
| LONG | EFA | $103.89 | $104.08 | +$0 +0.18% | |
| LONG | EFA | $104.14 | $104.08 | $-0 -0.06% | |
| LONG | XLK | $188.88 | $191.79 | +$0 +1.54% | |
| LONG | XLE | $58.67 | $55.55 | $-1 -5.31% | |
| LONG | GLD | $397.52 | $396.55 | $-0 -0.24% | |
| LONG | EFA | $103.27 | $104.08 | +$0 +0.78% | |
| LONG | XLK | $185.22 | $191.79 | +$0 +3.55% | |
| LONG | XLF | $52.24 | $53.56 | +$0 +2.53% | |
| LONG | GLD | $397.57 | $396.55 | $-0 -0.26% | |
| LONG | GLD | $404.38 | $396.55 | $-0 -1.94% | |
| LONG | XLK | $185.91 | $191.79 | +$0 +3.16% | |
| LONG | XLF | $52.18 | $53.56 | +$0 +2.64% | |
| LONG | GLD | $380.75 | $396.55 | +$0 +4.15% | |
| LONG | EFA | $102.23 | $104.08 | +$0 +1.81% | |
| LONG | XLK | $178.16 | $191.79 | +$1 +7.65% | |
| LONG | XLF | $52.49 | $53.56 | +$0 +2.03% | |
| LONG | GLD | $373.96 | $396.55 | +$1 +6.04% | |
| LONG | EFA | $102.48 | $104.08 | +$0 +1.56% |