Neutral Mom E4
4-SLEEVE · GLD/USO/EFA + SECTOR ROTATION + HEDGE▶About this strategy — what it is, what it looks for, how it operates
4-sleeve simpler variant of E (research/272). Drops the equity-7-book sleeve and TLT from E, keeping GLD + USO + EFA + sector-rotation. Easier to monitor, similar hedged Sharpe. Live since 2026-05-30.
- 4 sleeves (equal-weight)1/4 each: GLD + USO + EFA + sector-rotation (top-2 of 10 sector ETFs by 60d momentum)
- OverlaysConditional SH hedge when SPY<200d SMA OR VIX>25 · 12% annualized vol-targeting
- Why E4 vs EResearch/272 leave-one-out: equity-stock-picking sleeve contributes least to E. Removing it gives same Sharpe with 14 fewer positions per day.
- Backtest 2022-26Full Sh +2.81 hedged · OOS Sh +4.10 · CAGR +44.7% · DD −8.6% · β +0.11
Backtest — 5-fold walk-forward, honest true-daily marks (2024-01 → 2026-05)
Sharpe
2.81
Win rate
—
CAGR
+44.7%
Max DD
-8.6%
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 $2,850 deployed
REGIME PAUSED
VIX 14.9
PERFORMANCE
RETURN
-0.00%
-$0 on capital deployed
SHARPE
-0.05
annualized
WIN RATE
49.29%
138W / 141L
MAX DD
-0.00%
worst drawdown
REALIZED P&L
-$0
280 closed trades
UNREALIZED P&L
+$0
5 open positions
LONG EXPOSURE
$50
net +$50
SHORT EXPOSURE
$0
gross $50
Last scan: 8/20/2026, 10:17:10 AM
Next scan: in 3h 11m (22:00 UTC weekday)
Open Positions5 held · live MTM
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Recent Closed Tradeslast 100 closed · most recent first
| SIDE | TICKER | ENTRY | EXIT | PROFIT | |
|---|---|---|---|---|---|
| LONG | GLD | $408.81 | $413.84 | +$0 +1.23% | |
| LONG | XLV | $172.47 | $175.68 | +$0 +1.86% | |
| LONG | EFA | $107.87 | $107.66 | $-0 -0.19% | |
| LONG | USO | $131.17 | $130.91 | $-0 -0.20% | |
| LONG | XLF | $57.88 | $57.48 | $-0 -0.69% | |
| LONG | GLD | $402.55 | $398.55 | $-0 -0.99% | |
| LONG | EFA | $107.75 | $107.27 | $-0 -0.45% | |
| LONG | USO | $131.61 | $130.66 | $-0 -0.72% | |
| LONG | XLV | $168.67 | $169.73 | +$0 +0.63% | |
| LONG | XLF | $57.73 | $57.84 | +$0 +0.19% | |
| LONG | XLV | $166.45 | $167.05 | +$0 +0.36% | |
| LONG | GLD | $402.33 | $405.49 | +$0 +0.78% | |
| LONG | XLF | $57.96 | $57.58 | $-0 -0.66% | |
| LONG | EFA | $108.66 | $108.45 | $-0 -0.19% | |
| LONG | USO | $127.29 | $130.29 | +$0 +2.36% | |
| LONG | GLD | $402.18 | $401.48 | $-0 -0.17% | |
| LONG | USO | $124.79 | $126.60 | +$0 +1.45% | |
| LONG | XLF | $58.22 | $58.16 | $-0 -0.10% | |
| LONG | XLV | $167.66 | $167.37 | $-0 -0.17% | |
| LONG | EFA | $108.76 | $108.64 | $-0 -0.11% | |
| LONG | GLD | $402.17 | $398.96 | $-0 -0.80% | |
| LONG | EFA | $108.67 | $108.69 | +$0 +0.02% | |
| LONG | USO | $124.57 | $125.03 | +$0 +0.37% | |
| LONG | XLV | $169.49 | $168.38 | $-0 -0.65% | |
| LONG | XLF | $58.19 | $58.26 | +$0 +0.12% | |
| LONG | GLD | $405.31 | $404.92 | $-0 -0.10% | |
| LONG | XLF | $57.83 | $57.92 | +$0 +0.16% | |
| LONG | XLV | $166.42 | $168.44 | +$0 +1.21% | |
| LONG | EFA | $108.75 | $108.50 | $-0 -0.23% | |
| LONG | USO | $126.64 | $127.30 | +$0 +0.52% | |
| LONG | GLD | $403.44 | $400.96 | $-0 -0.61% | |
| LONG | EFA | $108.44 | $108.09 | $-0 -0.32% | |
| LONG | USO | $124.75 | $127.61 | +$0 +2.29% | |
| LONG | XLF | $57.78 | $57.80 | +$0 +0.03% | |
| LONG | XLV | $168.28 | $168.01 | $-0 -0.16% | |
| LONG | GLD | $397.71 | $402.54 | +$0 +1.21% | |
| LONG | USO | $122.09 | $125.92 | +$0 +3.14% | |
| LONG | XLV | $165.68 | $168.44 | +$0 +1.67% | |
| LONG | XLF | $57.54 | $57.81 | +$0 +0.47% | |
| LONG | EFA | $108.21 | $108.01 | $-0 -0.18% | |
| LONG | XLV | $163.92 | $165.68 | +$0 +1.07% | |
| LONG | GLD | $399.60 | $398.47 | $-0 -0.28% | |
| LONG | EFA | $108.75 | $108.55 | $-0 -0.18% | |
| LONG | USO | $117.67 | $117.98 | +$0 +0.26% | |
| LONG | XLF | $57.61 | $57.60 | $-0 -0.02% | |
| LONG | GLD | $389.50 | $389.67 | +$0 +0.04% | |
| LONG | EFA | $107.66 | $107.36 | $-0 -0.28% | |
| LONG | USO | $116.46 | $118.87 | +$0 +2.07% | |
| LONG | XLV | $166.14 | $164.45 | $-0 -1.02% | |
| LONG | XLF | $58.38 | $57.81 | $-0 -0.98% | |
| LONG | GLD | $384.96 | $389.64 | +$0 +1.22% | |
| LONG | USO | $115.96 | $114.88 | $-0 -0.93% | |
| LONG | XLF | $58.18 | $58.00 | $-0 -0.31% | |
| LONG | XLV | $163.64 | $164.16 | +$0 +0.32% | |
| LONG | EFA | $107.99 | $107.43 | $-0 -0.52% | |
| LONG | GLD | $374.14 | $374.16 | +$0 +0.01% | |
| LONG | XLV | $162.00 | $162.10 | +$0 +0.06% | |
| LONG | EFA | $106.72 | $107.32 | +$0 +0.56% | |
| LONG | USO | $117.00 | $115.78 | $-0 -1.04% | |
| LONG | XLF | $57.22 | $57.88 | +$0 +1.15% | |
| 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 | 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 | EFA | $105.75 | $105.58 | $-0 -0.16% | |
| LONG | USO | $127.12 | $127.48 | +$0 +0.28% | |
| 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% | |
| LONG | GLD | $374.16 | $377.16 | +$0 +0.80% | |
| LONG | EFA | $103.71 | $103.37 | $-0 -0.33% | |
| LONG | XLF | $57.29 | $56.68 | $-0 -1.06% | |
| LONG | XLV | $167.15 | $166.24 | $-0 -0.54% | |
| LONG | USO | $128.46 | $129.31 | +$0 +0.66% | |
| LONG | GLD | $368.29 | $371.08 | +$0 +0.76% | |
| LONG | GLD | $369.61 | $369.37 | $-0 -0.06% | |
| LONG | USO | $123.67 | $120.49 | $-0 -2.57% | |
| LONG | EFA | $103.19 | $103.89 | +$0 +0.68% | |
| 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 | EFA | $104.36 | $103.91 | $-0 -0.43% | |
| LONG | XLV | $163.01 | $163.40 | +$0 +0.24% | |
| LONG | XLK | $177.83 | $174.30 | $-0 -1.99% | |
| LONG | GLD | $371.26 | $371.90 | +$0 +0.17% | |
| LONG | USO | $137.72 | $136.69 | $-0 -0.75% | |
| LONG | EFA | $103.50 | $103.41 | $-0 -0.09% | |
| LONG | XLV | $162.47 | $162.57 | +$0 +0.06% | |
| LONG | XLK | $177.82 | $175.88 | $-0 -1.09% | |
| LONG | GLD | $372.36 | $371.52 | $-0 -0.23% | |
| LONG | USO | $138.52 | $139.49 | +$0 +0.70% | |
| LONG | EFA | $102.75 | $102.90 | +$0 +0.14% | |
| LONG | XLK | $178.80 | $178.45 | $-0 -0.20% | |
| LONG | XLV | $159.90 | $161.44 | +$0 +0.96% |