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
-$0
-0.00% on $3,720 deployed
REGIME PAUSED
VIX 14.9
PERFORMANCE
RETURN
-0.00%
-$0 on capital deployed
SHARPE
1.88
annualized
WIN RATE
48.91%
179W / 186L
MAX DD
-2.17%
worst drawdown
REALIZED P&L
-$0
366 closed trades
UNREALIZED P&L
+$0
6 open positions
LONG EXPOSURE
$60
net +$60
SHORT EXPOSURE
$0
gross $60
Last scan: 8/20/2026, 10:17:06 AM
Next scan: in 3h 10m (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 | EFA | $107.87 | $107.66 | $-0 -0.19% | |
| LONG | USO | $131.17 | $130.91 | $-0 -0.20% | |
| LONG | GLD | $408.81 | $413.84 | +$0 +1.23% | |
| LONG | XLF | $57.88 | $57.48 | $-0 -0.69% | |
| LONG | XLV | $172.47 | $175.68 | +$0 +1.86% | |
| LONG | TLT | $82.81 | $83.02 | +$0 +0.26% | |
| LONG | EFA | $107.75 | $107.27 | $-0 -0.45% | |
| LONG | USO | $131.61 | $130.66 | $-0 -0.72% | |
| LONG | GLD | $402.55 | $398.55 | $-0 -0.99% | |
| LONG | XLV | $168.67 | $169.73 | +$0 +0.63% | |
| LONG | XLF | $57.73 | $57.84 | +$0 +0.19% | |
| LONG | TLT | $81.25 | $81.66 | +$0 +0.50% | |
| LONG | GLD | $402.33 | $405.49 | +$0 +0.78% | |
| LONG | XLF | $57.96 | $57.58 | $-0 -0.66% | |
| LONG | TLT | $81.76 | $81.35 | $-0 -0.50% | |
| LONG | EFA | $108.66 | $108.45 | $-0 -0.19% | |
| LONG | USO | $127.29 | $130.29 | +$0 +2.36% | |
| LONG | XLV | $166.45 | $167.05 | +$0 +0.36% | |
| LONG | EFA | $108.76 | $108.64 | $-0 -0.11% | |
| LONG | XLV | $167.66 | $167.37 | $-0 -0.17% | |
| 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 | TLT | $82.23 | $82.04 | $-0 -0.23% | |
| LONG | TLT | $82.60 | $82.59 | $-0 -0.01% | |
| LONG | XLV | $169.49 | $168.38 | $-0 -0.65% | |
| LONG | USO | $124.57 | $125.03 | +$0 +0.37% | |
| LONG | GLD | $402.17 | $398.96 | $-0 -0.80% | |
| LONG | EFA | $108.67 | $108.69 | +$0 +0.02% | |
| LONG | XLF | $58.19 | $58.26 | +$0 +0.12% | |
| LONG | USO | $126.64 | $127.30 | +$0 +0.52% | |
| LONG | TLT | $82.44 | $82.11 | $-0 -0.40% | |
| LONG | GLD | $405.31 | $404.92 | $-0 -0.10% | |
| LONG | EFA | $108.75 | $108.50 | $-0 -0.23% | |
| LONG | XLV | $166.42 | $168.44 | +$0 +1.21% | |
| LONG | XLF | $57.83 | $57.92 | +$0 +0.16% | |
| LONG | EFA | $108.44 | $108.09 | $-0 -0.32% | |
| LONG | TLT | $82.27 | $82.19 | $-0 -0.10% | |
| LONG | XLV | $168.28 | $168.01 | $-0 -0.16% | |
| LONG | USO | $124.75 | $127.61 | +$0 +2.29% | |
| LONG | GLD | $403.44 | $400.96 | $-0 -0.61% | |
| LONG | XLF | $57.78 | $57.80 | +$0 +0.03% | |
| LONG | USO | $122.09 | $125.92 | +$0 +3.14% | |
| LONG | EFA | $108.21 | $108.01 | $-0 -0.18% | |
| LONG | GLD | $397.71 | $402.54 | +$0 +1.21% | |
| LONG | XLV | $165.68 | $168.44 | +$0 +1.67% | |
| LONG | TLT | $82.40 | $82.06 | $-0 -0.41% | |
| LONG | XLF | $57.54 | $57.81 | +$0 +0.47% | |
| LONG | XLV | $163.92 | $165.68 | +$0 +1.07% | |
| LONG | USO | $117.67 | $117.98 | +$0 +0.26% | |
| LONG | EFA | $108.75 | $108.55 | $-0 -0.18% | |
| LONG | XLF | $57.61 | $57.60 | $-0 -0.02% | |
| LONG | TLT | $82.81 | $82.76 | $-0 -0.05% | |
| LONG | GLD | $399.60 | $398.47 | $-0 -0.28% | |
| LONG | USO | $116.46 | $118.87 | +$0 +2.07% | |
| LONG | XLV | $166.14 | $164.45 | $-0 -1.02% | |
| LONG | GLD | $389.50 | $389.67 | +$0 +0.04% | |
| LONG | TLT | $82.75 | $82.52 | $-0 -0.28% | |
| LONG | XLF | $58.38 | $57.81 | $-0 -0.98% | |
| LONG | EFA | $107.66 | $107.36 | $-0 -0.28% | |
| LONG | TLT | $82.94 | $83.00 | +$0 +0.07% | |
| LONG | XLV | $163.64 | $164.16 | +$0 +0.32% | |
| LONG | USO | $115.96 | $114.88 | $-0 -0.93% | |
| LONG | GLD | $384.96 | $389.64 | +$0 +1.22% | |
| LONG | EFA | $107.99 | $107.43 | $-0 -0.52% | |
| LONG | XLF | $58.18 | $58.00 | $-0 -0.31% | |
| LONG | XLV | $162.00 | $162.10 | +$0 +0.06% | |
| LONG | USO | $117.00 | $115.78 | $-0 -1.04% | |
| LONG | GLD | $374.14 | $374.16 | +$0 +0.01% | |
| LONG | EFA | $106.72 | $107.32 | +$0 +0.56% | |
| LONG | TLT | $82.64 | $82.82 | +$0 +0.21% | |
| LONG | XLF | $57.22 | $57.88 | +$0 +1.15% | |
| 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 | GLD | $369.61 | $369.37 | $-0 -0.06% | |
| LONG | XLV | $165.99 | $167.26 | +$0 +0.77% |