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
+$105
+1.21% on $8,680 deployed
REGIME PAUSED
VIX 14.9
PERFORMANCE
RETURN
+1.21%
+$105 on capital deployed
SHARPE
2.03
annualized
WIN RATE
51.94%
201W / 185L
MAX DD
-1.12%
worst drawdown
REALIZED P&L
+$25
387 closed trades
UNREALIZED P&L
+$79
480 open positions
LONG EXPOSURE
$4,362
net +$3,859
SHORT EXPOSURE
$503
gross $4,865
Last scan: 8/20/2026, 10:17:17 AM
Next scan: in 3h 11m (22:00 UTC weekday)
Open Positions480 held · live MTM
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Recent Closed Tradeslast 100 closed · most recent first
| SIDE | TICKER | ENTRY | EXIT | PROFIT | |
|---|---|---|---|---|---|
| SHORT | COIN | $150.73 | $160.20 | $-1 -6.28% | |
| SHORT | ALAB | $348.36 | $289.02 | +$2 +17.04% | |
| SHORT | COST | $956.99 | $956.99 | +$0 +0.00% | |
| LONG | XLV | $172.47 | $175.68 | +$0 +1.86% | |
| LONG | GLD | $408.81 | $413.84 | +$0 +1.23% | |
| LONG | XLF | $57.88 | $57.48 | $-0 -0.69% | |
| LONG | EFA | $107.87 | $107.66 | $-0 -0.19% | |
| SHORT | TSLA | $323.65 | $351.12 | $-1 -8.49% | |
| SHORT | AAPL | $309.36 | $316.83 | $-0 -2.41% | |
| SHORT | NVDA | $211.49 | $219.74 | $-0 -3.90% | |
| LONG | XLF | $57.73 | $57.84 | +$0 +0.19% | |
| LONG | EFA | $107.75 | $107.27 | $-0 -0.45% | |
| LONG | GLD | $402.55 | $398.55 | $-0 -0.99% | |
| SHORT | TSLA | $324.03 | $336.87 | $-0 -3.96% | |
| SHORT | AVGO | $402.97 | $380.00 | +$1 +5.70% | |
| SHORT | MU | $865.39 | $940.76 | $-1 -8.71% | |
| LONG | XLV | $168.67 | $169.73 | +$0 +0.63% | |
| SHORT | COST | $945.00 | $961.35 | $-0 -1.73% | |
| SHORT | MSTR | $92.01 | $97.68 | $-1 -6.16% | |
| SHORT | MU | $786.35 | $1011.75 | $-3 -28.66% | |
| LONG | GLD | $402.33 | $405.49 | +$0 +0.78% | |
| LONG | EFA | $108.66 | $108.45 | $-0 -0.19% | |
| LONG | XLF | $57.96 | $57.58 | $-0 -0.66% | |
| SHORT | CRWD | $194.04 | $213.90 | $-1 -10.24% | |
| LONG | XLV | $166.45 | $167.05 | +$0 +0.36% | |
| SHORT | ALAB | $297.50 | $320.17 | $-1 -7.62% | |
| SHORT | CLS | $321.48 | $340.40 | $-1 -5.89% | |
| LONG | XLF | $58.22 | $58.16 | $-0 -0.10% | |
| SHORT | SMCI | $28.65 | $39.84 | $-4 -39.06% | |
| LONG | EFA | $108.76 | $108.64 | $-0 -0.11% | |
| SHORT | CLS | $364.52 | $335.05 | +$1 +8.09% | |
| SHORT | COST | $946.49 | $961.10 | $-0 -1.54% | |
| LONG | GLD | $402.18 | $401.48 | $-0 -0.17% | |
| SHORT | ARM | $258.15 | $279.44 | $-1 -8.25% | |
| SHORT | CVNA | $62.12 | $75.59 | $-2 -21.68% | |
| LONG | XLV | $167.66 | $167.37 | $-0 -0.17% | |
| SHORT | CVS | $105.00 | $94.99 | +$1 +9.53% | |
| SHORT | MDB | $319.10 | $472.29 | $-5 -48.01% | |
| SHORT | CAR | $153.11 | $136.99 | +$1 +10.53% | |
| SHORT | SHOP | $126.00 | $158.53 | $-3 -25.82% | |
| SHORT | WMT | $112.00 | $115.72 | $-0 -3.32% | |
| LONG | XLF | $58.19 | $58.26 | +$0 +0.12% | |
| LONG | EFA | $108.67 | $108.69 | +$0 +0.02% | |
| LONG | GLD | $402.17 | $398.96 | $-0 -0.80% | |
| LONG | XLV | $169.49 | $168.38 | $-0 -0.65% | |
| SHORT | CAR | $150.07 | $139.58 | +$1 +6.99% | |
| SHORT | MDB | $309.99 | $437.83 | $-4 -41.24% | |
| SHORT | CVS | $110.00 | $94.72 | +$1 +13.89% | |
| SHORT | WMT | $113.48 | $116.01 | $-0 -2.23% | |
| LONG | EFA | $108.75 | $108.50 | $-0 -0.23% | |
| LONG | XLF | $57.83 | $57.92 | +$0 +0.16% | |
| LONG | GLD | $405.31 | $404.92 | $-0 -0.10% | |
| LONG | XLV | $166.42 | $168.44 | +$0 +1.21% | |
| SHORT | SHOP | $129.04 | $150.41 | $-2 -16.56% | |
| LONG | GLD | $403.44 | $400.96 | $-0 -0.61% | |
| LONG | XLV | $168.28 | $168.01 | $-0 -0.16% | |
| LONG | XLF | $57.78 | $57.80 | +$0 +0.03% | |
| SHORT | LLY | $1217.60 | $1215.02 | +$0 +0.21% | |
| LONG | EFA | $108.44 | $108.09 | $-0 -0.32% | |
| SHORT | COHR | $257.28 | $328.57 | $-3 -27.71% | |
| SHORT | COST | $970.55 | $944.32 | +$0 +2.70% | |
| SHORT | NVDA | $194.95 | $217.50 | $-1 -11.57% | |
| SHORT | MSTR | $95.47 | $96.09 | $-0 -0.65% | |
| SHORT | MSTR | $94.55 | $97.33 | $-0 -2.94% | |
| LONG | EFA | $108.21 | $108.01 | $-0 -0.18% | |
| SHORT | COHR | $282.12 | $325.15 | $-2 -15.25% | |
| SHORT | COST | $938.11 | $952.75 | $-0 -1.56% | |
| SHORT | NVDA | $208.11 | $217.55 | $-0 -4.54% | |
| SHORT | LLY | $1201.00 | $1231.94 | $-0 -2.58% | |
| LONG | XLF | $57.54 | $57.81 | +$0 +0.47% | |
| LONG | GLD | $397.71 | $402.54 | +$0 +1.21% | |
| LONG | XLV | $165.68 | $168.44 | +$0 +1.67% | |
| LONG | XLV | $163.92 | $165.68 | +$0 +1.07% | |
| LONG | EFA | $108.75 | $108.55 | $-0 -0.18% | |
| SHORT | WDC | $538.40 | $434.30 | +$2 +19.33% | |
| SHORT | AVGO | $387.92 | $427.76 | $-1 -10.27% | |
| SHORT | ACN | $142.50 | $175.72 | $-2 -23.31% | |
| SHORT | NVDA | $207.56 | $223.96 | $-1 -7.90% | |
| LONG | GLD | $399.60 | $398.47 | $-0 -0.28% | |
| LONG | XLF | $57.61 | $57.60 | $-0 -0.02% | |
| SHORT | AVGO | $392.19 | $420.57 | $-1 -7.24% | |
| SHORT | MSTR | $97.06 | $96.85 | +$0 +0.21% | |
| SHORT | META | $608.41 | $589.90 | +$0 +3.04% | |
| SHORT | MU | $975.23 | $881.47 | +$1 +9.61% | |
| SHORT | NVDA | $209.40 | $218.99 | $-0 -4.58% | |
| LONG | EFA | $107.66 | $107.36 | $-0 -0.28% | |
| LONG | GLD | $389.50 | $389.67 | +$0 +0.04% | |
| LONG | XLF | $58.38 | $57.81 | $-0 -0.98% | |
| LONG | XLV | $166.14 | $164.45 | $-0 -1.02% | |
| SHORT | CIEN | $396.95 | $408.83 | $-0 -2.99% | |
| SHORT | NVDA | $205.80 | $219.22 | $-1 -6.52% | |
| SHORT | SNOW | $269.95 | $316.84 | $-2 -17.37% | |
| SHORT | MSTR | $100.21 | $98.37 | +$0 +1.84% | |
| SHORT | AAOI | $114.99 | $128.56 | $-1 -11.81% | |
| LONG | EFA | $107.99 | $107.43 | $-0 -0.52% | |
| LONG | XLF | $58.18 | $58.00 | $-0 -0.31% | |
| LONG | XLV | $163.64 | $164.16 | +$0 +0.32% | |
| LONG | GLD | $384.96 | $389.64 | +$0 +1.22% | |
| SHORT | NVDA | $207.54 | $211.94 | $-0 -2.12% | |
| SHORT | SHOP | $120.97 | $123.30 | $-0 -1.93% |