V2 DD-6.5% defense · PV-7.5%/5d capture · 5-phase ensemble

Quant rotation, finally honest..

Three ETFs. One ensemble across five phases. Drawdown filter prunes inverted-V exposure; trough-rebound filter captures positive-V entries that lookback momentum misses. Backed by ~200 candidates and bootstrap-significant OOS.

total ¥—
today p&l ¥—
cumulative p&l ¥—
today's phase P— 14:50
// hypothetical capital ¥
// orders

Today's plan.

Live ensemble target × current market price = round-lot share targets.

Order of the day

assetactionsharespriceamount
loading…
// ensemble

Five phases.

Each phase holds 1/5 of capital. One phase rebalances each trading day; the other four hold their last weights. Total target = the equal-weighted mean. mod-5 rotation removes single-day entry-timing risk.

// signals

Twenty-day R over sigma.

Per-asset momentum, volatility, score and trigger status. DD-6.5% blocks the long when peak-to-trough exceeds threshold. PV-7.5%/5d injects entry when trough-rebound exceeds threshold despite negative window return.

// positions

Book.

Holdings, marked to current price. Rebalance log, manually entered or auto-recorded.

Holdings

assetqtycostpricemvw%p&l
no positions — enter INIT + BUY to populate

Rebalance log

dateactionassetqtypriceamount
no entries
// docs

The whole strategy, in markdown.

Copy and paste into any LLM for independent backtest or audit. Endpoint /api/strategy always serves the live version.

strategy.md

loading…