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.
Live ensemble target × current market price = round-lot share targets.
| asset | action | shares | price | amount |
|---|---|---|---|---|
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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.
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.
Holdings, marked to current price. Rebalance log, manually entered or auto-recorded.
| asset | qty | cost | price | mv | w% | p&l |
|---|---|---|---|---|---|---|
| no positions — enter INIT + BUY to populate | ||||||
| date | action | asset | qty | price | amount | |
|---|---|---|---|---|---|---|
| no entries | ||||||
Copy and paste into any LLM for independent backtest or audit. Endpoint /api/strategy always serves the live version.
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