Everything else on this site tries to forecast direction, and the scored record says direction is close to unforecastable at a one-week horizon. This page is the exception: a rule that makes no forecast at all and measured profitable anyway. It holds broad index ETFs, FX majors, commodity futures and the major coins, and sizes each one inversely to its own volatility, so the book’s risk stays steady instead of exploding whenever markets do. It borrows nothing.
Four decisions, each answered with a measurement rather than an opinion. All figures net of the same costs and financing as the headline.
Cadence barely matters — monthly scores as well as daily. What it changes is turnover, and turnover is the part you pay for.
Ignoring small drifts is free money: a 20% band cuts turnover by more than half and the Sharpe goes slightly up, because you stop paying to chase noise.
This is where shortcuts cost real money. Cutting to six instruments keeps most of the return but the worst drawdown goes from −15% to −24%. Diversification is the engine here, not the garnish — if you can only hold a few, expect a rougher ride.
The volatility target is the dial: Sharpe stays flat while return and drawdown scale together. Pick the drawdown you can actually sit through, not the return you would like.