{
 "generated": "2026-08-24 04:20 UTC",
 "rule": "Hold all 21 assets long. Size each one inversely to its own recent volatility (EWMA, span 60) at a 20% annual volatility target per leg, capped at 1x so the book never borrows. Check weekly and trade a leg only when its target has drifted more than 20%. No forecast is used.",
 "backtest": {
  "period": "2015-08-03 to 2026-08-03",
  "universe": "index ETFs + BTC/ETH/LTC + FX majors + commodity futures",
  "sharpe": 1.108,
  "cagr_pct": 9.19,
  "vol_pct": 8.2,
  "max_drawdown_pct": 14.1,
  "t_stat": 3.71,
  "holdout_sharpe": 1.449,
  "buy_hold_sharpe": 0.783,
  "buy_hold_cagr_pct": 15.19,
  "buy_hold_max_drawdown_pct": 41.3,
  "levered_variant_sharpe": 0.89,
  "assumptions": {
   "costs_bps_per_side": {
    "crypto": 20,
    "equity": 5,
    "forex": 2,
    "commodities": 10
   },
   "financing_apr_on_borrowed": 0.05,
   "weekdays_only": true,
   "signal_lag_days": 1
  },
  "correction_note": "An earlier version of this page showed Sharpe 1.07 and 12.2% a year. That backtest used a universe picked in 2026 \u2014 eight hand-picked mega-caps and coins that did not exist in 2016 \u2014 which is hindsight worth +0.20 of Sharpe. These figures use index ETFs and 2016-era coins instead, charge 5% financing on any borrowed exposure, and are lower and correct.",
  "note": "Buy-and-hold made more money (15.2% a year) and took nearly three times the drawdown (-41.3% vs -14.1%) to do it. What the method contributes is the risk, not the return: in 2018 the book lost 8.2% against 27.3%, and in 2022 it lost 4.7% while buy-and-hold was flat."
 },
 "weights": [
  {
   "asset": "SPY",
   "name": "S&P 500 (SPY)",
   "class": "equity",
   "spot": 765.719971,
   "vol_annual_pct": 12.8,
   "exposure_pct": 4.76,
   "leg_leverage": 1.0,
   "capped": true
  },
  {
   "asset": "IWM",
   "name": "US small caps (IWM)",
   "class": "equity",
   "spot": 299.959991,
   "vol_annual_pct": 16.1,
   "exposure_pct": 4.76,
   "leg_leverage": 1.0,
   "capped": true
  },
  {
   "asset": "EFA",
   "name": "Developed ex-US (EFA)",
   "class": "equity",
   "spot": 108.239998,
   "vol_annual_pct": 14.8,
   "exposure_pct": 4.76,
   "leg_leverage": 1.0,
   "capped": true
  },
  {
   "asset": "EURUSD=X",
   "name": "EUR/USD",
   "class": "forex",
   "spot": 1.168224,
   "vol_annual_pct": 4.8,
   "exposure_pct": 4.76,
   "leg_leverage": 1.0,
   "capped": true
  },
  {
   "asset": "GBPUSD=X",
   "name": "GBP/USD",
   "class": "forex",
   "spot": 1.364517,
   "vol_annual_pct": 5.6,
   "exposure_pct": 4.76,
   "leg_leverage": 1.0,
   "capped": true
  },
  {
   "asset": "USDJPY=X",
   "name": "USD/JPY",
   "class": "forex",
   "spot": 158.899002,
   "vol_annual_pct": 7.5,
   "exposure_pct": 4.76,
   "leg_leverage": 1.0,
   "capped": true
  },
  {
   "asset": "AUDUSD=X",
   "name": "AUD/USD",
   "class": "forex",
   "spot": 0.716692,
   "vol_annual_pct": 7.0,
   "exposure_pct": 4.76,
   "leg_leverage": 1.0,
   "capped": true
  },
  {
   "asset": "USDCHF=X",
   "name": "USD/CHF",
   "class": "forex",
   "spot": 0.8004,
   "vol_annual_pct": 7.8,
   "exposure_pct": 4.76,
   "leg_leverage": 1.0,
   "capped": true
  },
  {
   "asset": "USDCAD=X",
   "name": "USD/CAD",
   "class": "forex",
   "spot": 1.37963,
   "vol_annual_pct": 4.1,
   "exposure_pct": 4.76,
   "leg_leverage": 1.0,
   "capped": true
  },
  {
   "asset": "QQQ",
   "name": "Nasdaq 100 (QQQ)",
   "class": "equity",
   "spot": 713.440002,
   "vol_annual_pct": 22.8,
   "exposure_pct": 4.17,
   "leg_leverage": 0.88,
   "capped": false
  },
  {
   "asset": "GC=F",
   "name": "Gold",
   "class": "commodities",
   "spot": 4690.299805,
   "vol_annual_pct": 24.7,
   "exposure_pct": 3.86,
   "leg_leverage": 0.81,
   "capped": false
  },
  {
   "asset": "EEM",
   "name": "Emerging markets (EEM)",
   "class": "equity",
   "spot": 67.120003,
   "vol_annual_pct": 29.0,
   "exposure_pct": 3.29,
   "leg_leverage": 0.69,
   "capped": false
  },
  {
   "asset": "BTC/USDT",
   "name": "Bitcoin",
   "class": "crypto",
   "spot": 77190.21,
   "vol_annual_pct": 36.2,
   "exposure_pct": 2.63,
   "leg_leverage": 0.55,
   "capped": false
  },
  {
   "asset": "PL=F",
   "name": "Platinum",
   "class": "commodities",
   "spot": 1894.300049,
   "vol_annual_pct": 39.8,
   "exposure_pct": 2.39,
   "leg_leverage": 0.5,
   "capped": false
  },
  {
   "asset": "LTC/USDT",
   "name": "Litecoin",
   "class": "crypto",
   "spot": 51.99,
   "vol_annual_pct": 40.5,
   "exposure_pct": 2.35,
   "leg_leverage": 0.49,
   "capped": false
  },
  {
   "asset": "PA=F",
   "name": "Palladium",
   "class": "commodities",
   "spot": 1355.0,
   "vol_annual_pct": 42.0,
   "exposure_pct": 2.27,
   "leg_leverage": 0.48,
   "capped": false
  },
  {
   "asset": "NG=F",
   "name": "Natural Gas",
   "class": "commodities",
   "spot": 2.774,
   "vol_annual_pct": 44.6,
   "exposure_pct": 2.13,
   "leg_leverage": 0.45,
   "capped": false
  },
  {
   "asset": "SI=F",
   "name": "Silver",
   "class": "commodities",
   "spot": 68.870003,
   "vol_annual_pct": 44.6,
   "exposure_pct": 2.13,
   "leg_leverage": 0.45,
   "capped": false
  },
  {
   "asset": "KC=F",
   "name": "Coffee",
   "class": "commodities",
   "spot": 358.75,
   "vol_annual_pct": 50.9,
   "exposure_pct": 1.87,
   "leg_leverage": 0.39,
   "capped": false
  },
  {
   "asset": "CL=F",
   "name": "Crude Oil WTI",
   "class": "commodities",
   "spot": 85.650002,
   "vol_annual_pct": 54.6,
   "exposure_pct": 1.75,
   "leg_leverage": 0.37,
   "capped": false
  },
  {
   "asset": "ETH/USDT",
   "name": "Ethereum",
   "class": "crypto",
   "spot": 2443.94,
   "vol_annual_pct": 56.6,
   "exposure_pct": 1.68,
   "leg_leverage": 0.35,
   "capped": false
  }
 ],
 "gross_exposure_pct": 73.4,
 "by_class_exposure_pct": {
  "crypto": 6.66,
  "equity": 21.74,
  "forex": 28.56,
  "commodities": 16.4
 },
 "caveats": [
  "Gross exposure is 73.4% of capital: the quiet legs are levered up to the volatility target, capped at 1x each. That leverage is part of what was backtested \u2014 running the book unlevered gives a lower return and a lower Sharpe.",
  "Long-only: this book carries market risk and will lose money in a broad selloff.",
  "Daily rebalancing is assumed; less frequent rebalancing changes the result.",
  "Past performance is a measurement, not a promise. Not financial advice."
 ]
}