{ "policy": { "version": "30-20-25-25-sleeve-leverage-v1", "stage": "research_only_not_production", "cutoff": "2026-11-03", "long_start": "2007-05-30", "capital_weights": { "SPY": 0.3, "IEF": 0.2, "GLD": 0.25, "variable": 0.25 }, "capital_vs_exposure": "Weights allocate own capital. Exposure=capital weight times sleeve multiplier; debt=sum exposures minus1. SPY and equity-like variable sleeves remain1x at rebalance. Account collateral remains shared; equity is not isolated from portfolio losses.", "variable_candidates": [ "XLU", "VNQ", "IGF", "DBC" ], "fallback": "BIL", "fixed_controls": [ "BIL", "XLU", "VNQ", "DBC", "IGF" ], "rotation": "At first trading close of month, choose highest trailing252-session total return above BIL, measured through previous close. A candidate needs its own full252-session history. Otherwise BIL. No historical AI narratives or future winning sectors.", "daily_variant": "Same lagged252-day scores, check daily. Switch if current excess return<=0, or challenger exceeds current by at least5 percentage points. Enter a positive winner from BIL. Monthly rebalance still occurs.", "leverage_eligible": [ "IEF", "GLD", "DBC" ], "never_lever": [ "SPY", "QQQ", "XLU", "VNQ", "IGF", "IFRA", "BIL" ], "adaptive_rule": "At monthly allocation or actual rotation, compare each eligible asset trailing252-return annual volatility to SPY. If trailing-window max drawdown<=10% and volatility lower than SPY, multiplier=min(2,SPYvol/ownvol), otherwise1. Historical full-sample drawdown never used to assign leverage.", "adaptive_gross_cap": 1.6, "sleeve_cap": 2.0, "gross_guard": 1.8, "guard": "If portfolio post-close gross exposure/NAV exceeds1.8, reset all sleeves to1x next close; stay unlevered until next monthly rebalance. Not a broker margin simulation; gaps can bypass thresholds.", "fixed_leverage_control": "IEF2x only; SPY/GLD/variable1x. Gross target1.2, debt20% of equity.", "funding": "DFF with observation date strictly before previous trading close plus1.5pp annual spread, ACT/360 actual calendar days, compounded cash/debt. Cash credit uses laggedDFF. Borrowing cost is assumption not a broker quote.", "cost_bps": 5, "capital_usd": 100000, "execution": "Signals through prior close, execution at current close, new holdings earn only subsequent returns. Fractional total-return units; no final liquidation fee.", "sensitivity": [ "momentum126days", "drawdown_gate5%/15%", "sleeve_cap1.5", "funding_spread0.5pp/3pp", "transaction_cost0/20bps", "monthly_rule_quarterly_review" ], "robustness": [ "original baseline unchanged", "standalone returns including pre-cost descriptive history", "same-period baseline", "calendar years including2008/2020/2022", "rolling10y", "retrospective chronological halves", "entry2010/2015/2020", "independent Linux replay", "causality prefix test" ], "limits": [ "USD nominal; investor tax and FX omitted; expenses embedded in fund prices not double deducted", "Shorter maturity does not necessarily increase bond total return; leverage requires returns above funding costs", "XLU is broad utilities, not pure AI power; VNQ and infrastructure are equity-like, variable equity can make total equity55%", "Data vendor revision, survivorship and retrospectively chosen candidate-universe bias persist even with lagged signals", "Price rotation is a reproducible proxy, not a backtest of AI macro forecasting skill", "Whole-period low drawdown does not guarantee future safety; leverage magnifies losses", "Research comparison not a change to live policy or a broker order" ] }, "source_hashes": { "market-candidates.sqlite3": "85cca7cd4e4371703d47416a122dd8b7f4b7e220bad9e37b05766ae34f3e7071", "market-income.sqlite3": "cf1deed38a337cd56e88bbbcee260faa810950b9bca0e3d2b95a751b30b89cf5", "funding-history.sqlite3": "d7c0f38cd1f31683b115726215782bef5a72387278370a684ef268fc7fcd5090" }, "standalone": { "SPY": { "start": "2007-05-30", "end": "2026-11-03", "years": 19.430926028597437, "final_value": 701736.4958668699, "total_return": 6.0173649586687, "cagr": 0.10547213271530453, "annualized_volatility": 0.19653850177595888, "max_drawdown": -0.5518946653145416, "max_dd_peak": "2007-10-09", "max_dd_trough": "2009-03-09", "max_dd_recovery": "2012-08-16", "max_dd_peak_to_recovery_days": 1773, "longest_underwater_calendar_days": 1772, "longest_underwater_start": "2007-10-09", "longest_underwater_last_below": "2012-08-15", "category": "US equity", "source_snapshot": "market-candidates.sqlite3", "full_history": { "start": "1993-01-29", "end": "2026-11-03", "years": 33.76113130317529, "final_value": 3136131.05031626, "total_return": 30.361310503162603, "cagr": 0.10744709318513346, "annualized_volatility": 0.18512162454519782, "max_drawdown": -0.5518946653145416, "max_dd_peak": "2007-10-09", "max_dd_trough": "2009-03-09", "max_dd_recovery": "2012-08-16", "max_dd_peak_to_recovery_days": 1773, "longest_underwater_calendar_days": 2406, "longest_underwater_start": "2000-03-24", "longest_underwater_last_below": "2006-10-25" } }, "QQQ": { "start": "2007-05-30", "end": "2026-11-03", "years": 19.430926028597437, "final_value": 1695995.658663145, "total_return": 15.95995658663145, "cagr": 0.15683533724196086, "annualized_volatility": 0.22331688205215286, "max_drawdown": -0.5340401786616675, "max_dd_peak": "2007-10-31", "max_dd_trough": "2008-11-20", "max_dd_recovery": "2010-12-08", "max_dd_peak_to_recovery_days": 1134, "longest_underwater_calendar_days": 1133, "longest_underwater_start": "2007-10-31", "longest_underwater_last_below": "2010-12-07", "category": "US growth equity", "source_snapshot": "market-candidates.sqlite3", "full_history": { "start": "1999-03-10", "end": "2026-11-03", "years": 27.652860770583928, "final_value": 1594331.8969954764, "total_return": 14.943318969954765, "cagr": 0.10532095182230283, "annualized_volatility": 0.2687504517452018, "max_drawdown": -0.8296391008036275, "max_dd_peak": "2000-03-27", "max_dd_trough": "2002-10-09", "max_dd_recovery": "2015-02-20", "max_dd_peak_to_recovery_days": 5443, "longest_underwater_calendar_days": 5442, "longest_underwater_start": "2000-03-27", "longest_underwater_last_below": "2015-02-19" } }, "VTI": { "start": "2007-05-30", "end": "2026-11-03", "years": 19.430926028597437, "final_value": 690526.2542400172, "total_return": 5.9052625424001715, "cagr": 0.10455631825473133, "annualized_volatility": 0.1984317866714594, "max_drawdown": -0.5545377787918175, "max_dd_peak": "2007-10-09", "max_dd_trough": "2009-03-09", "max_dd_recovery": "2012-03-13", "max_dd_peak_to_recovery_days": 1617, "longest_underwater_calendar_days": 1616, "longest_underwater_start": "2007-10-09", "longest_underwater_last_below": "2012-03-12", "category": "US total equity", "source_snapshot": "market-candidates.sqlite3", "full_history": { "start": "2001-06-15", "end": "2026-11-03", "years": 25.385873768797442, "final_value": 1039164.7338823193, "total_return": 9.391647338823192, "cagr": 0.09660246625444402, "annualized_volatility": 0.190089110374244, "max_drawdown": -0.5545377787918174, "max_dd_peak": "2007-10-09", "max_dd_trough": "2009-03-09", "max_dd_recovery": "2012-03-13", "max_dd_peak_to_recovery_days": 1617, "longest_underwater_calendar_days": 1616, "longest_underwater_start": "2007-10-09", "longest_underwater_last_below": "2012-03-12" } }, "VT": { "start": "2008-06-26", "end": "2026-11-03", "years": 18.354928574850955, "final_value": 459223.42812343064, "total_return": 3.5922342812343064, "cagr": 0.08659553665888398, "annualized_volatility": 0.20410234133288224, "max_drawdown": -0.5026419232117115, "max_dd_peak": "2008-06-26", "max_dd_trough": "2009-03-09", "max_dd_recovery": "2010-12-29", "max_dd_peak_to_recovery_days": 916, "longest_underwater_calendar_days": 915, "longest_underwater_start": "2008-06-26", "longest_underwater_last_below": "2010-12-28", "category": "global equity", "source_snapshot": "market-candidates.sqlite3", "full_history": { "start": "2008-06-26", "end": "2026-11-03", "years": 18.354928574850955, "final_value": 459223.42812343064, "total_return": 3.5922342812343064, "cagr": 0.08659553665888398, "annualized_volatility": 0.20410234133288224, "max_drawdown": -0.5026419232117115, "max_dd_peak": "2008-06-26", "max_dd_trough": "2009-03-09", "max_dd_recovery": "2010-12-29", "max_dd_peak_to_recovery_days": 916, "longest_underwater_calendar_days": 915, "longest_underwater_start": "2008-06-26", "longest_underwater_last_below": "2010-12-28" } }, "VEA": { "start": "2007-07-26", "end": "2026-11-03", "years": 19.274865329199095, "final_value": 258034.13697642705, "total_return": 1.5803413697642705, "cagr": 0.0504085260573226, "annualized_volatility": 0.21463081842426643, "max_drawdown": -0.6069235211158914, "max_dd_peak": "2007-10-31", "max_dd_trough": "2009-03-09", "max_dd_recovery": "2014-05-27", "max_dd_peak_to_recovery_days": 2400, "longest_underwater_calendar_days": 2396, "longest_underwater_start": "2007-10-31", "longest_underwater_last_below": "2014-05-23", "category": "developed ex-US equity", "source_snapshot": "market-candidates.sqlite3", "full_history": { "start": "2007-07-26", "end": "2026-11-03", "years": 19.274865329199095, "final_value": 258034.13697642705, "total_return": 1.5803413697642705, "cagr": 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"2005-03-10", "end": "2026-11-03", "years": 21.651368611265116, "final_value": 387410.4189870788, "total_return": 2.8741041898707884, "cagr": 0.06454873483173884, "annualized_volatility": 0.2600251948058701, "max_drawdown": -0.6768326775695709, "max_dd_peak": "2007-10-31", "max_dd_trough": "2008-11-20", "max_dd_recovery": "2017-09-11", "max_dd_peak_to_recovery_days": 3603, "longest_underwater_calendar_days": 3600, "longest_underwater_start": "2007-10-31", "longest_underwater_last_below": "2017-09-08" } }, "TLT": { "start": "2007-05-30", "end": "2026-11-03", "years": 19.430926028597437, "final_value": 171098.44841771052, "total_return": 0.7109844841771051, "cagr": 0.028025429733037566, "annualized_volatility": 0.1512548213037545, "max_drawdown": -0.4835113163993193, "max_dd_peak": "2020-08-04", "max_dd_trough": "2023-10-19", "max_dd_recovery": null, "max_dd_peak_to_recovery_days": null, "longest_underwater_calendar_days": 2282, "longest_underwater_start": "2020-08-04", "longest_underwater_last_below": "2026-11-03", "category": "long US Treasury", "source_snapshot": "market-candidates.sqlite3", "full_history": { "start": "2002-07-30", "end": "2026-11-03", "years": 24.263331895932154, "final_value": 228121.27844475198, "total_return": 1.2812127844475198, "cagr": 0.034574114825829616, "annualized_volatility": 0.1424778025732528, "max_drawdown": -0.48351131639931944, "max_dd_peak": "2020-08-04", "max_dd_trough": "2023-10-19", "max_dd_recovery": null, "max_dd_peak_to_recovery_days": null, "longest_underwater_calendar_days": 2282, "longest_underwater_start": "2020-08-04", "longest_underwater_last_below": "2026-11-03" } }, "IEF": { "start": "2007-05-30", "end": "2026-11-03", "years": 19.430926028597437, "final_value": 181657.86087333036, "total_return": 0.8165786087333036, "cagr": 0.031198681294676733, "annualized_volatility": 0.06963598763034506, "max_drawdown": -0.2392479409303333, "max_dd_peak": "2020-08-04", "max_dd_trough": "2023-10-19", 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