Strategy dashboard

Read-only replication of published rule-based strategies. Signals are the mechanical output of public rules — not advice.

Signals know nothing about your position, horizon, taxes, or sleep. They are education about rules, not instructions about money.

Some execution notes specific to Chinese brokers are omitted in the English edition.

Data through: Jun 2026Generated: 2026-07-10 09:07:46 UTC

Strategy screener

The 13 strategies with a monthly NAV series, six metrics on one yardstick — click a header to sort. S1–S6 run live without a published NAV yet; their current signals live on their cards below. All figures come from the same monthly NAV data; see the metric definitions for the exact formulas.


Author live blend (multi-strategy)	Live	Feb 2009	+8.9%	6.1%	1.45	2.49	-5.8%	6.04
GTT Original	Tactical	Feb 2009	+14.1%	14.2%	0.99	1.47	-20.7%	2.61
60/40 Benchmark	Static	Feb 2009	+10.9%	9.3%	1.17	1.77	-20.0%	2.60
US Risk Parity TF	Tactical	Feb 2009	+4.8%	4.8%	0.99	1.69	-5.3%	2.57
Golden Butterfly	Static	Feb 2009	+9.1%	8.2%	1.11	1.74	-17.9%	2.41
Ivy Portfolio (Static)	Static	Feb 2009	+9.5%	11.2%	0.85	1.24	-18.2%	2.03
Accelerating Dual Momentum	Tactical	Feb 2009	+13.7%	13.7%	1.00	1.83	-24.8%	1.95
Permanent Portfolio	Static	Feb 2009	+7.5%	7.1%	1.05	1.76	-16.4%	1.93
GTAA 5	Tactical	Feb 2009	+5.5%	6.6%	0.84	1.24	-11.5%	1.56
All-Weather Portfolio	Static	Feb 2009	+7.4%	7.9%	0.93	1.41	-22.2%	1.23
DAA	Tactical	Feb 2009	+7.0%	7.3%	0.97	1.65	-18.5%	1.14
Traditional Dual Momentum	Tactical	Feb 2009	+8.4%	12.9%	0.65	0.95	-23.7%	1.10
VAA-Balanced	Tactical	Feb 2009	+6.0%	6.7%	0.89	1.38	-19.4%	0.90

Sharpe, Sortino and UPI use a 0% risk-free rate for cross-strategy comparability; absolute values run higher than cash-benchmarked versions.

Backtests and live strategies share this table; backtests skew optimistic, as the methodology page discloses. Ratio metrics are sensitive to sample period — discount comparisons across different start dates.

Static portfolios

Tactical strategies

Author live

Static portfolio

60/40 Benchmark

Fully replicable

Sixty percent stocks, forty percent bonds, rebalanced yearly — the pass mark and the benchmark everything else is measured against.

Current signal

Signal ≠ advice

A fixed recipe held to a rebalancing rule — it emits no market-driven signals.

Ticker	Asset	Target weight
SPY	US large cap (S&P 500)	60%
AGG	US aggregate bonds	40%

Rebalancing: Fixed recipe; replicated as month-end rebalancing back to target weights.

NAV (log scale)

Log axis; cumulative change from the window start

Hover or touch the chart for month-by-month readings.

NAV comes from a rule-based backtest, not live fills.

Underwater curve (follows the range switch above): how far NAV sits below its prior peak

The deeper the curve, the further below the prior peak; back to 0 means a new high. This strategy fell as far as -20.0%.

Metrics

Computed from monthly NAV · start Feb 2009

Metric	Value	How to read
CAGR	+10.9%	The whole return expressed as a steady annual compounding rate.details
Volatility	9.3%	How spread out the monthly returns are, annualized. Volatility itself has a cost.details
Sharpe	1.17	Annual return earned per unit of volatility. Risk-free rate set to 0.details
Sortino	1.77	Sharpe that only penalizes the downside: for the same return, less falling scores higher.details
Max drawdown	-20.0%	The largest drop from a peak to the following trough.details
UPI	2.60	Pain-adjusted return measured by underwater depth — deep, long drawdowns push it down.details

Sharpe, Sortino and UPI use a 0% risk-free rate for cross-strategy comparability; absolute values run higher than cash-benchmarked versions.

Longest underwater 26 months (Dec 2021–Feb 2024): the longest span from a prior peak back to a new high.

Replicability

Fully replicable — equivalent building blocks are available to retail investors.

The exact tools and conventions live on the How this site works page; examples are not recommendations.

Static portfolio

Permanent Portfolio

Fully replicable

Equal 25% in stocks, long bonds, gold, and cash — one guard on duty for each kind of weather.

Current signal

Signal ≠ advice

A fixed recipe held to a rebalancing rule — it emits no market-driven signals.

Ticker	Asset	Target weight
VTI	US total market	25%
TLT	Long-term Treasuries	25%
GLD	Gold	25%
BIL	Cash & T-bills	25%

Rebalancing: Fixed recipe; replicated as month-end rebalancing back to target weights.

NAV (log scale)

Log axis; cumulative change from the window start

Hover or touch the chart for month-by-month readings.

NAV comes from a rule-based backtest, not live fills.

Underwater curve (follows the range switch above): how far NAV sits below its prior peak

The deeper the curve, the further below the prior peak; back to 0 means a new high. This strategy fell as far as -16.4%.

Metrics

Computed from monthly NAV · start Feb 2009

Metric	Value	How to read
CAGR	+7.5%	The whole return expressed as a steady annual compounding rate.details
Volatility	7.1%	How spread out the monthly returns are, annualized. Volatility itself has a cost.details
Sharpe	1.05	Annual return earned per unit of volatility. Risk-free rate set to 0.details
Sortino	1.76	Sharpe that only penalizes the downside: for the same return, less falling scores higher.details
Max drawdown	-16.4%	The largest drop from a peak to the following trough.details
UPI	1.93	Pain-adjusted return measured by underwater depth — deep, long drawdowns push it down.details

Sharpe, Sortino and UPI use a 0% risk-free rate for cross-strategy comparability; absolute values run higher than cash-benchmarked versions.

Longest underwater 27 months (Dec 2021–Mar 2024): the longest span from a prior peak back to a new high.

Replicability

Fully replicable — equivalent building blocks are available to retail investors.

The exact tools and conventions live on the How this site works page; examples are not recommendations.

Static portfolio

Golden Butterfly

Approximate

A tuned Permanent Portfolio: double the equity, split into large cap and small-cap value, for a standout return-to-drawdown ratio.

Current signal

Signal ≠ advice

A fixed recipe held to a rebalancing rule — it emits no market-driven signals.

Ticker	Asset	Target weight
VTI	US total market	20%
IJS	US small-cap value	20%
TLT	Long-term Treasuries	20%
SHY	Short-term Treasuries	20%
GLD	Gold	20%

Rebalancing: Fixed recipe; replicated as month-end rebalancing back to target weights.

NAV (log scale)

Log axis; cumulative change from the window start

Hover or touch the chart for month-by-month readings.

NAV comes from a rule-based backtest, not live fills.

Underwater curve (follows the range switch above): how far NAV sits below its prior peak

The deeper the curve, the further below the prior peak; back to 0 means a new high. This strategy fell as far as -17.9%.

Metrics

Computed from monthly NAV · start Feb 2009

Metric	Value	How to read
CAGR	+9.1%	The whole return expressed as a steady annual compounding rate.details
Volatility	8.2%	How spread out the monthly returns are, annualized. Volatility itself has a cost.details
Sharpe	1.11	Annual return earned per unit of volatility. Risk-free rate set to 0.details
Sortino	1.74	Sharpe that only penalizes the downside: for the same return, less falling scores higher.details
Max drawdown	-17.9%	The largest drop from a peak to the following trough.details
UPI	2.41	Pain-adjusted return measured by underwater depth — deep, long drawdowns push it down.details

Sharpe, Sortino and UPI use a 0% risk-free rate for cross-strategy comparability; absolute values run higher than cash-benchmarked versions.

Longest underwater 27 months (Dec 2021–Mar 2024): the longest span from a prior peak back to a new high.

Replicability

Approximate — some sleeves use QDII or proxy instruments, so expect tracking lag and drift.

The exact tools and conventions live on the How this site works page; examples are not recommendations.

Static portfolio

All-Weather Portfolio

Approximate

Dalio's public simplified version: weights set by risk budget, with bonds making up more than half.

Current signal

Signal ≠ advice

A fixed recipe held to a rebalancing rule — it emits no market-driven signals.

Ticker	Asset	Target weight
VTI	US total market	30%
TLT	Long-term Treasuries	40%
IEF	Intermediate Treasuries	15%
GLD	Gold	7.5%
DBC	Commodities	7.5%

Rebalancing: Fixed recipe; replicated as month-end rebalancing back to target weights.

NAV (log scale)

Log axis; cumulative change from the window start

Hover or touch the chart for month-by-month readings.

NAV comes from a rule-based backtest, not live fills.

Underwater curve (follows the range switch above): how far NAV sits below its prior peak

The deeper the curve, the further below the prior peak; back to 0 means a new high. This strategy fell as far as -22.2%.

Metrics

Computed from monthly NAV · start Feb 2009

Metric	Value	How to read
CAGR	+7.4%	The whole return expressed as a steady annual compounding rate.details
Volatility	7.9%	How spread out the monthly returns are, annualized. Volatility itself has a cost.details
Sharpe	0.93	Annual return earned per unit of volatility. Risk-free rate set to 0.details
Sortino	1.41	Sharpe that only penalizes the downside: for the same return, less falling scores higher.details
Max drawdown	-22.2%	The largest drop from a peak to the following trough.details
UPI	1.23	Pain-adjusted return measured by underwater depth — deep, long drawdowns push it down.details

Sharpe, Sortino and UPI use a 0% risk-free rate for cross-strategy comparability; absolute values run higher than cash-benchmarked versions.

Longest underwater 45 months (Dec 2021–Sep 2025): the longest span from a prior peak back to a new high.

Replicability

Approximate — some sleeves use QDII or proxy instruments, so expect tracking lag and drift.

The exact tools and conventions live on the How this site works page; examples are not recommendations.

Static portfolio

Ivy Portfolio (Static)

Approximate

Five equal slices — US, foreign, bonds, real estate, commodities — the endowment idea in a retail wrapper.

Current signal

Signal ≠ advice

A fixed recipe held to a rebalancing rule — it emits no market-driven signals.

Ticker	Asset	Target weight
VTI	US total market	20%
VEA	Developed markets	20%
VNQ	Real estate (REITs)	20%
IEF	Intermediate Treasuries	20%
DBC	Commodities	20%

Rebalancing: Fixed recipe; replicated as month-end rebalancing back to target weights.

NAV (log scale)

Log axis; cumulative change from the window start

Hover or touch the chart for month-by-month readings.

NAV comes from a rule-based backtest, not live fills.

Underwater curve (follows the range switch above): how far NAV sits below its prior peak

The deeper the curve, the further below the prior peak; back to 0 means a new high. This strategy fell as far as -18.2%.

Metrics

Computed from monthly NAV · start Feb 2009

Metric	Value	How to read
CAGR	+9.5%	The whole return expressed as a steady annual compounding rate.details
Volatility	11.2%	How spread out the monthly returns are, annualized. Volatility itself has a cost.details
Sharpe	0.85	Annual return earned per unit of volatility. Risk-free rate set to 0.details
Sortino	1.24	Sharpe that only penalizes the downside: for the same return, less falling scores higher.details
Max drawdown	-18.2%	The largest drop from a peak to the following trough.details
UPI	2.03	Pain-adjusted return measured by underwater depth — deep, long drawdowns push it down.details

Sharpe, Sortino and UPI use a 0% risk-free rate for cross-strategy comparability; absolute values run higher than cash-benchmarked versions.

Longest underwater 32 months (Jun 2014–Feb 2017): the longest span from a prior peak back to a new high.

Replicability

Approximate — some sleeves use QDII or proxy instruments, so expect tracking lag and drift.

The exact tools and conventions live on the How this site works page; examples are not recommendations.

Trend following

GTAA 5

Approximate

Faber's 10-month moving average over five asset classes: hold while above the line, move to cash when it breaks.

Current signal

Signal ≠ advice

Current signalSignal date: 2026-06-30Risk state: Unlabeled

Locked in at the last month-end close and held for the current month.

Ticker	Asset	Target weight
SPY	US large cap (S&P 500)	20%
VEU	World ex-US equity	20%
BIL	Cash & T-bills	20%
VNQ	Real estate (REITs)	20%
DBC	Commodities	20%

Live previewData through: 2026-07-10Risk state: Unlabeled

Recomputed on the latest prices. It only counts at the month-end close and can flip until then.

Matches the current signal.

Rebalancing: Checked each month-end against the 10-month moving average: hold above the line, move to cash below.

Signal ≠ advice. What you see is the mechanical output of a public rule, not a buy or sell order for any account.

NAV (log scale)

Log axis; cumulative change from the window start

Hover or touch the chart for month-by-month readings.

NAV comes from a rule-based backtest, not live fills.

Underwater curve (follows the range switch above): how far NAV sits below its prior peak

The deeper the curve, the further below the prior peak; back to 0 means a new high. This strategy fell as far as -11.5%.

Metrics

Computed from monthly NAV · start Feb 2009

Metric	Value	How to read
CAGR	+5.5%	The whole return expressed as a steady annual compounding rate.details
Volatility	6.6%	How spread out the monthly returns are, annualized. Volatility itself has a cost.details
Sharpe	0.84	Annual return earned per unit of volatility. Risk-free rate set to 0.details
Sortino	1.24	Sharpe that only penalizes the downside: for the same return, less falling scores higher.details
Max drawdown	-11.5%	The largest drop from a peak to the following trough.details
UPI	1.56	Pain-adjusted return measured by underwater depth — deep, long drawdowns push it down.details

Sharpe, Sortino and UPI use a 0% risk-free rate for cross-strategy comparability; absolute values run higher than cash-benchmarked versions.

Longest underwater 37 months (Apr 2011–May 2014): the longest span from a prior peak back to a new high.

Replicability

Approximate — some sleeves use QDII or proxy instruments, so expect tracking lag and drift.

The exact tools and conventions live on the How this site works page; examples are not recommendations.

Momentum rotation

Traditional Dual Momentum

Approximate

Antonacci's dual momentum: first pick the stronger of US and foreign stocks, then check whether it beats cash.

Current signal

Signal ≠ advice

Current signalSignal date: 2026-06-30Risk state: Unlabeled

Locked in at the last month-end close and held for the current month.

Ticker	Asset	Target weight
VEA	Developed markets	100%

Live previewData through: 2026-07-10Risk state: Unlabeled

Recomputed on the latest prices. It only counts at the month-end close and can flip until then.

Matches the current signal.

Rebalancing: Each month-end, compare relative and absolute momentum, then switch holdings.

Signal ≠ advice. What you see is the mechanical output of a public rule, not a buy or sell order for any account.

NAV (log scale)

Log axis; cumulative change from the window start

Hover or touch the chart for month-by-month readings.

NAV comes from a rule-based backtest, not live fills.

Underwater curve (follows the range switch above): how far NAV sits below its prior peak

The deeper the curve, the further below the prior peak; back to 0 means a new high. This strategy fell as far as -23.7%.

Metrics

Computed from monthly NAV · start Feb 2009

Metric	Value	How to read
CAGR	+8.4%	The whole return expressed as a steady annual compounding rate.details
Volatility	12.9%	How spread out the monthly returns are, annualized. Volatility itself has a cost.details
Sharpe	0.65	Annual return earned per unit of volatility. Risk-free rate set to 0.details
Sortino	0.95	Sharpe that only penalizes the downside: for the same return, less falling scores higher.details
Max drawdown	-23.7%	The largest drop from a peak to the following trough.details
UPI	1.10	Pain-adjusted return measured by underwater depth — deep, long drawdowns push it down.details

Sharpe, Sortino and UPI use a 0% risk-free rate for cross-strategy comparability; absolute values run higher than cash-benchmarked versions.

Longest underwater 30 months (Dec 2021–Jun 2024): the longest span from a prior peak back to a new high.

Replicability

Approximate — some sleeves use QDII or proxy instruments, so expect tracking lag and drift.

The exact tools and conventions live on the How this site works page; examples are not recommendations.

Momentum rotation

Accelerating Dual Momentum

Approximate

Accelerating momentum: blend 1-, 3-, and 6-month momentum — quicker to switch, but more whipsaw.

Current signal

Signal ≠ advice

Current signalSignal date: 2026-06-30Risk state: Unlabeled

Locked in at the last month-end close and held for the current month.

Ticker	Asset	Target weight
SPY	US large cap (S&P 500)	100%

Live previewData through: 2026-07-10Risk state: Unlabeled

Recomputed on the latest prices. It only counts at the month-end close and can flip until then.

Matches the current signal.

Rebalancing: Each month-end, re-score on 1-, 3-, and 6-month momentum and switch.

Signal ≠ advice. What you see is the mechanical output of a public rule, not a buy or sell order for any account.

NAV (log scale)

Log axis; cumulative change from the window start

Hover or touch the chart for month-by-month readings.

NAV comes from a rule-based backtest, not live fills.

Underwater curve (follows the range switch above): how far NAV sits below its prior peak

The deeper the curve, the further below the prior peak; back to 0 means a new high. This strategy fell as far as -24.8%.

Metrics

Computed from monthly NAV · start Feb 2009

Metric	Value	How to read
CAGR	+13.7%	The whole return expressed as a steady annual compounding rate.details
Volatility	13.7%	How spread out the monthly returns are, annualized. Volatility itself has a cost.details
Sharpe	1.00	Annual return earned per unit of volatility. Risk-free rate set to 0.details
Sortino	1.83	Sharpe that only penalizes the downside: for the same return, less falling scores higher.details
Max drawdown	-24.8%	The largest drop from a peak to the following trough.details
UPI	1.95	Pain-adjusted return measured by underwater depth — deep, long drawdowns push it down.details

Sharpe, Sortino and UPI use a 0% risk-free rate for cross-strategy comparability; absolute values run higher than cash-benchmarked versions.

Longest underwater 33 months (Dec 2021–Sep 2024): the longest span from a prior peak back to a new high.

Replicability

Approximate — some sleeves use QDII or proxy instruments, so expect tracking lag and drift.

The exact tools and conventions live on the How this site works page; examples are not recommendations.

Canary defense

VAA-Balanced

Approximate

Keller's canary family: pull back the moment the warning assets weaken — aggressive on drawdown control.

Current signal

Signal ≠ advice

Current signalSignal date: 2026-06-30Risk state: Unlabeled

Locked in at the last month-end close and held for the current month.

Ticker	Asset	Target weight
VEA	Developed markets	6.7%
VNQ	Real estate (REITs)	6.7%
SPY	US large cap (S&P 500)	6.7%
VWO	Emerging market equity	6.7%
TLT	Long-term Treasuries	6.7%
LQD	Investment-grade corporates	67%

Live previewData through: 2026-07-10Risk state: Unlabeled

Recomputed on the latest prices. It only counts at the month-end close and can flip until then.

Ticker	Asset	Target weight
SHY	Short-term Treasuries	100%

Rebalancing: Each month-end, read the warning assets' momentum to go offense or defense, then switch.

Signal ≠ advice. What you see is the mechanical output of a public rule, not a buy or sell order for any account.

NAV (log scale)

Log axis; cumulative change from the window start

Hover or touch the chart for month-by-month readings.

NAV comes from a rule-based backtest, not live fills.

Underwater curve (follows the range switch above): how far NAV sits below its prior peak

The deeper the curve, the further below the prior peak; back to 0 means a new high. This strategy fell as far as -19.4%.

Metrics

Computed from monthly NAV · start Feb 2009

Metric	Value	How to read
CAGR	+6.0%	The whole return expressed as a steady annual compounding rate.details
Volatility	6.7%	How spread out the monthly returns are, annualized. Volatility itself has a cost.details
Sharpe	0.89	Annual return earned per unit of volatility. Risk-free rate set to 0.details
Sortino	1.38	Sharpe that only penalizes the downside: for the same return, less falling scores higher.details
Max drawdown	-19.4%	The largest drop from a peak to the following trough.details
UPI	0.90	Pain-adjusted return measured by underwater depth — deep, long drawdowns push it down.details

Sharpe, Sortino and UPI use a 0% risk-free rate for cross-strategy comparability; absolute values run higher than cash-benchmarked versions.

Longest underwater 52 months (Aug 2021–Dec 2025): the longest span from a prior peak back to a new high.

Replicability

Approximate — some sleeves use QDII or proxy instruments, so expect tracking lag and drift.

The exact tools and conventions live on the How this site works page; examples are not recommendations.

Canary defense

DAA

Approximate

Defensive Asset Allocation: canaries raise graded alarms, rotating between an offense pool and a defense pool.

Current signal

Signal ≠ advice

Current signalSignal date: 2026-06-30Risk state: Risk-on

Locked in at the last month-end close and held for the current month.

Ticker	Asset	Target weight
VEA	Developed markets	17%
VNQ	Real estate (REITs)	17%
SPY	US large cap (S&P 500)	17%
VWO	Emerging market equity	17%
TLT	Long-term Treasuries	17%
HYG	High-yield corporates	17%

Live previewData through: 2026-07-10Risk state: Half defensive

Recomputed on the latest prices. It only counts at the month-end close and can flip until then.

Ticker	Asset	Target weight
SPY	US large cap (S&P 500)	17%
VEA	Developed markets	17%
DBC	Commodities	17%
SHY	Short-term Treasuries	50%

Rebalancing: Each month-end, rotate between offense and defense pools by the canary alarm level.

Signal ≠ advice. What you see is the mechanical output of a public rule, not a buy or sell order for any account.

NAV (log scale)

Log axis; cumulative change from the window start

Hover or touch the chart for month-by-month readings.

NAV comes from a rule-based backtest, not live fills.

Underwater curve (follows the range switch above): how far NAV sits below its prior peak

The deeper the curve, the further below the prior peak; back to 0 means a new high. This strategy fell as far as -18.5%.

Metrics

Computed from monthly NAV · start Feb 2009

Metric	Value	How to read
CAGR	+7.0%	The whole return expressed as a steady annual compounding rate.details
Volatility	7.3%	How spread out the monthly returns are, annualized. Volatility itself has a cost.details
Sharpe	0.97	Annual return earned per unit of volatility. Risk-free rate set to 0.details
Sortino	1.65	Sharpe that only penalizes the downside: for the same return, less falling scores higher.details
Max drawdown	-18.5%	The largest drop from a peak to the following trough.details
UPI	1.14	Pain-adjusted return measured by underwater depth — deep, long drawdowns push it down.details

Sharpe, Sortino and UPI use a 0% risk-free rate for cross-strategy comparability; absolute values run higher than cash-benchmarked versions.

Longest underwater 49 months (Aug 2021–Sep 2025): the longest span from a prior peak back to a new high.

Replicability

Approximate — some sleeves use QDII or proxy instruments, so expect tracking lag and drift.

The exact tools and conventions live on the How this site works page; examples are not recommendations.

Macro + trend

GTT Original

Approximate

Growth-Trend: exit only when a macro gauge deteriorates and price breaks its line — two filters against false signals.

Current signal

Signal ≠ advice

Current signalSignal date: 2026-06-30Risk state: Unlabeled

Locked in at the last month-end close and held for the current month.

Ticker	Asset	Target weight
SPY	US large cap (S&P 500)	100%

Live previewData through: 2026-07-10Risk state: Unlabeled

Recomputed on the latest prices. It only counts at the month-end close and can flip until then.

Matches the current signal.

Rebalancing: Each month-end, check the macro gauge and price trend; exit only when both deteriorate.

Signal ≠ advice. What you see is the mechanical output of a public rule, not a buy or sell order for any account.

NAV (log scale)

Log axis; cumulative change from the window start

Hover or touch the chart for month-by-month readings.

NAV comes from a rule-based backtest, not live fills.

Underwater curve (follows the range switch above): how far NAV sits below its prior peak

The deeper the curve, the further below the prior peak; back to 0 means a new high. This strategy fell as far as -20.7%.

Metrics

Computed from monthly NAV · start Feb 2009

Metric	Value	How to read
CAGR	+14.1%	The whole return expressed as a steady annual compounding rate.details
Volatility	14.2%	How spread out the monthly returns are, annualized. Volatility itself has a cost.details
Sharpe	0.99	Annual return earned per unit of volatility. Risk-free rate set to 0.details
Sortino	1.47	Sharpe that only penalizes the downside: for the same return, less falling scores higher.details
Max drawdown	-20.7%	The largest drop from a peak to the following trough.details
UPI	2.61	Pain-adjusted return measured by underwater depth — deep, long drawdowns push it down.details

Sharpe, Sortino and UPI use a 0% risk-free rate for cross-strategy comparability; absolute values run higher than cash-benchmarked versions.

Longest underwater 24 months (Dec 2021–Dec 2023): the longest span from a prior peak back to a new high.

Replicability

Approximate — some sleeves use QDII or proxy instruments, so expect tracking lag and drift.

The exact tools and conventions live on the How this site works page; examples are not recommendations.

Risk parity

US Risk Parity TF

HK/US only

Risk parity with a trend filter: weight by volatility, cut leverage when price breaks trend.

Current signal

Signal ≠ advice

Current signalSignal date: 2026-06-30Risk state: Unlabeled

Locked in at the last month-end close and held for the current month.

Ticker	Asset	Target weight
SPY	US large cap (S&P 500)	19%
BIL	Cash & T-bills	69%
DBC	Commodities	11%

Live previewData through: 2026-07-10Risk state: Unlabeled

Recomputed on the latest prices. It only counts at the month-end close and can flip until then.

Ticker	Asset	Target weight
SPY	US large cap (S&P 500)	19%
BIL	Cash & T-bills	69%
DBC	Commodities	11%

Rebalancing: Each month-end, recompute weights by volatility and cut leverage on a trend break.

Signal ≠ advice. What you see is the mechanical output of a public rule, not a buy or sell order for any account.

NAV (log scale)

Log axis; cumulative change from the window start

Hover or touch the chart for month-by-month readings.

NAV comes from a rule-based backtest, not live fills.

Underwater curve (follows the range switch above): how far NAV sits below its prior peak

The deeper the curve, the further below the prior peak; back to 0 means a new high. This strategy fell as far as -5.3%.

Metrics

Computed from monthly NAV · start Feb 2009

Metric	Value	How to read
CAGR	+4.8%	The whole return expressed as a steady annual compounding rate.details
Volatility	4.8%	How spread out the monthly returns are, annualized. Volatility itself has a cost.details
Sharpe	0.99	Annual return earned per unit of volatility. Risk-free rate set to 0.details
Sortino	1.69	Sharpe that only penalizes the downside: for the same return, less falling scores higher.details
Max drawdown	-5.3%	The largest drop from a peak to the following trough.details
UPI	2.57	Pain-adjusted return measured by underwater depth — deep, long drawdowns push it down.details

Sharpe, Sortino and UPI use a 0% risk-free rate for cross-strategy comparability; absolute values run higher than cash-benchmarked versions.

Longest underwater 27 months (Aug 2011–Nov 2013): the longest span from a prior peak back to a new high.

Replicability

HK/US markets only — relies on instruments or data not available onshore in China.

The exact tools and conventions live on the How this site works page; examples are not recommendations.

Multi-strategy

Author live blend (multi-strategy)

Run live by the authorApproximate

The S1–S6 strategies run together at set weights: low mutual correlation lets them hedge one another.

Current signal

Signal ≠ advice

This is a historical replication exhibit; the page does not track its live holdings.

Rebalancing: Each sub-strategy emits a month-end signal; the blend rebalances to preset weights at month-end.

NAV (log scale)

Log axis; cumulative change from the window start

Hover or touch the chart for month-by-month readings.

NAV comes from a rule-based backtest, not live fills.

Underwater curve (follows the range switch above): how far NAV sits below its prior peak

The deeper the curve, the further below the prior peak; back to 0 means a new high. This strategy fell as far as -5.8%.

Metrics

Computed from monthly NAV · start Feb 2009

Metric	Value	How to read
CAGR	+8.9%	The whole return expressed as a steady annual compounding rate.details
Volatility	6.1%	How spread out the monthly returns are, annualized. Volatility itself has a cost.details
Sharpe	1.45	Annual return earned per unit of volatility. Risk-free rate set to 0.details
Sortino	2.49	Sharpe that only penalizes the downside: for the same return, less falling scores higher.details
Max drawdown	-5.8%	The largest drop from a peak to the following trough.details
UPI	6.04	Pain-adjusted return measured by underwater depth — deep, long drawdowns push it down.details

Sharpe, Sortino and UPI use a 0% risk-free rate for cross-strategy comparability; absolute values run higher than cash-benchmarked versions.

Longest underwater 15 months (Apr 2011–Jul 2012): the longest span from a prior peak back to a new high.

Replicability

Approximate — some sleeves use QDII or proxy instruments, so expect tracking lag and drift.

The exact tools and conventions live on the How this site works page; examples are not recommendations.

Canary defense

S1 Canary Multi-Asset

Run live by the authorApproximate

Canary multi-asset: TIPS act as the sentinel; while healthy, hold the top four of the offense pool.

Current signal

Signal ≠ advice

Current signalSignal date: 2026-06-30Risk state: Risk-on

Locked in at the last month-end close and held for the current month.

Ticker	Asset	Target weight
EEM	Emerging market equity	25%
IWM	US small cap (Russell 2000)	25%
SPY	US large cap (S&P 500)	25%
EFA	Developed ex-US equity	25%

Live previewData through: 2026-07-10Risk state: Risk-off

Recomputed on the latest prices. It only counts at the month-end close and can flip until then.

Ticker	Asset	Target weight
BIL	Cash & T-bills	100%

Rebalancing: One signal at month-end; rebalanced at the start of the next month.

Signal ≠ advice. What you see is the mechanical output of a public rule, not a buy or sell order for any account.

NAV (log scale)

Log axis; cumulative change from the window start

No NAV series yet; only the rule signal and fields are shown.

Replicability

Approximate — some sleeves use QDII or proxy instruments, so expect tracking lag and drift.

The exact tools and conventions live on the How this site works page; examples are not recommendations.

Canary defense

S2 Defense-First

Run live by the authorApproximate

Defense-first: take the top three of the defense pool by momentum, always holding commodities and gold, with just ten percent equity.

Current signal

Signal ≠ advice

Current signalSignal date: 2026-06-30Risk state: Unlabeled

Locked in at the last month-end close and held for the current month.

Ticker	Asset	Target weight
PDBC	Commodities	50%
UUP	US dollar index	38%
SPY	US large cap (S&P 500)	13%

Live previewData through: 2026-07-10Risk state: Unlabeled

Recomputed on the latest prices. It only counts at the month-end close and can flip until then.

Matches the current signal.

Rebalancing: One signal at month-end; rebalanced at the start of the next month.

Signal ≠ advice. What you see is the mechanical output of a public rule, not a buy or sell order for any account.

NAV (log scale)

Log axis; cumulative change from the window start

No NAV series yet; only the rule signal and fields are shown.

Replicability

Approximate — some sleeves use QDII or proxy instruments, so expect tracking lag and drift.

The exact tools and conventions live on the How this site works page; examples are not recommendations.

Canary defense

S3 NTSX Canary

Run live by the authorHK/US only

NTSX canary: while both sentinels are healthy, hold the 90/60 stock-bond leveraged fund; otherwise retreat.

Current signal

Signal ≠ advice

Current signalSignal date: 2026-06-30Risk state: Risk-on

Locked in at the last month-end close and held for the current month.

Ticker	Asset	Target weight
NTSX	US 90/60 stock-bond fund	100%

Live previewData through: 2026-07-10Risk state: Risk-off

Recomputed on the latest prices. It only counts at the month-end close and can flip until then.

Ticker	Asset	Target weight
BIL	Cash & T-bills	100%

Rebalancing: One signal at month-end; rebalanced at the start of the next month.

Signal ≠ advice. What you see is the mechanical output of a public rule, not a buy or sell order for any account.

NAV (log scale)

Log axis; cumulative change from the window start

No NAV series yet; only the rule signal and fields are shown.

Replicability

HK/US markets only — relies on instruments or data not available onshore in China.

The exact tools and conventions live on the How this site works page; examples are not recommendations.

Macro + trend

S4 Cyclical Dual Momentum

Run live by the authorHK/US only

Cyclical dual momentum: an OECD leading indicator sets the risk switch, then compare US against foreign stocks.

Current signal

Signal ≠ advice

Current signalSignal date: 2026-06-30Risk state: Risk-on

Locked in at the last month-end close and held for the current month.

Ticker	Asset	Target weight
SPY	US large cap (S&P 500)	100%

Live previewData through: 2026-07-10Risk state: Risk-on

Recomputed on the latest prices. It only counts at the month-end close and can flip until then.

Ticker	Asset	Target weight
IEFA	Developed ex-US equity	100%

Rebalancing: One signal at month-end; rebalanced at the start of the next month.

Signal ≠ advice. What you see is the mechanical output of a public rule, not a buy or sell order for any account.

NAV (log scale)

Log axis; cumulative change from the window start

No NAV series yet; only the rule signal and fields are shown.

Replicability

HK/US markets only — relies on instruments or data not available onshore in China.

The exact tools and conventions live on the How this site works page; examples are not recommendations.

Macro + trend

S5 GTT Original

Run live by the authorHK/US only

Growth-Trend original: exit only when retail sales and industrial production both deteriorate and price breaks the line.

Current signal

Signal ≠ advice

Current signalSignal date: 2026-06-30Risk state: Economy healthy

Locked in at the last month-end close and held for the current month.

Ticker	Asset	Target weight
SPY	US large cap (S&P 500)	100%

Live previewData through: 2026-07-10Risk state: Economy healthy

Recomputed on the latest prices. It only counts at the month-end close and can flip until then.

Matches the current signal.

Rebalancing: One signal at month-end; rebalanced at the start of the next month.

Signal ≠ advice. What you see is the mechanical output of a public rule, not a buy or sell order for any account.

NAV (log scale)

Log axis; cumulative change from the window start

No NAV series yet; only the rule signal and fields are shown.

Replicability

HK/US markets only — relies on instruments or data not available onshore in China.

The exact tools and conventions live on the How this site works page; examples are not recommendations.

Macro + trend

S5 GTT Unemployment

Run live by the authorHK/US only

Growth-Trend unemployment version: an unemployment rate crossing above its moving average is the macro alarm.

Current signal

Signal ≠ advice

Current signalSignal date: 2026-06-30Risk state: Employment improving

Locked in at the last month-end close and held for the current month.

Ticker	Asset	Target weight
SPY	US large cap (S&P 500)	100%

Live previewData through: 2026-07-10Risk state: Employment improving

Recomputed on the latest prices. It only counts at the month-end close and can flip until then.

Matches the current signal.

Rebalancing: One signal at month-end; rebalanced at the start of the next month.

Signal ≠ advice. What you see is the mechanical output of a public rule, not a buy or sell order for any account.

NAV (log scale)

Log axis; cumulative change from the window start

No NAV series yet; only the rule signal and fields are shown.

Replicability

HK/US markets only — relies on instruments or data not available onshore in China.

The exact tools and conventions live on the How this site works page; examples are not recommendations.

Canary defense

S6 HAA Simplified

Run live by the authorApproximate

A simplified take on Keller's 2023 HAA: while both sentinels are healthy, go all-in on US equity; otherwise retreat to bonds.

Current signal

Signal ≠ advice

Current signalSignal date: 2026-06-30Risk state: Risk-on

Locked in at the last month-end close and held for the current month.

Ticker	Asset	Target weight
SPY	US large cap (S&P 500)	100%

Live previewData through: 2026-07-10Risk state: Risk-off

Recomputed on the latest prices. It only counts at the month-end close and can flip until then.

Ticker	Asset	Target weight
BIL	Cash & T-bills	100%

Rebalancing: One signal at month-end; rebalanced at the start of the next month.

Signal ≠ advice. What you see is the mechanical output of a public rule, not a buy or sell order for any account.

NAV (log scale)

Log axis; cumulative change from the window start

No NAV series yet; only the rule signal and fields are shown.

Replicability

Approximate — some sleeves use QDII or proxy instruments, so expect tracking lag and drift.

The exact tools and conventions live on the How this site works page; examples are not recommendations.