QQQ Bond Gold
QQQ, intermediate Treasuries, gold, and managed futures. Max-Sharpe, SMA200, weekly rebalance, and a static trail on each sleeve. Growth-gate pass on the 5-year path ending Sep 24 2026 (block P5 0.92).
Diversification
6
Volatility Profile
14.0%
2-year backtest
Horizon
5+ years
Historical Performance
Simulated. 2.0-year daily MA200 + trails QQQ 8%, IEF 6%, GLD 12%, DBMF 12%, re-enter on rebalance → SHY trend filter at stated weights; next-open fills; paper one-way costs (15 bps) on entries/exits (2 holdings, as of 2026-09-23). Not a live track record — paper and house-account blotters are the forward book.
Annualized Return
+22.0%
2-year backtest
Volatility
14.0%
annualized
Net Sharpe
1.43
after paper fee + slippage
Max Drawdown
-10.1%
backtested
Sortino Ratio
2.02
return / downside vol
Gross Sharpe
1.47
before paper fee + slippage
VaR 95% (1-day)
-1.39%
historical, 5th-pctile day
CVaR 95% (1-day)
-2.11%
expected shortfall
Trading Logic
End-of-day signals only — no day trading. See full trading logic documentation.
Rebalance Schedule
Weekly (Mondays)
Drift > 5%
Min Holding
0 days
Before discretionary sells
Trend Filter
MA200 + trails QQQ 8%, IEF 6%, GLD 12%, DBMF 12%, re-enter on rebalance → SHY
Buy when MA stack aligned; exit to cash when broken
Risk Alerts
Defensive regime
VIX spike, DD halt — any business day
AI Rationale
Sep 24 2026 research book, promoted when the growth gate moved to block P5 0.9. QQQ / IEF / GLD / DBMF, MA200, 2y lookback, 40% cap, weekly. Trails held until the next rebalance: QQQ 8%, IEF 6%, GLD 12%, DBMF 12%. Next-open + 15 bps, 1,253 days: Sharpe 1.53, CAGR +19.6%, max DD −9.4%, block P5 0.92. DBMF lists from 2019, so this window is most of that fund's life.
Bull Case
QQQ supplies the growth. IEF, gold, and managed futures are the sleeves that were less bad in the 2022 blocks. The trails cut the worst drop to about 9%.
Bear Case
The trails were chosen on this same five-year path. A later window can miss 0.9. DBMF does not have a long history before 2019.
Behavior During Downturns
A sleeve exits on its own trail and stays in cash until the next weekly rebalance if it is back above SMA200.
Holdings
Template asset universe with weights optimized for maximum risk-adjusted return using historical excess returns vs T-bills.