TSMOM CTA Proxy
Multi-asset time-series momentum with inverse-vol sizing across equity, rates, and commodity sleeves. Research-only (Aug 2026: block P5 Sharpe 0.18).
Diversification
85
Volatility Profile
Moderate
Horizon
5+ years
House Account Track Record
Forward performance on a separate virtual $1,000 research account since 8/26/2026. This is not your connected exchange account.
Research-only portfolio — follow the $1,000 demo house account below. Paper and live trading are not available.
Returns appear after 7 daily snapshots (1 of 7 so far).
Account value
$1,002.99
As of Aug 26, 2026 UTC
Total return
Cumulative since activation
—
Today's return
Since midnight UTC
—
Tracking days
1 / 7
Illustrative Reference Ranges
Live market backtest unavailable. Showing educational ranges only — not live performance or a forecast.
Research-only portfolio — failed walk-forward validation or structurally weak path robustness. Demo track record only; paper and live trading are not available.
Expected Return
8–15%
annualized
Volatility
10–14%
annualized
Sharpe Ratio
1.0–1.1
risk-adjusted
Max Drawdown
-14% to -17%
historical reference
Trading Logic
End-of-day signals only — no day trading. See full trading logic documentation.
Rebalance Schedule
Monthly (1st business day)
Drift > 5%
Min Holding
0 days
Before discretionary sells
Trend Filter
None
Buy-and-hold weights
Risk Alerts
Defensive regime
VIX spike, DD halt — any business day
AI Rationale
Champion: 12m sign, vol60 inverse weight, monthly rebalance. Composite Sharpe 1.35, block P5 0.18.
Bull Case
Diversified trend exposure across uncorrelated ETF sleeves.
Bear Case
ETF proxy lacks futures diversification; MC failed badly on 5y window.
Behavior During Downturns
Per-asset momentum sign exits to cash within each sleeve.
Holdings
Template allocation using real ETF and stock tickers.