TSMOM Hybrid
Multi-asset time-series momentum ETF universe with max-Sharpe optimization and MA trend exits. MC-validated Aug 2026 — hybrid engine replaces rule-based TSMOM.
Diversification
24
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.
Returns appear after 7 daily snapshots (1 of 7 so far).
Account value
$445.98
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.
Expected Return
17–25%
annualized
Volatility
9–12%
annualized
Sharpe Ratio
2.1–2.4
risk-adjusted
Max Drawdown
-6% to -8%
historical reference
Trading Logic
End-of-day signals only — no day trading. See full trading logic documentation.
Rebalance Schedule
Daily (business days)
Drift > 5%
Min Holding
0 days
Before discretionary sells
Trend Filter
MA150 → SHY
Buy when MA stack aligned; exit to cash when broken
Risk Alerts
Defensive regime
VIX spike, DD halt — any business day
AI Rationale
Champion (full hybrid sweep): 10-asset CTA proxy universe incl. DBMF, MA150, 1y lookback, 40% cap, daily. Composite Sharpe 2.34, CAGR +19.1%, max DD −6.5%, block P5 Sharpe 1.37.
Bull Case
Diversified trend sleeves with optimizer tilts and DBMF diversifier; shallow drawdown vs rule-based TSMOM.
Bear Case
ETF proxy lacks futures diversification. 5y CAGR below 3y due to recent regime shifts.
Behavior During Downturns
MA150 per-sleeve exits and inverse-vol optimizer reduce equity beta in downtrends.
Holdings
Template asset universe with weights optimized for maximum risk-adjusted return using historical excess returns vs T-bills.