Portfolio Analysis

Equal-weight portfolio of 31 uncorrelated winning signals vs SPY buy-and-hold

Signals Full Catalog Analysis
Not investment advice. All backtests use free public data with no transaction costs, slippage, or taxes. The "currently active" signals reflect mechanical rule-checking, not a recommendation to trade. Past performance is not predictive of future results. Do your own research.
1.06
Portfolio Sharpe
21.0%
Raw CAGR
19.9%
Raw Vol
-53.1%
Raw MaxDD
15.9%
Vol-Targeted CAGR (0.8x lever)
15.0%
Target Vol
-42.7%
Vol-Targeted MaxDD
31
Signals
36.6
Years
The portfolio's raw figures average across 31 signals, most of which sit in cash most of the time, so volatility (and CAGR) look small. The vol-targeted figures scale the same daily PnL stream up by 0.8x to match SPY-like 15% annual volatility — this is the apples-to-apples comparison.

Equity Curve

Portfolio (vol-targeted to 15%)
Portfolio (raw)
SPY Buy & Hold

Currently Active Signals

Signals whose trading rules are currently generating positions as of May 2026.

Ticker Summary

AEP
SHORT
1 signal
AG-2
AMSC
LONG
1 signal
AE-2
BF-B
SHORT
1 signal
AI-4
BTC-USD
LONG
1 signal
P6_howell_liquidity_btc
CRDO
LONG
1 signal
AS-B
ETN
LONG
1 signal
AE-2
HUBB
LONG
1 signal
AE-2
MOD
LONG
1 signal
AE-2
MPC
LONG
1 signal
AM-1
MRVL
LONG
1 signal
AS-B
NEE
SHORT
1 signal
AG-2
PSX
LONG
1 signal
AM-1
PWR
LONG
1 signal
AE-2
SPY
LONG
3 signals
V3_felder_margin_debt_gdp, C07_accel_dual_momentum, C08_yield_curve_10y2y
STZ
SHORT
1 signal
AI-4
VLO
LONG
1 signal
AM-1
VRT
LONG
1 signal
AE-2
V3 Felder margin-debt/GDP roll 100% SPY
Margin debt/GDP YoY is positive — fully invested
Tickers: SPY
Sharpe: 0.78 | OOS Sharpe: 0.93
C07 Accelerating Dual Momentum Long SPY
SPY has highest avg(1m,3m,6m) momentum at +9.0% vs SCZ +7.2% and TLT -2.8%
Tickers: SPY
Sharpe: 0.74 | OOS Sharpe: 0.63
C08 Yield curve (10Y-2Y) inversion timer 50% SPY (reduced)
10Y-2Y spread at +0.48, just below the +0.50 all-clear threshold after inversion
Tickers: SPY
Sharpe: 0.65 | OOS Sharpe: 0.86
P6 Howell Liquidity BTC Long BTC
Global CB liquidity proxy trending positive and accelerating
Tickers: BTC-USD
Sharpe: 1.04 | OOS Sharpe: 1.34
AG-2 from 2022-07-01 Long ETN+HUBB, Short NEE+AEP
Transformer lead times still >100 weeks — grid equipment demand exceeds supply
Tickers: ETN, HUBB, NEE, AEP
Sharpe: 0.66 | OOS Sharpe: 0.20
AS-B Custom Silicon Long MRVL+CRDO
Custom silicon regime trade — hyperscaler ASIC demand continues accelerating
Tickers: MRVL, CRDO
Sharpe: 1.58 | OOS Sharpe: 2.14
GLP-1 → Short BF-B+STZ Short BF-B+STZ
GLP-1 adoption continues expanding — negative for spirits consumption
Tickers: BF-B, STZ
Sharpe: 0.60 | OOS Sharpe: 0.71
AM-1 Hormuz Refiner Pair Long VLO+PSX+MPC
Hormuz disruption premium — entered Mar 2026
Tickers: VLO, PSX, MPC
Sharpe: 1.19 | OOS Sharpe: —
AE-2 Hyperscaler Capex → Power Infra Long ETN+VRT+PWR+HUBB+AMSC+MOD
All 4 hyperscalers reported capex >20% YoY in recent quarters — power infra beneficiaries
Tickers: ETN, VRT, PWR, HUBB, AMSC, MOD
Sharpe: 1.23 | OOS Sharpe: 0.52

Currently Flat

H07 Puell Multiple Puell Multiple between 0.5 and 3.0 — no trigger
A14 BTC halving cycle Last halving Apr 2024, H+18mo expired Oct 2025
AR-1 Carrier Exit → Long LTL Freight trough Oct 2024 trade expired Oct 2025
AQ-1 Copper Marginal Cost Floor Copper at $6.30/lb, well above marginal cost floor

Portfolio Components (31 signals)

IDNameSharpeOOS SharpeCAGRN DaysBH SigGroup
AC-4AC-4 India Union Budget defense tilt 1.43— 60.5%83 Independent
AC-6AC-6 Saudi breakeven Brent bull 2.842.94 147.7%357 YES Independent
AE-1AE-1 PJM BRA Spike 1.131.60 46.5%182 Cluster 3 (2 correlated signals)
AF-3AF-3 Freight Spike → Short Retail 0.89— 22.1%93 Independent
AG-5AG-5 Monsoon Failure → Sugar 1.461.95 54.0%254 Independent
AI-3Patent Cliff → Long ELV+CI 0.561.01 11.1%360 Independent
AI-4GLP-1 → Short BF-B+STZ 0.600.71 13.1%747 Independent
AJ-1Canada Wildfire → Long WOOD 2.332.67 38.8%120 Independent
AJ-4USDA G+E Drop → Long Corn 1.132.63 48.4%160 Independent
AK-2AK-2 FAA Hub Capacity Airline 0.951.06 39.2%171 Independent
AM-1AM-1 Hormuz Refiner Pair 1.19— 55.8%59 Independent
AQ-1AQ-1 Copper Marginal Cost Floor 1.791.42 45.8%756 YES Independent
AR-1AR-1 Carrier Exit → Long LTL 0.870.51 33.0%1009 Cluster 4 (2 correlated signals)
AR-3AR-3 Cass Freight YoY → Long LTL 2.582.20 97.7%251 Independent
F9_ustr_s301F9 USTR Section 301 comment-close basket 1.75— 37.2%60 Independent
G07_warn_act_layoffsG07 WARN Act short-event composite 0.942.72 26.0%219 Independent
H07_puell_multipleH07 Puell Multiple 0.870.78 28.7%3905 YES Cluster 5 (2 correlated signals)
L6_sec_nt_10kL6 SEC NT 10-K/Q short 21d 0.550.47 16.3%2772 Independent
O4_btc_mempoolO4 BTC mempool>90p -> long miners 20d 0.730.60 32.7%2360 Independent
O5_btc_difficulty_dropO5 BTC difficulty drop -> long miners 14d 0.800.81 32.5%2360 Independent
P6_howell_liquidity_btcP6 Howell Liquidity BTC 1.041.34 42.9%4269 YES Cluster 2 (6 correlated signals)
PL439_asce_water_grade_decline_utility_capexASCE Water Grade -> AWK Long 0.871.44 17.0%399 Independent
PL472_baltic_ffa_contango_drybulk_recoveryBDI Trough Recovery -> Dry Bulk Long 1.112.28 88.5%172 Independent
PL478_jolts_industry_divergence_sector_rotation_longJOLTS Divergence -> Sector Rotation 2.312.02 80.2%251 Independent
PL489_doe_iac_energy_efficiency_equipmentDOE IAC -> ROK+EMR Long 0.802.52 17.5%240 Independent
R-D11_short_interestFINRA SVR low-minus-high (sextile, monthly) 0.790.68 13.7%252 Independent
ST-3ST-3 Solar Tariff Pair 0.840.57 22.6%510 Independent
U15_china_antimony_licensesU15 China Sb licence backlog -> long PPTA+UAMY 30d 1.330.72 89.4%397 Independent
V3_felder_margin_debt_gdpV3 Felder margin-debt/GDP roll 0.780.93 11.2%7901 YES Cluster 1 (11 correlated signals)
Z4_wells_to_litigation_gapZ4 Wells->litigation gap short 120d 0.660.56 23.0%914 Independent
Z6_antitrust_reversionZ6 Antitrust reversion long 90d 0.700.84 16.4%1120 Independent
Generated by build_portfolio.py. Full analysis | Signal catalog