Portfolio Analysis

Equal-weight portfolio of 9 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.
1.10
Portfolio Sharpe
22.7%
Raw CAGR
20.4%
Raw Vol
-47.7%
Raw MaxDD
16.7%
Vol-Targeted CAGR (0.7x lever)
15.0%
Target Vol
-37.3%
Vol-Targeted MaxDD
9
Signals
36.8
Years
The portfolio's raw figures average across 9 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 0.7x 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_accel_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: 0.00 | OOS Sharpe: —
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: 0.54
AG-2 Long ETN+HUBB, Short NEE+AEP
Transformer lead times still >100 weeks — grid equipment demand exceeds supply
Tickers: ETN, HUBB, NEE, AEP
Sharpe: 0.00 | OOS Sharpe: —
AS-B Long MRVL+CRDO
Custom silicon regime trade — hyperscaler ASIC demand continues accelerating
Tickers: MRVL, CRDO
Sharpe: 0.00 | OOS Sharpe: —
AI-4 Short BF-B+STZ
GLP-1 adoption continues expanding — negative for spirits consumption
Tickers: BF-B, STZ
Sharpe: 0.00 | OOS Sharpe: —
AM-1 Long VLO+PSX+MPC
Hormuz disruption premium — entered Mar 2026
Tickers: VLO, PSX, MPC
Sharpe: 0.00 | OOS Sharpe: —
AE-2 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: 0.00 | OOS Sharpe: —

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 Freight trough Oct 2024 trade expired Oct 2025
AQ-1 Copper at $6.30/lb, well above marginal cost floor

Portfolio Components (9 signals)

IDNameSharpeOOS SharpeCAGRN DaysBH SigGroup
A14_btc_halvingA14 BTC halving cycle 1.201.20 49.8%4268 YES Cluster 2 (6 correlated signals)
AC-6AC-6 Saudi breakeven Brent bull 2.842.94 147.7%357 YES Independent
AE-1AE-1 0.00— 0.0%0 Cluster 3 (2 correlated signals)
AL-3AL-3 0.00— 0.0%0 Cluster 4 (2 correlated signals)
AR-1AR-1 0.00— 0.0%0 Cluster 5 (2 correlated signals)
H07_puell_multipleH07 Puell Multiple 0.870.83 28.7%3905 YES Cluster 6 (2 correlated signals)
PL1083_semis_relative_weakness_riskoffSemis relative weakness -> risk-off (SOXX) 0.760.99 15.5%5342 YES Independent
PL640_vvix_high_vix9d_low_short_spyVVIX High + VIX9D < VIX -> Short SPY (Convexity Buying Precedes Vol Spike) 0.880.90 35.8%4881 YES Independent
V3_felder_margin_debt_gdpV3 Felder margin-debt/GDP roll 0.780.93 11.2%7901 YES Cluster 1 (12 correlated signals)
Generated by build_portfolio.py. Full analysis | Signal catalog