RUNNING
Monthly SPY exposure scaled down after high realized variance and up after low variance.
DEFAULT MARKETSPY
BAR INTERVAL1d
GROSS EXPOSURE2.0x
PAPER CASH$99,986.51
REALIZED P&L$-13.49
PROMOTION AUDIT
No AI qualification submitted
This strategy keeps its course or research provenance. A normal backtest snapshot cannot award the AI-generated label.
NOT TESTEDLocked evidenceRequires 100+ trades over 180+ untouched calendar days.
NOT TESTEDCost survivalMust beat exposure-matched Buy & Hold at 4 and 8 bps.
NOT TESTEDIntraday flatnessEvery position must close within its trading session.
NOT TESTEDImmutable provenanceExact algorithm, dataset, and trade-ledger SHA-256 fingerprints are mandatory.
How the strategy works
Realized variance is persistent, while expected return does not rise proportionally with it. The model therefore takes less SPY exposure after turbulent months and more after calm months, using only information available at the rebalance.
Concrete example
If last month's variance is twice its historical median, next-month exposure is roughly 0.5×. If it is half the median, exposure reaches the 2.0× cap.
Published research
Moreira & Muir — Volatility Managed Portfolios
Published evidence motivates this candidate; it does not guarantee this implementation will pass our current sample.
Exact algorithm
- Measure realized daily-return variance in the completed month.
- Scale next-month exposure by inverse variance relative to its expanding historical median.
- Cap exposure between 0.1× and 2.0×.
- Rebalance monthly with no future volatility information.
Required data: ohlcv
Where it may work—and where it can fail
Main risks
- Leverage after calm periods can meet sudden shocks
- Monthly estimates are noisy
- Financing costs are omitted
- Caps change the source portfolio's payoff
“Best conditions” is an interpretation of the strategy's mechanism, not an additional course entry rule and not a performance guarantee.
Forward paper transactions
| Entry | Side | Entry price | Exit | Exit price | Capital basis | Gross notional | Outcome | P&L |
|---|---|---|---|---|---|---|---|---|
| 2026-09-01 00:00:00+00:00 | LONG | 762.01 | 2026-09-01 00:00:00+00:00 | 761.72 | $10,000.00 | $17,284.82 | MISS | $-13.49 |
Capital basis is allocated paper equity. Gross notional uses the exposure stored with that exact fill; legacy fills with no recorded exposure are shown as unknown. A new semantic paper generation archives the prior run and restarts the forward clock.
Archived paper versions
Read-only prior runs preserve their executable manifest, balances, and fills. They never contribute to the active clock, cash, or qualification.
| Version | Market | Exposure | Allocation | Cost | Code hash | Started | Archived | Fills | Starting cash | Ending cash | Realized P&L | Final status |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| legacy-v1 | unknown · unknown | unknown | unknown | unknown | legacy | 2026-08-16T16:54:09.212635+00:00 | 2026-08-16T22:55:46.896810+00:00 | 0 | $100,000.00 | $100,000.00 | $+0.00 | running |
TRADES114
AVERAGE TRADE+67.26 bps
STRATEGY 2.0x / BUY & HOLD 1x+101.36% / +315.11%
VS 1x REFERENCE-213.75% · MATCHED B&H UNAVAILABLE
DRAWDOWN: STRATEGY / B&H+21.60% / +33.72%
Leverage reality check
Exposure-matched Buy & Hold is unavailable because a complete, same-window adjusted daily benchmark was not available. No leverage-adjusted outperformance claim can be made.
HITS / MISSES77 / 37
HIT RATE+67.54%
AVG HIT / MISS+2.29% / -2.69%
LONGEST MISS STREAK3
Rolling 70/30 diagnostic
This moving 70/30 split is a dashboard diagnostic, not frozen qualification evidence. It cannot award AI-qualified status.
Candles and execution signals
▲ BUY▼ SELLHover a candle or marker for exact values
Shows the latest 120 available bars. BUY/SELL marks strategy entries and exits whose timestamps fall in this visible window.
Historical equity curve
Compounds each encoded net trade sequentially, including the strategy's declared exposure and modeled costs. The forward ledger starts only after deployment.
Backtest specification
The practical cap and causal normalization differ from the paper's unconstrained factor portfolio.
Historical transactions
HIT = profitable after the 4 bps cost assumption; MISS = loss after costs; FLAT = break-even. Showing the most recent 100 of 114 transactions.
| Entry | Side | Entry price | Exit | Exit price | Outcome | Net return |
|---|---|---|---|---|---|---|
| 2026-09-01 00:00:00+00:00 | LONG | 762.01 | 2026-09-30 00:00:00+00:00 | 766.79 | HIT | +1.014% |
| 2026-08-03 00:00:00+00:00 | LONG | 749.44 | 2026-08-31 00:00:00+00:00 | 767.05 | HIT | +2.299% |
| 2026-07-01 00:00:00+00:00 | LONG | 745.00 | 2026-07-31 00:00:00+00:00 | 747.03 | HIT | +0.108% |
| 2026-06-01 00:00:00+00:00 | LONG | 755.36 | 2026-06-30 00:00:00+00:00 | 746.77 | MISS | -1.764% |
| 2026-05-01 00:00:00+00:00 | LONG | 721.25 | 2026-05-29 00:00:00+00:00 | 756.48 | HIT | +5.152% |
| 2026-04-01 00:00:00+00:00 | LONG | 653.90 | 2026-04-30 00:00:00+00:00 | 718.66 | HIT | +4.326% |
| 2026-03-02 00:00:00+00:00 | LONG | 678.70 | 2026-03-31 00:00:00+00:00 | 650.34 | MISS | -3.474% |
| 2026-02-02 00:00:00+00:00 | LONG | 689.58 | 2026-02-27 00:00:00+00:00 | 685.99 | MISS | -0.761% |
| 2026-01-02 00:00:00+00:00 | LONG | 685.71 | 2026-01-30 00:00:00+00:00 | 691.97 | HIT | +1.746% |
| 2025-12-01 00:00:00+00:00 | LONG | 678.81 | 2025-12-31 00:00:00+00:00 | 681.92 | HIT | +0.256% |
| 2025-11-03 00:00:00+00:00 | LONG | 685.67 | 2025-11-28 00:00:00+00:00 | 683.39 | MISS | -0.290% |
| 2025-10-01 00:00:00+00:00 | LONG | 663.17 | 2025-10-31 00:00:00+00:00 | 682.06 | HIT | +5.617% |
| 2025-09-02 00:00:00+00:00 | LONG | 637.50 | 2025-09-30 00:00:00+00:00 | 666.18 | HIT | +6.244% |
| 2025-08-01 00:00:00+00:00 | LONG | 626.30 | 2025-08-29 00:00:00+00:00 | 645.05 | HIT | +5.908% |
| 2025-07-01 00:00:00+00:00 | LONG | 616.36 | 2025-07-31 00:00:00+00:00 | 632.08 | HIT | +3.556% |
| 2025-06-02 00:00:00+00:00 | LONG | 587.76 | 2025-06-30 00:00:00+00:00 | 617.85 | HIT | +2.627% |
| 2025-05-01 00:00:00+00:00 | LONG | 560.37 | 2025-05-30 00:00:00+00:00 | 589.39 | HIT | +0.514% |
| 2025-04-01 00:00:00+00:00 | LONG | 557.45 | 2025-04-30 00:00:00+00:00 | 554.54 | MISS | -0.204% |
| 2025-03-03 00:00:00+00:00 | LONG | 596.18 | 2025-03-31 00:00:00+00:00 | 559.39 | MISS | -5.356% |
| 2025-02-03 00:00:00+00:00 | LONG | 592.67 | 2025-02-28 00:00:00+00:00 | 594.18 | HIT | +0.159% |
| 2025-01-02 00:00:00+00:00 | LONG | 589.39 | 2025-01-31 00:00:00+00:00 | 601.82 | HIT | +1.511% |
| 2024-12-02 00:00:00+00:00 | LONG | 602.97 | 2024-12-31 00:00:00+00:00 | 586.08 | MISS | -2.792% |
| 2024-11-01 00:00:00+00:00 | LONG | 571.32 | 2024-11-29 00:00:00+00:00 | 602.55 | HIT | +6.487% |
| 2024-10-01 00:00:00+00:00 | LONG | 573.40 | 2024-10-31 00:00:00+00:00 | 568.64 | MISS | -0.980% |
| 2024-09-03 00:00:00+00:00 | LONG | 560.47 | 2024-09-30 00:00:00+00:00 | 573.76 | HIT | +1.007% |
| 2024-08-01 00:00:00+00:00 | LONG | 552.57 | 2024-08-30 00:00:00+00:00 | 563.68 | HIT | +1.350% |
| 2024-07-01 00:00:00+00:00 | LONG | 545.63 | 2024-07-31 00:00:00+00:00 | 550.81 | HIT | +1.819% |
| 2024-06-03 00:00:00+00:00 | LONG | 529.02 | 2024-06-28 00:00:00+00:00 | 544.22 | HIT | +4.625% |
| 2024-05-01 00:00:00+00:00 | LONG | 501.38 | 2024-05-31 00:00:00+00:00 | 527.37 | HIT | +4.299% |
| 2024-04-01 00:00:00+00:00 | LONG | 523.83 | 2024-04-30 00:00:00+00:00 | 501.98 | MISS | -6.276% |
| 2024-03-01 00:00:00+00:00 | LONG | 508.98 | 2024-03-28 00:00:00+00:00 | 523.07 | HIT | +2.987% |
| 2024-02-01 00:00:00+00:00 | LONG | 484.63 | 2024-02-29 00:00:00+00:00 | 508.08 | HIT | +5.828% |
| 2024-01-02 00:00:00+00:00 | LONG | 472.16 | 2024-01-31 00:00:00+00:00 | 482.88 | HIT | +3.436% |
| 2023-12-01 00:00:00+00:00 | LONG | 455.77 | 2023-12-29 00:00:00+00:00 | 475.31 | HIT | +5.221% |
| 2023-11-01 00:00:00+00:00 | LONG | 419.20 | 2023-11-30 00:00:00+00:00 | 456.40 | HIT | +6.805% |
| 2023-10-02 00:00:00+00:00 | LONG | 426.62 | 2023-10-31 00:00:00+00:00 | 418.20 | MISS | -2.339% |
| 2023-09-01 00:00:00+00:00 | LONG | 453.17 | 2023-09-29 00:00:00+00:00 | 427.48 | MISS | -5.709% |
| 2023-08-01 00:00:00+00:00 | LONG | 456.27 | 2023-08-31 00:00:00+00:00 | 450.35 | MISS | -2.675% |
| 2023-07-03 00:00:00+00:00 | LONG | 442.92 | 2023-07-31 00:00:00+00:00 | 457.79 | HIT | +4.820% |
| 2023-06-01 00:00:00+00:00 | LONG | 418.09 | 2023-06-30 00:00:00+00:00 | 443.28 | HIT | +5.993% |
| 2023-05-01 00:00:00+00:00 | LONG | 415.47 | 2023-05-31 00:00:00+00:00 | 417.85 | HIT | +0.601% |
| 2023-04-03 00:00:00+00:00 | LONG | 408.85 | 2023-04-28 00:00:00+00:00 | 415.93 | HIT | +0.830% |
| 2023-03-01 00:00:00+00:00 | LONG | 395.41 | 2023-03-31 00:00:00+00:00 | 409.39 | HIT | +2.566% |
| 2023-02-01 00:00:00+00:00 | LONG | 405.21 | 2023-02-28 00:00:00+00:00 | 396.26 | MISS | -1.292% |
| 2023-01-03 00:00:00+00:00 | LONG | 384.37 | 2023-01-31 00:00:00+00:00 | 406.48 | HIT | +2.468% |
| 2022-12-01 00:00:00+00:00 | LONG | 408.77 | 2022-12-30 00:00:00+00:00 | 382.43 | MISS | -1.183% |
| 2022-11-01 00:00:00+00:00 | LONG | 390.14 | 2022-11-30 00:00:00+00:00 | 407.68 | HIT | +0.856% |
| 2022-10-03 00:00:00+00:00 | LONG | 361.08 | 2022-10-31 00:00:00+00:00 | 386.21 | HIT | +1.634% |
| 2022-09-01 00:00:00+00:00 | LONG | 392.89 | 2022-09-30 00:00:00+00:00 | 357.18 | MISS | -3.257% |
| 2022-08-01 00:00:00+00:00 | LONG | 409.15 | 2022-08-31 00:00:00+00:00 | 395.18 | MISS | -1.229% |
| 2022-07-01 00:00:00+00:00 | LONG | 376.56 | 2022-07-29 00:00:00+00:00 | 411.99 | HIT | +1.353% |
| 2022-06-01 00:00:00+00:00 | LONG | 415.17 | 2022-06-30 00:00:00+00:00 | 377.25 | MISS | -1.153% |
| 2022-05-02 00:00:00+00:00 | LONG | 412.07 | 2022-05-31 00:00:00+00:00 | 412.93 | HIT | +0.032% |
| 2022-04-01 00:00:00+00:00 | LONG | 453.31 | 2022-04-29 00:00:00+00:00 | 412.00 | MISS | -2.060% |
| 2022-03-01 00:00:00+00:00 | LONG | 435.04 | 2022-03-31 00:00:00+00:00 | 451.64 | HIT | +0.825% |
| 2022-02-01 00:00:00+00:00 | LONG | 450.68 | 2022-02-28 00:00:00+00:00 | 436.63 | MISS | -1.002% |
| 2022-01-03 00:00:00+00:00 | LONG | 476.30 | 2022-01-31 00:00:00+00:00 | 449.91 | MISS | -2.165% |
| 2021-12-01 00:00:00+00:00 | LONG | 461.64 | 2021-12-31 00:00:00+00:00 | 474.96 | HIT | +1.814% |
| 2021-11-01 00:00:00+00:00 | LONG | 460.30 | 2021-11-30 00:00:00+00:00 | 455.56 | MISS | -0.996% |
| 2021-10-01 00:00:00+00:00 | LONG | 430.98 | 2021-10-29 00:00:00+00:00 | 459.25 | HIT | +3.883% |
| 2021-09-01 00:00:00+00:00 | LONG | 452.56 | 2021-09-30 00:00:00+00:00 | 429.14 | MISS | -7.793% |
| 2021-08-02 00:00:00+00:00 | LONG | 440.34 | 2021-08-31 00:00:00+00:00 | 451.56 | HIT | +1.997% |
| 2021-07-01 00:00:00+00:00 | LONG | 428.87 | 2021-07-30 00:00:00+00:00 | 438.51 | HIT | +2.588% |
| 2021-06-01 00:00:00+00:00 | LONG | 422.57 | 2021-06-30 00:00:00+00:00 | 428.06 | HIT | +0.643% |
| 2021-05-03 00:00:00+00:00 | LONG | 419.43 | 2021-05-28 00:00:00+00:00 | 420.04 | HIT | +0.105% |
| 2021-04-01 00:00:00+00:00 | LONG | 398.40 | 2021-04-30 00:00:00+00:00 | 417.30 | HIT | +2.096% |
| 2021-03-01 00:00:00+00:00 | LONG | 385.59 | 2021-03-31 00:00:00+00:00 | 396.33 | HIT | +1.372% |
| 2021-02-01 00:00:00+00:00 | LONG | 373.72 | 2021-02-26 00:00:00+00:00 | 380.36 | HIT | +0.562% |
| 2021-01-04 00:00:00+00:00 | LONG | 375.31 | 2021-01-29 00:00:00+00:00 | 370.07 | MISS | -1.588% |
| 2020-12-01 00:00:00+00:00 | LONG | 365.57 | 2020-12-31 00:00:00+00:00 | 373.88 | HIT | +0.708% |
| 2020-11-02 00:00:00+00:00 | LONG | 330.20 | 2020-11-30 00:00:00+00:00 | 362.06 | HIT | +1.854% |
| 2020-10-01 00:00:00+00:00 | LONG | 337.69 | 2020-10-30 00:00:00+00:00 | 326.54 | MISS | -0.425% |
| 2020-09-01 00:00:00+00:00 | LONG | 350.21 | 2020-09-30 00:00:00+00:00 | 334.89 | MISS | -4.895% |
| 2020-08-03 00:00:00+00:00 | LONG | 328.32 | 2020-08-31 00:00:00+00:00 | 349.31 | HIT | +2.859% |
| 2020-07-01 00:00:00+00:00 | LONG | 309.57 | 2020-07-31 00:00:00+00:00 | 326.52 | HIT | +0.544% |
| 2020-06-01 00:00:00+00:00 | LONG | 303.62 | 2020-06-30 00:00:00+00:00 | 308.36 | HIT | +0.282% |
| 2020-05-01 00:00:00+00:00 | LONG | 285.31 | 2020-05-29 00:00:00+00:00 | 304.32 | HIT | +0.662% |
| 2020-04-01 00:00:00+00:00 | LONG | 247.98 | 2020-04-30 00:00:00+00:00 | 290.48 | HIT | +1.710% |
| 2020-03-02 00:00:00+00:00 | LONG | 298.21 | 2020-03-31 00:00:00+00:00 | 257.75 | MISS | -1.572% |
| 2020-02-03 00:00:00+00:00 | LONG | 323.35 | 2020-02-28 00:00:00+00:00 | 296.26 | MISS | -4.196% |
| 2020-01-02 00:00:00+00:00 | LONG | 323.54 | 2020-01-31 00:00:00+00:00 | 321.73 | MISS | -0.919% |
| 2019-12-02 00:00:00+00:00 | LONG | 314.59 | 2019-12-31 00:00:00+00:00 | 321.86 | HIT | +4.542% |
| 2019-11-01 00:00:00+00:00 | LONG | 304.92 | 2019-11-29 00:00:00+00:00 | 314.31 | HIT | +1.466% |
| 2019-10-01 00:00:00+00:00 | LONG | 297.74 | 2019-10-31 00:00:00+00:00 | 303.33 | HIT | +1.595% |
| 2019-09-03 00:00:00+00:00 | LONG | 290.57 | 2019-09-30 00:00:00+00:00 | 296.77 | HIT | +0.265% |
| 2019-08-01 00:00:00+00:00 | LONG | 297.60 | 2019-08-30 00:00:00+00:00 | 292.45 | MISS | -1.827% |
| 2019-07-01 00:00:00+00:00 | LONG | 296.68 | 2019-07-31 00:00:00+00:00 | 297.43 | HIT | +0.119% |
| 2019-06-03 00:00:00+00:00 | LONG | 275.31 | 2019-06-28 00:00:00+00:00 | 293.00 | HIT | +1.974% |
| 2019-05-01 00:00:00+00:00 | LONG | 294.72 | 2019-05-31 00:00:00+00:00 | 275.27 | MISS | -13.279% |
| 2019-04-01 00:00:00+00:00 | LONG | 284.70 | 2019-04-30 00:00:00+00:00 | 294.02 | HIT | +1.593% |
| 2019-03-01 00:00:00+00:00 | LONG | 280.44 | 2019-03-29 00:00:00+00:00 | 282.48 | HIT | +0.667% |
| 2019-02-01 00:00:00+00:00 | LONG | 270.15 | 2019-02-28 00:00:00+00:00 | 278.68 | HIT | +0.576% |
| 2019-01-02 00:00:00+00:00 | LONG | 245.98 | 2019-01-31 00:00:00+00:00 | 269.93 | HIT | +0.970% |
| 2018-12-03 00:00:00+00:00 | LONG | 280.28 | 2018-12-31 00:00:00+00:00 | 249.92 | MISS | -1.834% |
| 2018-11-01 00:00:00+00:00 | LONG | 271.60 | 2018-11-30 00:00:00+00:00 | 275.65 | HIT | +0.171% |
| 2018-10-01 00:00:00+00:00 | LONG | 292.11 | 2018-10-31 00:00:00+00:00 | 270.63 | MISS | -11.174% |
| 2018-09-04 00:00:00+00:00 | LONG | 289.84 | 2018-09-28 00:00:00+00:00 | 290.72 | HIT | +0.316% |
| 2018-08-01 00:00:00+00:00 | LONG | 281.56 | 2018-08-31 00:00:00+00:00 | 290.31 | HIT | +2.485% |
| 2018-07-02 00:00:00+00:00 | LONG | 269.51 | 2018-07-31 00:00:00+00:00 | 281.33 | HIT | +3.828% |
| 2018-06-01 00:00:00+00:00 | LONG | 272.41 | 2018-06-29 00:00:00+00:00 | 271.28 | MISS | -0.226% |