Weekly Signal
AND gate = VIX backwardation AND SPY below 200-day SMA — 2026-07-21 22:07
VIX Gate
CLEAR 0.8703
VIX/VIX3M0.8703
Threshold≥ 0.95
State Contango
Trend Gate
CLEAR +7.8%
SPY close$748.28
SMA(200)$694.27
State Above SMA
AND Verdict
BULL 100% S Fund
Both signals clear → run momentum in S Fund.
Momentum Rankings
2026-07-17 1
S
S Fund +7.00%
2
C
C Fund +3.51%
3
I
I Fund +2.54%
Blended 42/63d momentum — raw return vs G hurdle. Ensemble votes on the leader.
Recent Signal History
Full history →Last 12 weeks · AND-Bear in G 8% of the time (65/809 weeks)
| Date | Signal | Momentum | Allocation |
|---|---|---|---|
| 2026-07-17 | Bull | S | |
| 2026-07-10 | Bull | S | |
| 2026-06-26 | Bull | S | |
| 2026-06-12 | Bull | S | |
| 2026-06-05 | VIX-Watch | S | |
| 2026-05-29 | Bull | S | |
| 2026-05-22 | Bull | S | |
| 2026-05-15 | Bull | S | |
| 2026-05-08 | Bull | S | |
| 2026-05-01 | Bull | C | |
| 2026-04-24 | Bull | S | |
| 2026-04-17 | Bull | I | |
Backtest (2010–2026)
Full validation →| Metric | C Fund | Momentum | + VIX only | + SMA only | + AND gate |
|---|---|---|---|---|---|
| Total Return | 866.1% | 1301.1% | 1296.5% | 890.8% | 1369.5% |
| Ann. Return | 15.2% | 17.9% | 17.9% | 15.4% | 18.2% |
| Sharpe | 0.908 | 0.991 | 1.303 | 1.111 | 1.196 |
| Max DD | -33.7% | -34.0% | -26.1% | -25.0% | -32.0% |
OOS Sharpe (WFO)
1.270
OOS Max DD
-7.9%
MC p50 Return
1339%