Weekly Signal
AND gate = VIX backwardation AND SPY below 200-day SMA — 2026-09-18 23:09
VIX Gate
CLEAR 0.8120
VIX/VIX3M0.8120
Threshold≥ 0.95
State Contango
Trend Gate
CLEAR +6.6%
SPY close$761.69
SMA(200)$714.24
State Above SMA
AND Verdict
BULL 100% C Fund
Both signals clear → run momentum in C Fund.
Momentum Rankings
2026-09-18 1
C
C Fund +1.53%
2
I
I Fund +0.42%
3
S
S Fund -2.25%
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 (65/818 weeks)
| Date | Signal | Momentum | Allocation |
|---|---|---|---|
| 2026-09-18 | Bull | C | |
| 2026-09-11 | Bull | I | |
| 2026-09-04 | Bull | I | |
| 2026-08-28 | Bull | I | |
| 2026-08-21 | Bull | S | |
| 2026-08-14 | Bull | S | |
| 2026-08-07 | Bull | S | |
| 2026-07-31 | Bull | I | |
| 2026-07-24 | Bull | S | |
| 2026-07-17 | Bull | S | |
| 2026-07-10 | Bull | S | |
| 2026-06-26 | Bull | S | |
Backtest (2010–2026)
Full validation →| Metric | C Fund | Momentum | + VIX only | + SMA only | + AND gate |
|---|---|---|---|---|---|
| Total Return | 883.4% | 1288.2% | 1283.7% | 881.7% | 1356.0% |
| Ann. Return | 15.2% | 17.6% | 17.6% | 15.1% | 18.0% |
| Sharpe | 0.908 | 0.981 | 1.287 | 1.097 | 1.182 |
| 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
1314%