Weekly Signal
AND gate = VIX backwardation AND SPY below 200-day SMA — 2026-06-04 22:25
VIX Gate
CLEAR 0.8008
VIX/VIX3M0.8008
Threshold≥ 0.95
State Contango
Trend Gate
CLEAR +11.2%
SPY close$757.09
SMA(200)$681.05
State Above SMA
AND Verdict
BULL 100% S Fund
Both signals clear → run momentum in S Fund.
Momentum Rankings
2026-06-05 1
S
S Fund +12.81%
2
C
C Fund +12.75%
3
I
I Fund +5.55%
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 (65/804 weeks)
| Date | Signal | Momentum | Allocation |
|---|---|---|---|
| 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 | |
| 2026-04-10 | Bull | I | |
| 2026-03-27 | AND-Bear | — | |
| 2026-03-20 | AND-Bear | — | |
| 2026-03-13 | VIX-Watch | I | |
| 2026-03-06 | VIX-Watch | I | |
Backtest (2010–2026)
Full validation →| Metric | C Fund | Momentum | + VIX only | + SMA only | + AND gate |
|---|---|---|---|---|---|
| Total Return | 874.9% | 1300.5% | 1280.3% | 890.4% | 1369.0% |
| Ann. Return | 15.4% | 18.0% | 17.9% | 15.5% | 18.4% |
| Sharpe | 0.918 | 0.998 | 1.306 | 1.122 | 1.206 |
| Max DD | -33.7% | -34.0% | -26.1% | -25.0% | -32.0% |
OOS Sharpe (WFO)
1.316
OOS Max DD
-7.8%
MC p50 Return
1379%