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AlphaGo US Balanced I 50% equal-weight 12-1 momentum Top10 (3-index universe) + 50% defensive sleeve (TLT/GLD/SHY thirds) · monthly rebalance · LEAN engine audit (real fills + IBKR fees)
50% equal-weight 12-1 momentum Top10 + 50% defensive sleeve (TLT/GLD/SHY) · monthly rebalance · LEAN engine audit (IBKR fees, daily DD) OOS CAGR 18.9% MaxDD -19.5% Sharpe 0.57 · full window 13.2%/-23.5% · conservative 35/65 verified: 10.6%/-18.7% · live IBKR paper fills since 2026-10-12
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Backtest data as of 2026-10-06
NAV (backtest + paper) Benchmark: SPY
Legend: orange = virtual ledger (theoretical signal fills); green = real IBKR fills attributed per-order (incl. slippage/lot rounding/timing). Different start dates — short-term levels are not comparable; same-day return divergence is monitored (A7), alert if >2%.
Current Targets 2026-10-20 · us-balanced v2: 50% ew-mom-top10 + 50% TLT/GLD/SHY
| Ticker | Mom score | Universe rank | 12-1 mom | 13w | 21d vol | AI Score* | Target weight |
|---|---|---|---|---|---|---|---|
| TLT | — | — | — | — | — | — | 16.67% |
| GLD | — | — | — | — | — | 6 | 16.67% |
| SHY | — | — | — | — | — | 4 | 16.67% |
| SNDK | #1/510 | +1183% | -6% | 67% | 8 | 5.00% | |
| MRNA | #4/510 | +389% | +236% | 79% | 4 | 5.00% | |
| LITE | #2/510 | +474% | +44% | 70% | 7 | 5.00% | |
| MU | #3/510 | +398% | +10% | 47% | 7 | 5.00% | |
| STX | #5/510 | +286% | -9% | 69% | 7 | 5.00% | |
| DELL | #7/510 | +212% | +37% | 63% | 8 | 5.00% | |
| WDC | #6/510 | +281% | -28% | 62% | — | 5.00% | |
| INTC | #8/510 | +168% | +2% | 70% | 7 | 5.00% | |
| MRVL | #11/510 | +146% | +27% | 50% | 7 | 5.00% | |
| TER | — | — | — | — | — | — | 5.00% |
Momentum score = 12-1 momentum percentile within the point-in-time universe (100 = rank #1). 13w = last-63-day return; 21d vol annualized. Metrics as of the signal date.
*AI Score is Danelfin third-party score (1-10); hover for Technical/Fundamental/Sentiment/Low-Risk sub-scores. External reference, not our signal. As of 2026-10-20。
Sector Exposure (target)
Sector concentration is a feature of momentum, rotating with the signal.
Key Facts
| Backtest start | 2009-01 |
| Benchmark | SPY (S&P 500) |
| Universe | 50% US momentum + 50% TLT/GLD/SHY |
| Holdings | Momentum leg Top-10 EW |
| Rebalance | Monthly |
| Currency | USD |
| Size basis | $400,000 standalone sim |
| Fees | Prop capital, no mgmt fee |
| Structure | Paper validation, unregistered |
Documents
| Monthly factsheet (PDF) | 🔒 Sign in |
| Full returns report (Excel) | 🔒 Sign in |
| NAV history (CSV) | Download ↓ |
| Full holdings (CSV) | 🔒 Sign in |
| Research notes | View → |
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Backtest segment is LEAN engine daily-marked. Parameters frozen as of Oct 2026 — future changes evaluated on forward data only. Paper segment is forward ledger accounting, not real fills. Note: the momentum leg shares Momentum I's universe and picks (weekly return corr ~0.89) — holding both is a leverage choice, not diversification. Trend-gate and vol-target variants tested worse than baseline in the LEAN matrix; dyn1 defensive sleeve pending full-window review.