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Equity Curves
FULL EQUITY — BOTH SIGNALS CLEAR
Both signals clear — momentum runs in S Fund
combined verdict
Full G Fund only when both signals flash bear. Either alone is informational (Watch state). Updated 2026-07-21 22:07
Current Allocation
Monthly Transfers
of 2 used
2 remaining
Full budget available · G moves are free
Transfer Deadline
Strategy Performance
Growth of $100,000 since 2010
Total Return
1370%
16yr backtest
Sharpe Ratio
1.196
risk-adjusted
Max Drawdown
-32.0%
vs C: -33.7%
AI Research Council
Four agents analyze and debate every Monday. Momentum drives allocation -- agents provide market context.
The strategy signals 100% S Fund this week — the AND-gate defense is not triggered, so TSP investors following the system hold small caps fully invested, while watching the July 20-24 data slate for any move that pushes SPY below its 200-day average with VIX confirmation.
Market Commentary
Last week's tape told two stories: headline indexes near all-time highs, but F (+0.5%) and G (+0.1%) catching a bid while C (-0.8%) and S (-0.4%) faded — an early defensive rotation that all three research agents independently confirmed. The AND-gate defense is NOT triggered: SPY remains above its 200-day SMA and the VIX term structure sits below the 0.95 threshold, so the momentum ensemble's signal stands at 100% S Fund this week. That said, the council's debate was unusually sharp. The Macro Analyst holds a Neutral rating, arguing this is early rotation rather than a regime break, but concedes the burden of proof now sits on staying fully invested through the July 20-24 data slate. The Risk Manager rates risk High and calls Neutral an underpricing of the tail: with average equity correlation at 0.82, rotating among C/S/I offers no real diversification, and small caps historically fall 1.3-1.5x the large-cap decline in regime transitions — making 100% S the highest-beta way to hold this signal. The Sentiment Analyst (-12 score, conviction rising) adds that the one-week cluster of institutional 'disconnect' stories from CNBC, Chase, and Fidelity is the kind of narrative fracture that historically precedes positioning shifts by 2-4 weeks. Both Macro and Sentiment flagged an internal contradiction in the Risk Manager's output — a High risk rating paired with a 100% equity ceiling — which the Risk Manager resolved by noting the signal is rules-based and the risk flags inform monitoring, not overrides. Bottom line: the strategy stays fully invested in small caps, but the distance between SPY and its 200-day SMA is now the single number worth watching, because a hot inflation print this week could close that gap faster than a monthly rebalance can react.
Where the Agents Disagree
Position: The evidence set — negative 30-day momentum, confirmed defensive rotation, a data-heavy catalyst week — is asymmetrically negative, and Macro's 'Neutral' label underprices the tail; holding 100% S through a potential signal flip is the largest unmodeled exposure given small caps' 1.3-1.5x downside beta in regime breaks
Counter: The Macro Analyst maintains Neutral because the 6-month bull trend is intact (C +7.9%, S +8.2%) and the rotation is early, not a regime break — the AND-gate conditions are simply not met, and pre-empting a rules-based signal on soft evidence is how disciplined systems get eroded
Arbiter: The Risk Manager's directional concern is legitimate, but Macro has the process argument: my own recent lessons show three missed bearish calls in Bull-Volatile regimes where the market kept rising. Overriding an untriggered gate on rotation whispers has been the losing trade this year — respect the signal, but the Risk Manager's SMA-proximity question deserves a quantified answer before next week.
Position: Sentiment regimes break faster than macro regimes — the institutional narrative fracture at all-time highs precedes the tape move rather than following it, so Neutral understates the asymmetry heading into the data window
Counter: The Macro Analyst counters that a -12 sentiment score at 0.4 initial confidence is statistically close to neutral, and compounding a weak sentiment signal with a Neutral macro read should not be mislabeled as bearish conviction
Arbiter: Macro wins on calibration — the sentiment layer is soft and the tape rotation is the real signal — but Sentiment's timing point stands: if the narrative shift is real, it shows up in positioning within 2-4 weeks, which is exactly the window the data slate occupies. Treat it as a watch item, not a trade trigger.
Position: The Risk Manager's output is internally contradictory: a High risk rating with a -3.0% weekly VaR cannot coexist with a 100% max-equity recommendation concentrated in the single most volatile sleeve
Counter: The Risk Manager's implicit defense is that this is a commentary week under a rules-based system — the risk rating conditions monitoring and drawdown tolerance, while the allocation passes through the untriggered momentum signal by design
Arbiter: Both are partly right. The signal correctly passes through — that is the system working, not a passthrough error — but Macro exposes a real reporting gap: the risk output should distinguish 'risk of the position' from 'recommended ceiling' so High-risk weeks read as tightened stops, not endorsements of maximum beta.
Where They Agree
- A genuine early defensive rotation is underway: F and G caught a bid while C and S faded, confirmed independently by tape momentum, fund flows, and sentiment analysis
- Average equity correlation of 0.82 means C/S/I offer only cosmetic diversification — the equity/fixed-income split is the only risk lever that matters in this regime
- The cluster of institutional 'market-economy disconnect' stories in a single week is a legitimate leading indicator of professional repositioning
- The July 20-24 economic data slate is the week's dominant catalyst and could stress the AND-gate trigger conditions
Risks to Watch
- July 20-24 economic data slate — a hot inflation print could break the disinflation narrative into complacent positioning
- SPY's proximity to its 200-day SMA: with 30-day momentum already negative, a thin buffer means the AND-gate could trigger via a gap move faster than the rebalance cadence reacts
- Iran conflict fracturing the Western sanctions front — an oil or shipping shock would hit an equity market with 0.82 internal correlation and no diversification cushion
- Small-cap concentration: S historically falls 1.3-1.5x the large-cap decline in regime transitions, amplifying any signal-flip gap risk
- Narrowing breadth and fading momentum beneath headline all-time highs — the rally's foundation is thinning even as indexes rise
Individual Analyses
Macro Analyst
Fed policy, inflation, yield curves
The bull market's 6-month trend remains intact (C +7.9%, S +8.2%), but fading momentum, narrowing breadth, and an escalating Iran/sanctions rupture argue for a neutral stance with a mild defensive tilt this commentary week. Bonds and cash-equivalents caught last week's rotation, and until momentum stabilizes or the geopolitical front de-escalates, there is no case for adding equity risk — nor, with the regime still Bull-Volatile at full confidence, for de-risking the core allocation.
Sentiment Analyst
VIX, put/call ratios, fund flows
Sentiment is bifurcated: headlines remain celebratory but the tape shows an early defensive rotation, with bonds and cash-proxies outperforming equities on the week and 30-day momentum rolled negative. Absent direct VIX, put/call, and AAII reads this cycle, the observable proxies (F/G bid, narrow AI-led breadth, saturation of 'disconnect' commentary) point to modestly negative effective sentiment with elevated complacency risk. In a commentary week, the message is patience — the Bull-Volatile regime holds, but the crowd is leaning bullish into weakening internals, which historically resolves with a volatility repricing rather than a smooth continuation.
Risk Manager
VaR, correlations, tail risk
Commentary week, no allocation change: the AND-gate defense is not triggered (SPY above SMA200 or VIX term structure below 0.95), so the momentum ensemble's 100% S position stands. Weekly 95% VaR is roughly -3.0% (~$3,000 on $100k), and the real risk is concentration in small-caps during a Bull-Volatile regime where the 0.82 average equity correlation means a broad selloff hits everything at once — the G-fund gate, not diversification, is the only genuine downside protection in this system. Watch the VIX/VIX3M ratio and SPY vs SMA200 closely this week; with sentiment negative and geopolitical fragmentation headlines building, the gate tripping is the most likely path to a defensive shift, and it should be obeyed mechanically given the risk agent's poor short-horizon forecast record in this regime.
Strategy Arbiter
Synthesizes into recommendation
Last week's tape told two stories: headline indexes near all-time highs, but F (+0.5%) and G (+0.1%) catching a bid while C (-0.8%) and S (-0.4%) faded — an early defensive rotation that all three research agents independently confirmed. The AND-gate defense is NOT triggered: SPY remains above its 200-day SMA and the VIX term structure sits below the 0.95 threshold, so the momentum ensemble's signal stands at 100% S Fund this week. That said, the council's debate was unusually sharp. The Macro Analyst holds a Neutral rating, arguing this is early rotation rather than a regime break, but concedes the burden of proof now sits on staying fully invested through the July 20-24 data slate. The Risk Manager rates risk High and calls Neutral an underpricing of the tail: with average equity correlation at 0.82, rotating among C/S/I offers no real diversification, and small caps historically fall 1.3-1.5x the large-cap decline in regime transitions — making 100% S the highest-beta way to hold this signal. The Sentiment Analyst (-12 score, conviction rising) adds that the one-week cluster of institutional 'disconnect' stories from CNBC, Chase, and Fidelity is the kind of narrative fracture that historically precedes positioning shifts by 2-4 weeks. Both Macro and Sentiment flagged an internal contradiction in the Risk Manager's output — a High risk rating paired with a 100% equity ceiling — which the Risk Manager resolved by noting the signal is rules-based and the risk flags inform monitoring, not overrides. Bottom line: the strategy stays fully invested in small caps, but the distance between SPY and its 200-day SMA is now the single number worth watching, because a hot inflation print this week could close that gap faster than a monthly rebalance can react.
Council last met: 2026-07-19