Weekly Signal
AND gate = VIX backwardation AND SPY below 200-day SMA — 2026-05-22 22:13
VIX Gate
CLEAR 0.8337
VIX/VIX3M0.8337
Threshold≥ 0.95
State Contango
Trend Gate
CLEAR +10.3%
SPY close$745.64
SMA(200)$676.25
State Above SMA
AND Verdict
BULL 100% C Fund
Both signals clear → run momentum in C Fund.
Momentum Rankings
2026-05-21 1
C
C Fund +10.68%
2
S
S Fund +8.13%
3
I
I Fund +4.02%
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 (65/803 weeks)
| Date | Signal | Momentum | Allocation |
|---|---|---|---|
| 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 | |
| 2026-02-27 | Bull | I | |
Backtest (2010–2026)
Full validation →| Metric | C Fund | Momentum | + VIX only | + SMA only | + AND gate |
|---|---|---|---|---|---|
| Total Return | 860.2% | 1247.7% | 1228.2% | 853.0% | 1313.5% |
| Ann. Return | 15.3% | 17.8% | 17.7% | 15.3% | 18.2% |
| Sharpe | 0.913 | 0.986 | 1.291 | 1.106 | 1.192 |
| 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
1259%