14 days of live shadow tracking (+1pp vs SPY) is not statistically significant. The headline Sortino of 1.45 requires daily rebalancing that is not practically implementable in a real account.
Critical methodology caveat: The headline backtest Sortino of 1.45 (full) / 1.61 (post-2010) requires equal-weight rebalancing every trading day — not practically achievable. A realistic monthly-hold implementation gives Sortino 0.64 (full) / 0.99 (post-2010). The live shadow logger uses the daily-EW convention, so it tracks the headline methodology and overstates what a real monthly-hold account would earn.
Current status summary
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Headline metrics
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Irish tax — key takeaways
Pension (PRSA) first: Gross roll-up + 40% contribution relief recovers 100% of the tax drag. Fill pension capacity before taxable accounts.
Taxable account: Direct shares (33% CGT) beat UCITS ETF (38% exit tax) for this strategy. Drop the trailing stop (no Sortino benefit without daily rebalance + it is the main tax churn source). Add portfolio vol-target overlay.
Spread bets: Skip. Financing (~6.8%/yr on notional) exceeds the tax saving.
These are modelling notes, not financial or tax advice. Confirm with a qualified Irish advisor.