🏆 Live combo portfolio (deployed)
Multi-strategy MV-LedoitWolf combo: leader+gate 62% • reversal 25% • quality 7% • momentum 6%.
Backtest Sharpe 2.20 (7y in-sample) / 3.52 (245d holdout). Snapshots taken nightly.
Reversal positions refresh daily so are not tracked since-entry; the table below shows mark-to-market
of the slow streams (leader / quality / momentum) only.
Basket history (slow streams only)
| Snapshot date | Holdings | Gate | Slow streams ret-to-date | Days held |
|---|---|---|---|---|
Each row is the basket as snapshotted on that date. "Slow streams ret-to-date" is the equal-weighted return on the leader/quality/momentum positions from snapshot to today. Reversal stream is daily-rebal and tracked separately.
No combo snapshots yet. Run
python scripts/today_portfolio.py to start tracking.
📜 Legacy composite_5sig tracker
Earlier daily snapshots of the composite_5sig top-20 basket — kept for continuity.
The new deployed strategy is the combo above; this is for historical reference.
No baskets snapshotted yet. Run
python scripts/snapshot_shadow_basket.py daily to start tracking.