V3's output only includes {SPY, TQQQ, UPRO, GLD, DBC}. When PT
triggered, park_col resolved to "" (cash at 0%) instead of SHY.
Now injects SHY column before the PT loop if present in data.
Impact: ~0 in 2016-2026 (rising rates made SHY slightly negative),
but fixes ~0.6%/yr drag in normal rate environments (SHY ~4%/yr,
14.3% of days in PT-park).
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
Three-layer strategy for leveraged ETF portfolios:
Layer 1: V3 regime engine (MA150) — SPY technicals for risk-on/off
Layer 2: Vol-target overlay (28%, clip 0.6-1.0) — scale by realized vol
Layer 3: Profit-take with hysteresis (+30% → clear to SHY, restore <20%)
The profit-take exploits a structural property of 3x leveraged ETFs:
after large gains, volatility drag on the inflated base erodes compound
returns. Clearing the position locks in geometric gains before the drag
takes effect — this is rebalancing alpha, not prediction alpha.
10y backtest (2016-2026, 10bps one-way cost):
Ann 54.7%, Sharpe(rf=5%) 1.72, MaxDD -25.7%, Sortino 2.23
Also registers trend_rider_v7, trend_rider_v7_vt24, trend_rider_v7_vt32
in the trader strategy registry and ETF_STRATEGY_UNIVERSES.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
