Gahow Wang
df0a051403
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>
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