baseline_momentum_live_v1
Pipeline: AlphaVault weekly 20d top-6 positive momentum, next-day/closed-bar eval, 20k live sleeve review package
Backtest: 2022-12-13 → 2026-06-02
| periods/year: 252
| generated: 2026-06-03 08:39
Performance Metrics
Gross
| Sharpe | 0.877 |
|---|---|
| CAGR | +38.83% |
| Ann Vol | 54.98% |
| Max DD | -57.67% |
| Calmar | 0.673 |
| Sortino | 1.186 |
| Win Rate | 51.67% |
| VaR 95% | -4.437% |
| CVaR 95% | -7.082% |
| Best Day | +19.521% |
| Worst Day | -35.046% |
| Days | 869 |
Net of TC
| Sharpe | 0.833 |
|---|---|
| CAGR | +35.49% |
| Ann Vol | 54.99% |
| Max DD | -57.92% |
| Calmar | 0.613 |
| Sortino | 1.128 |
| Win Rate | 51.44% |
| VaR 95% | -4.449% |
| CVaR 95% | -7.093% |
| Best Day | +19.521% |
| Worst Day | -35.046% |
| Days | 869 |
Cumulative Return
Drawdown
Monthly Return Heatmap (% / month, gross)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Annual |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2022 | — | — | — | — | — | — | — | — | — | — | — | -1.18 | -1.18 |
| 2023 | +9.44 | +1.84 | -13.06 | -2.38 | +13.26 | +8.64 | +13.38 | -20.92 | -4.71 | -2.38 | -2.15 | +14.94 | +9.18 |
| 2024 | -7.87 | +16.37 | +19.54 | -19.15 | +1.20 | -0.77 | -10.55 | -7.96 | -2.41 | +50.21 | +0.23 | +0.13 | +26.03 |
| 2025 | +10.82 | -10.50 | -14.48 | -32.20 | +26.26 | +11.18 | +7.28 | +0.33 | +16.71 | +19.24 | -3.59 | +2.25 | +19.22 |
| 2026 | +27.10 | -4.18 | -2.84 | +15.33 | +37.56 | +1.87 | — | — | — | — | — | — | +91.23 |
Transaction Cost Analysis
Costs computed from per-asset rates supplied by user.
| Component | % NAV/yr | $/yr @ $20K |
|---|---|---|
| Fee Signal | −0.0241% | −$5/yr |
| Fee Roll | −0.0000% | −$0/yr |
| Slip Signal | −2.4069% | −$481/yr |
| Slip Roll | −0.0000% | −$0/yr |
| Total | −2.4309% NAV/yr | −$486/yr |
Capacity Analysis — Cost Scaling with AUM
Market-impact drag at increasing AUM (square-root model).
| AUM | Signal MI | Roll MI | Total MI |
|---|---|---|---|
| $5M | −8.172% | −0.000% | −8.172% |
| $25M | −18.272% | −0.000% | −18.272% |
| $100M | −36.544% | −0.000% | −36.544% |
| $500M | −81.715% | −0.000% | −81.715% |
| $1.0B | −115.563% | −0.000% | −115.563% |
| $2.5B | −182.721% | −0.000% | −182.721% |
| $5.0B | −258.406% | −0.000% | −258.406% |
| $10.0B | −365.441% | −0.000% | −365.441% |
Capacity — Per-Instrument Participation Rate
Max-day participation = (peak trade size × AUM / notional) ÷ ADV. Binding constraint is typically 5–10% for clean execution.
| Instrument | $100M | $500M | $1.0B | $2.5B | $5.0B | $10.0B |
|---|---|---|---|---|---|---|
| GOLD | 139.4%* | 697.2%* | 1394.4%* | 3485.9%* | 6971.8%* | 13943.6%* |
| LIT | 38.8%* | 194.0%* | 388.0%* | 970.0%* | 1939.9%* | 3879.8%* |
| GSG | 29.9%* | 149.4%* | 298.9%* | 747.2%* | 1494.5%* | 2989.0%* |
| UNG | 29.7%* | 148.3%* | 296.6%* | 741.4%* | 1482.8%* | 2965.7%* |
| NLR | 28.6%* | 142.8%* | 285.7%* | 714.2%* | 1428.4%* | 2856.8%* |
| DBC | 23.2%* | 115.9%* | 231.9%* | 579.7%* | 1159.4%* | 2318.8%* |
| UVXY | 13.1%! | 65.5%* | 131.0%* | 327.5%* | 655.0%* | 1309.9%* |
| VXX | 8.2% | 40.9%* | 81.8%* | 204.6%* | 409.1%* | 818.3%* |
| SPXU | 7.5% | 37.5%* | 75.0%* | 187.6%* | 375.1%* | 750.3%* |
| URA | 7.0% | 34.9%* | 69.8%* | 174.4%* | 348.9%* | 697.8%* |
● <5% (clean) ● 5–20% (! >10%, stressed) ● >20% (* infeasible cleanly)