Quant Dashboard
Paper Trading
Portfolio Value
$126,423
Cash
$1,217
Positions
12
Days Tracked
36
Total Return
1.14%
Sharpe
0.94
Max DD
-3.38%
| Ticker | Shares | Entry | Current | Value | P&L |
|---|---|---|---|---|---|
| XLF | 387.7 | $49.64 | $52.43 | $20,327 | +$1,082 |
| SPY | 28.5 | $676.33 | $710.14 | $20,208 | +$962 |
| TLT | 220.9 | $87.14 | $87.05 | $19,226 | $-20 |
| XLC | 154.8 | $117.00 | $119.10 | $18,432 | +$325 |
| XLP | 176.9 | $84.59 | $82.46 | $14,587 | $-377 |
| XLE | 146.9 | $56.98 | $55.02 | $8,080 | $-288 |
| XLK | 42.6 | $140.43 | $154.35 | $6,579 | +$593 |
| XLV | 35.0 | $152.85 | $148.80 | $5,210 | $-142 |
| VIXY | 176.5 | $31.19 | $27.98 | $4,940 | $-567 |
| XLI | 17.4 | $172.73 | $173.51 | $3,022 | +$14 |
| GLD | 5.3 | $476.24 | $445.93 | $2,347 | $-160 |
| XLU | 48.7 | $46.16 | $46.16 | $2,248 | +$0 |
Trade Actions 9 TRADES
| Action | Ticker | Amount |
|---|---|---|
| SELL | XLF | $1,082 |
| SELL | SPY | $962 |
| SELL | XLK | $593 |
| BUY | VIXY | $567 |
| BUY | XLP | $377 |
| SELL | XLC | $325 |
| BUY | XLE | $288 |
| BUY | GLD | $160 |
| BUY | XLV | $142 |
Kelly Portfolio (quarter-Kelly, $125K)
| Ticker | Weight | Dollars | E[Return] | Alpha |
|---|---|---|---|---|
| SPY | 15.39% | $19246 | 6.199% | -9.69116 |
| TLT | 15.39% | $19246 | 6.231% | -4.27249 |
| XLF | 15.39% | $19246 | 6.350% | 0.165005 |
| XLC | 14.48% | $18107 | 6.292% | 7.660121 |
| XLP | 11.97% | $14963 | 6.259% | 1.837030 |
| XLE | 6.694% | $8368 | 6.300% | 6.269065 |
| XLK | 4.788% | $5986 | 6.519% | 0.318900 |
| VIXY | 4.405% | $5506 | 3.878% | -0.98014 |
| XLV | 4.281% | $5352 | 6.439% | 0.294875 |
| XLI | 2.406% | $3008 | 6.247% | -3.38038 |
| GLD | 2.005% | $2507 | 6.993% | 0.671425 |
| XLU | 1.798% | $2248 | 6.178% | -0.12667 |
| CASH | 0.973% | $1217 | 4.50% | — |
Composite Alpha (IC-weighted blend)
| Ticker | Alpha | E[Return] | Signals | Top Signal |
|---|---|---|---|---|
| GLD | 0.671425 | 6.993% | 4 | momentum-252d |
| XLK | 0.318900 | 6.519% | 4 | momentum-252d |
| XLV | 0.294875 | 6.439% | 4 | momentum-252d |
| XLF | 0.165005 | 6.350% | 4 | momentum-252d |
| XLC | 7.660121 | 6.292% | 4 | momentum-252d |
| XLE | 6.269065 | 6.300% | 4 | momentum-252d |
| XLY | 5.351832 | 6.291% | 4 | momentum-252d |
| XLP | 1.837030 | 6.259% | 4 | momentum-252d |
| XLI | -3.38038 | 6.247% | 4 | momentum-252d |
| XLB | -9.75000 | 6.243% | 4 | momentum-252d |
| TLT | -4.27249 | 6.231% | 4 | momentum-252d |
| SPY | -9.69116 | 6.199% | 4 | momentum-252d |
| XLU | -0.12667 | 6.178% | 4 | momentum-252d |
| BTC-USD | -0.49999 | 5.467% | 4 | momentum-252d |
| XLRE | -0.61203 | 5.915% | 4 | momentum-252d |
| VIXY | -0.98014 | 3.878% | 4 | momentum-252d |
Momentum (252d)
| Ticker | Signal | Confidence |
|---|---|---|
| XLK | 1.399303 | 0.7 |
| GLD | 0.931203 | 0.7 |
| XLI | 0.739516 | 0.7 |
| XLE | 0.701068 | 0.7 |
| SPY | 0.596471 | 0.7 |
| XLC | 0.529626 | 0.7 |
| XLY | 0.457929 | 0.7 |
| XLB | 0.413868 | 0.7 |
| XLU | 0.101616 | 0.7 |
| XLF | -0.13786 | 0.7 |
| XLRE | -0.17016 | 0.7 |
| XLV | -0.25356 | 0.7 |
| XLP | -0.46206 | 0.7 |
| TLT | -0.60402 | 0.7 |
| BTC-USD | -1.66481 | 0.7 |
| VIXY | -2.57810 | 0.7 |
Mean Reversion (100d)
| Ticker | Signal | Confidence |
|---|---|---|
| XLV | 1.860203 | 0.6 |
| TLT | 1.304223 | 0.6 |
| VIXY | 1.090720 | 0.6 |
| XLF | 0.847643 | 0.6 |
| XLP | 0.777299 | 0.6 |
| BTC-USD | 0.390339 | 0.6 |
| GLD | 0.324823 | 0.6 |
| XLY | 6.920751 | 0.6 |
| XLC | -0.27127 | 0.6 |
| XLU | -0.34427 | 0.6 |
| XLE | -0.63928 | 0.6 |
| XLI | -0.75725 | 0.6 |
| SPY | -0.84959 | 0.6 |
| XLB | -0.94080 | 0.6 |
| XLK | -1.12519 | 0.6 |
| XLRE | -1.73677 | 0.6 |
Vol Regime (20/60d)
| Ticker | Signal | Confidence |
|---|---|---|
| BTC-USD | 2.217613 | 0.5 |
| GLD | 1.732330 | 0.5 |
| XLP | 0.832178 | 0.5 |
| XLB | 0.631703 | 0.5 |
| XLF | 0.598032 | 0.5 |
| VIXY | 0.245289 | 0.5 |
| XLV | 4.848125 | 0.5 |
| XLK | -0.24933 | 0.5 |
| TLT | -0.29182 | 0.5 |
| XLU | -0.41623 | 0.5 |
| XLRE | -0.51764 | 0.5 |
| XLC | -0.59248 | 0.5 |
| XLE | -0.63682 | 0.5 |
| XLI | -1.13989 | 0.5 |
| SPY | -1.16100 | 0.5 |
| XLY | -1.25674 | 0.5 |
Macro Indicators (FRED)
| Series | Name | Latest |
|---|---|---|
| T10Y2Y | 10Y-2Y Spread | 0.57 |
| T10YIE | 10Y Breakeven Inflation | 2.36 |
| DFF | Fed Funds Rate | 3.64 |
| UNRATE | Unemployment Rate | 4.4 |
| BAMLH0A0HYM2 | HY Credit Spread | 3.06 |
| ICSA | Initial Claims | 213000.0 |
| INDPRO | Industrial Production | 102.3412 |
| UMCSENT | Consumer Sentiment | 56.4 |
Universe
| Ticker | Name | Sector | Price | Mom-252 | Trade |
|---|---|---|---|---|---|
| XLK | Technology Select Sector | Technology | $154.3500 | 1.399303 | ✓ |
| XLV | Health Care Select Sector | Healthcare | $148.8 | -0.25356 | ✓ |
| XLF | Financial Select Sector | Financials | $52.43 | -0.13786 | ✓ |
| XLE | Energy Select Sector | Energy | $55.02 | 0.701068 | ✓ |
| XLI | Industrial Select Sector | Industrials | $173.5099 | 0.739516 | ✓ |
| XLY | Consumer Discretionary Select Sector | Consumer Discretionary | $120.41 | 0.457929 | ✓ |
| XLP | Consumer Staples Select Sector | Consumer Staples | $82.46 | -0.46206 | ✓ |
| XLC | Communication Services Select Sector | Communication | $119.0999 | 0.529626 | ✓ |
| XLRE | Real Estate Select Sector | Real Estate | $44.48 | -0.17016 | ✓ |
| XLB | Materials Select Sector | Materials | $51.88 | 0.413868 | ✓ |
| XLU | Utilities Select Sector | Utilities | $46.16 | 0.101616 | ✓ |
| SPY | S&P 500 ETF | Cross-Asset | $710.1400 | 0.596471 | ✓ |
| TLT | 20+ Year Treasury Bond ETF | Cross-Asset | $87.05000 | -0.60402 | ✓ |
| GLD | Gold ETF | Cross-Asset | $445.9299 | 0.931203 | ✓ |
| BTC-USD | Bitcoin | Cross-Asset | $77434.99 | -1.66481 | ✓ |
| VIXY | ProShares VIX Short-Term Futures ETF | Cross-Asset | $27.98 | -2.57810 | — |
Portfolio Backtest (2024-2025)
| Metric | Momentum | Equal-Weight | Δ |
|---|---|---|---|
| Total Return | 0.353923 | 0.334236 | +1.968704 |
| Annualized | 0.163702 | 0.155205 | +8.497326 |
| Sharpe Ratio | 3.006948 | 3.492082 | -0.48513 |
| Max Drawdown | 9.792594 | 7.312234 | +2.480359 |
| Win Rate | 0.625 | 0.634615 | -9.61538 |
| Calmar Ratio | 1.671700 | 2.122545 | -0.45084 |
Walk-Forward Evaluation
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