The Ledger · Public record

Dual Momentum Rotation (simplified)

Spec frozenspec 0ea0…6915 ✓ verifiedby houseForward-tested 0 days1d

Execution model · Paper trading on end-of-day data: signals are evaluated on the daily close and filled per the strategy's entry price field with the same slippage assumption as backtests. The deployed spec is frozen (hash-verified); the ledger is append-only.

Share on X

Original backtest (in-sample, 2016 →)

CAGR
12.66%
Total return
+252%
Max drawdown
24.5%
Sharpe
0.76

Live forward test (out-of-sample, since 2026-08-05)

Forward return
+0.00%
Max drawdown
0.0%
Days live
0
Ledger signals
0

Forward paper equity

Not enough forward history to chart yet — check back after a few trading days.

Signals ledger

append-only — rows can never be edited or deleted

No signals yet — this strategy is waiting for its rules to fire on live end-of-day data. That's the ledger being honest.
Frozen strategy rules (immutable since deployment)
{
  "backtest_timeframe": "1d",
  "description": "Rank 6 ETFs by 6-month return; hold the strongest while its momentum is positive.",
  "entry_price_field": "close",
  "entry_rule_long": "mom_126 > 1.0",
  "exit_rule": "mom_126 < 1.0",
  "indicators": [
    {
      "length": 126,
      "name": "close_126",
      "source": "close",
      "type": "lag"
    },
    {
      "formula": "close / close_126",
      "name": "mom_126",
      "type": "custom"
    }
  ],
  "max_holding_days": 0,
  "max_positions": 1,
  "name": "Dual Momentum Rotation",
  "position_size_mode": "notional_pct",
  "position_size_pct": 100,
  "ranking_field": "mom_126",
  "stop_loss_pct": 0,
  "symbols": [
    "SPY",
    "QQQ",
    "IWM",
    "EFA",
    "GLD",
    "TLT"
  ],
  "take_profit_pct": 0
}

Forward testing has no survivorship bias — signals are recorded as they happen, on the symbols the strategy actually watches. Historical simulation for research and education. Not financial advice. Past performance does not predict future results.