Create an investment strategy Focused on the broad US market

Bottom line

I created a paused paper-strategy draft called US Tactical Balanced 10V / 15DD.

The research rehearsal tested three candidates:

1. Trend + momentum + volatility targeting
2. Simpler trend-only defensive rotation
3. Static 60/40 fallback

I selected trend + momentum + volatility targeting for the draft not because it had the best return, but because it was the only tested candidate that stayed inside the historical 15% max-drawdown goal.

What the backtest showed

• Selected strategy, full sample: CAGR 5.2%, annualized vol 6.9%, max drawdown -13.8%
• Selected strategy, 2019+ holdout: CAGR 3.7%, vol 7.4%, max drawdown -13.8%
• Static 60/40 fallback: stronger return and Sharpe, and closer to the 10% vol target, but max drawdown was about -21.0%
• Trend-only defensive rotation: better holdout Sharpe and slightly better Covid crash behavior, but max drawdown was about -19.5%

Important caveat

This draft meets the historical drawdown goal, but it undershoots the requested 10% volatility target. In other words, it achieved the drawdown discipline partly by being more conservative than requested. So the current draft is best interpreted as a drawdown-first starting point, not a perfect 10%-vol solution.

Covid stress test

During the Covid crash window:

• Selected strategy return: -7.7%
• Selected strategy drawdown: -11.2%
• Calendar year 2020 return: +1.6%
• Recovery from the Feb 19, 2020 peak: about 341 days

For context:

• Static 60/40 Covid drawdown: about -19.1%
• Trend-only defensive rotation Covid drawdown: about -9.0%

Current sleeve snapshot from the selected draft

Latest backtest-selected mix was roughly:

• SHY 27%
• IWM 21%
• QQQ 21%
• XLP 18%
• LQD 13%

Remedies / next improvements

If you want this strategy closer to your original brief, the best remedies are:

1. Raise risk budget carefully in risk-on regimes to move realized vol closer to 10%.
2. Use more Treasuries and less credit in defense when credit trend weakens; that may preserve crisis protection with cleaner downside behavior.
3. Add a faster crisis override so the strategy can de-risk sooner than weekly when volatility spikes.
4. Keep the 15% drawdown boundary as hard policy, but accept that doing so may cap upside unless we relax cash drag or allow a more assertive risk-on sleeve.

Practical interpretation

If your priority is truly "stay under 15% drawdown", this is the most aligned draft of the tested set. If your priority is "hit 10% vol more tightly and maximize return", this draft is too conservative and should be tuned further.

Also, no backtest can guarantee future max drawdown will stay below 15%; that is a design target and control policy, not a certainty.

Done

I upgraded the draft to an activation-ready paused version.

What changed

I added explicit:

• scheduled monitoring rules
• soft override triggers and actions
• hard override triggers and actions
• a clear trigger policy for when the strategy should wake up outside the normal weekly cycle
• stronger implementation discipline so the strategy does not treat every signal as a reason to churn

Key activation-ready controls now in the mandate

Scheduled review

• Weekly review remains at 21:00 UTC.

Soft override state The strategy now shifts into defense when conditions deteriorate, including:

• 20-day realized volatility above 12%
• drawdown above 8%
• weak offensive breadth
• credit stress versus Treasury ballast
• unusually high proposed turnover

Hard override state Capital protection now takes priority when:

• drawdown reaches 15% or worse
• 20-day realized volatility rises above 14%
• crisis conditions hit both offensive and credit sleeves
• execution conditions become disorderly

Hard override actions The mandate now explicitly tells the agent to:

• rotate toward SHY / IEF / TLT
• suspend new offensive adds
• require confirmation before re-risking after a shock
• honor the existing stop-on-drawdown pause at the 15% boundary

Important boundary

This version is activation-ready, but it is still paused. I did not activate it.

That matters because activation would start automatic execution behavior, and that requires your explicit approval.

Research consistency check

The updated version still preserves the original research conclusion:

• the selected tactical draft stayed within the historical 15% drawdown goal
• it did not beat the static 60/40 fallback on holdout return or Sharpe
• it remained a drawdown-first choice rather than a return-maximizing one

So the revised mandate is stricter and more operational, but it does not overclaim what the backtest proved.

Practical next step

Before activation, the cleanest path is:

1. run one more paper execution test against the revised mandate
2. confirm you're comfortable with the override thresholds
3. activate only after that approval step