Investment thesis
Portfolio optimisation — economic intuition. Given a universe of imperfectly-correlated return streams, convex optimisation (Markowitz, risk-parity, recursive decay) produces weights that dominate naive equal-weight on a risk-adjusted basis. The edge is not in alpha discovery but in the disciplined combination of existing signals — consistent with institutional multi-manager allocation.
Risk-adjusted performance — live track record
Forward-tested daily against live market data. Metrics derived from end-of-day portfolio marks; methodology documented on the Due Diligence and About pages.
| Return | Value | Risk-adjusted | Value | |
|---|---|---|---|---|
| Current portfolio worth | $10092.41 | Sharpe ratio | 0.36 | |
| Total return | 0.92% | Sortino ratio | 0.61 | |
| CAGR | 2.30% | Calmar ratio | 0.34 | |
| Volatility (annualised) | 9.12% | Profit factor | 1.08 | |
| Days live | 81 | Maximum drawdown | -6.76% |
Process consistency
| Positive months | 80.0% |
| Best month | 3.21% |
| Worst month | -5.33% |
| Recovery from max drawdown | still underwater |
Market independence
Correlation and beta versus passive benchmarks, computed over the full live series.
| Benchmark | Correlation | 90-day rolling correlation | Beta |
|---|---|---|---|
| S&P 500 (SPY) | 0.54 | 0.00 | 0.54 |
| Bitcoin (BTC-USD) | 0.26 | 0.00 | 0.07 |
A correlation materially below 1.0 to both benchmarks indicates the strategy’s returns are not a simple re-expression of long equity or long crypto beta.
Equity curve
Live track record — forward-tested performance from the strategy's production start date.
Drawdown profile
Underwater curve — percentage below the running high-water mark. Institutional allocators read this before the equity curve.
Current holdings
| Symbol | Quantity |
|---|---|
| AAPL | 1.6061 |
| AMD | 0.3960 |
| AMZN | 0.6929 |
| BTEC.L | 20.5963 |
| DBA | 66.4928 |
| DBB | 0.0000 |
| DBE | 10.5384 |
| DBO | 27.1034 |
| EEM | 6.2546 |
| L0CK.DE | 12.5183 |
| LLY | 0.0000 |
| QQQ | 0.1889 |
| RENW.DE | 34.6697 |
| SQQQ | 4.1852 |
| TEAM | 0.0000 |
| TMF | 5.5254 |
| USD | 0.0000 |
| UUP | 59.4040 |
| VDC | 0.9732 |
| VDE | 1.0995 |
| VLUE | 7.2209 |
| VNQ | 5.9231 |
| VPU | 2.1427 |
| W1TA.DE | 2.7146 |
| XAIX.DE | 1.2482 |
Research & documentation
- Strategy deep-dive: SharpePortfolioOptWeeklyBot: strategy deep-dive & live performance
- Reference implementation:
tradingbot/sharpeportfoliooptweekly.py - Framework: python_tradingbot_framework (open source, fully inspectable)
Related strategies
Other strategies in the Portfolio optimisation family:
- RecursiveDecayHarvestBot · research note- SynthesizedHyperConvexityBot · research note Or view the full strategy roster.
For professional investors
Request the investor deck, DDQ, and extended analytics. Firm-gated and reviewed manually.
Request access