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 | $10132.47 | Sharpe ratio | 0.37 | |
| Total return | 1.32% | Sortino ratio | 0.56 | |
| CAGR | 2.52% | Calmar ratio | 0.37 | |
| Volatility (annualised) | 8.06% | Profit factor | 1.08 | |
| Days live | 126 | Maximum drawdown | -6.76% |
Process consistency
| Positive months | 66.7% |
| Best month | 4.24% |
| Worst month | -5.33% |
| Recovery from max drawdown | 27 days |
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) | 0.53 | 0.00 | 0.42 |
| Bitcoin (BTC-USD) | 0.24 | 0.21 | 0.06 |
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 |
|---|---|
| 2B76.DE | 15.7097 |
| AAPL | 1.4467 |
| AMD | 0.8299 |
| DBE | 4.6375 |
| DBMF | 7.5733 |
| EEM | 2.3537 |
| KDP | 1.6521 |
| META | 0.1533 |
| NTSX | 5.9488 |
| NVDA | 0.4251 |
| QQQ | 0.4727 |
| SHV | 18.3002 |
| SQQQ | 20.0144 |
| TEAM | 0.0000 |
| UNH | 0.7752 |
| USD | 0.0000 |
| UUP | 72.2696 |
| VDE | 0.3770 |
| VFH | 8.8134 |
| VLUE | 3.5485 |
| W1TA.DE | 3.5511 |
| XAIX.DE | 1.1226 |
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.
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