Investment thesis
Tree-based ML — economic intuition. Supervised non-linear models exploit conditional relationships between engineered features (volatility regime, cross-asset spreads, calendar effects) and short-horizon return distributions. The edge comes from noisy but persistent micro-structure in FX and metals where linear factor models under-fit interaction terms.
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 | $10918.07 | Sharpe ratio | 1.27 | |
| Total return | 9.18% | Sortino ratio | 0.65 | |
| CAGR | 16.85% | Calmar ratio | 3.72 | |
| Volatility (annualised) | 13.28% | Profit factor | 2.18 | |
| Days live | 139 | Maximum drawdown | -4.52% |
Process consistency
| Positive months | 28.6% |
| Best month | 5.73% |
| Worst month | 0.00% |
| Recovery from max drawdown | 1 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) | 0.15 | 0.00 | 0.19 |
| Bitcoin (BTC-USD) | 0.14 | 0.17 | 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 |
|---|---|
| USD | 10918.0692 |
Research & documentation
- Strategy deep-dive: XAUZenbotTreeBot: strategy deep-dive & live performance
- Reference implementation:
tradingbot/xauzenbot.py - Framework: python_tradingbot_framework (open source, fully inspectable)
Related strategies
Other strategies in the Tree-based ML family:
- EURUSDTreeBot · research note- XAUSyntheticMetalTreeBot · 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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