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Hypothetical."},"signals":{"asOf":"2026-11-03","states":[{"ticker":"SPY","signalOn":"SPY","state":"in","value":0.030046,"threshold":30.46218,"distance":-0.02917,"distanceUnit":"percent move in the price to flip","text":"SPY: SPY is 3.0% above its 10-month average: in. It flips out if it falls 2.9%."},{"ticker":"EFA","signalOn":"EFA","state":"in","value":0.000253,"threshold":4.787663,"distance":-0.000253,"distanceUnit":"percent move in the price to flip","text":"EFA: EFA is 0.0% above its 10-month average: in. It flips out if it falls 0.0%."},{"ticker":"IEF","signalOn":"IEF","state":"out","value":-0.010392,"threshold":2.212939,"distance":0.010502,"distanceUnit":"percent move in the price to flip","text":"IEF: IEF is 1.0% below its 10-month average: out, in cash. It flips in if it rises 1.1%."},{"ticker":"VNQ","signalOn":"VNQ","state":"in","value":0.014273,"threshold":4.835974,"distance":-0.014072,"distanceUnit":"percent move in the price to flip","text":"VNQ: VNQ is 1.4% above its 10-month average: in. It flips out if it falls 1.4%."},{"ticker":"GSG","signalOn":"GSG","state":"in","value":0.089454,"threshold":0.664609,"distance":-0.082109,"distanceUnit":"percent move in the price to flip","text":"GSG: GSG is 8.9% above its 10-month average: in. It flips out if it falls 8.2%."}],"rejected":[],"lastDecision":{"signalDate":"2026-10-30","reasons":{"SPY":"SPY is 4.2% above its 10-month average","EFA":"EFA is 0.7% above its 10-month average","IEF":"IEF is 0.9% below its 10-month average, so its 20.0% slot is cash","VNQ":"VNQ is 1.0% above its 10-month average","GSG":"GSG is 16.7% above its 10-month average"}},"nextSignalDate":"2026-11-30","nextTradeDate":"2026-12-01","pill":"partly-in"},"holdings":{"asOf":"2026-11-03","rebalanceDate":"2026-11-02","weights":[{"ticker":"SPY","name":"SPDR S&P 500 ETF Trust","weight":20.062,"link":"/funds/spy/"},{"ticker":"GSG","name":"iShares GSCI Commodity-Indexed Trust Fund","weight":20.059,"link":"/funds/gsg/"},{"ticker":"CASH","name":null,"weight":20.005,"link":null},{"ticker":"VNQ","name":"Vanguard Real Estate ETF","weight":19.992,"link":"/funds/vnq/"},{"ticker":"EFA","name":"iShares MSCI EAFE ETF","weight":19.883,"link":"/funds/efa/"}],"pending":null},"blotter":[],"scorecard":{"kind":"strategy","a":"trend-following","b":"AOR","window":{"from":"2010-01-15","to":"2026-11-03","firstReturn":"2010-01-22","weeklyReturns":877,"years":16.8,"short":false},"riskFree":{"rate":0.01540871,"perWeek":0.0002963213,"days":4203,"series":"13-week Treasury bill, coupon equivalent, average of daily yields","source":"U.S. Department of the Treasury, Daily Treasury Bill Rates","url":"https://home.treasury.gov/resource-center/data-chart-center/interest-rates/TextView?type=daily_treasury_bill_rates"},"measures":{"total":{"a":1.00978927,"b":2.43742556,"edge":"AOR","lead":"AOR"},"annualised":{"a":0.04225675,"b":0.07595697,"edge":"AOR","lead":"AOR"},"volatility":{"a":0.07424071,"b":0.10072787,"edge":"trend-following","lead":"trend-following"},"downsideDeviation":{"a":0.05431505,"b":0.07073589,"edge":"trend-following","lead":"trend-following"},"maxDrawdown":{"a":-0.13667932,"b":-0.22192623,"edge":"trend-following","lead":"trend-following","aPeak":"2011-04-29","aTrough":"2012-06-01","bPeak":"2020-02-14","bTrough":"2020-03-20"},"excess":{"a":0.02876409,"b":0.06294461,"edge":"AOR","lead":"AOR"},"sharpe":{"a":0.38744366,"b":0.62489771,"edge":"AOR","lead":"AOR"},"sortino":{"a":0.52957864,"b":0.88985399,"edge":"AOR","lead":"AOR"},"calmar":{"a":0.30916712,"b":0.34226227,"edge":"AOR (slight)","lead":"AOR"}},"relative":{"trend-following":{"on":"AOR","beta":0.49409022,"r2":0.44939432,"alpha":-0.00233623,"alphaT":-0.17341082,"alphaLow":-0.02877784,"alphaHigh":0.02410539,"upsideCapture":0.53540964,"downsideCapture":0.66802397,"treynor":0.05821627,"trackingError":0.07504402,"informationRatio":-0.45547295,"upWeeks":516,"downWeeks":357,"treynorReference":0.06294461,"edges":{"beta":{"edge":"Lower beta","lead":null,"neutral":true},"r2":{"edge":null,"lead":null,"neutral":true},"alpha":{"edge":"Not significant","lead":null},"alphaRange":{"edge":"Includes zero","lead":null},"upsideCapture":{"edge":"AOR","lead":"AOR"},"downsideCapture":{"edge":"trend-following","lead":"trend-following"},"treynor":{"edge":"AOR (slight)","lead":"AOR"},"informationRatio":{"edge":null,"lead":"AOR","note":"one number for the pair: its sign says which side it favours"},"trackingError":{"edge":null,"lead":null,"neutral":true}}}}},"scorecardListed":null,"erosion":null,"costs":{"basis":"Half the quoted bid/ask spread, charged on the value traded, each way. The 30-day median spread from site/data/trading-cost.json where ETFIQ has one for the fund, else the default for its class. Fund expense ratios are already inside each fund's total return, so no fee is charged twice. Simulated 2x days charge the fund's expense ratio daily.","halfSpreadBpsByFund":{"EFA":3.0,"GSG":4.0,"IEF":0.5,"SPY":1.0,"VNQ":0.55},"turnoverPerYear":1.902,"costDragPerYear":0.00041,"totalCostPct":0.7673,"grossAnnualised":0.04381,"netAnnualised":0.0434,"taxDragPerYear":null,"taxDragNote":"Not measured: ETFIQ has no lot-level or investor-level tax data. A strategy that trades monthly realises short-term gains."},"skepticInputs":{"paperDays":0,"backtestYears":19.43,"simulatedShare":0.0,"costDragPerYear":0.00041,"turnoverPerYear":1.902,"parameters":3,"largestHoldingPct":20.062,"holdingsCount":4,"survivorshipRisk":false},"moves":{"signalDate":"2026-10-30","effective":"2026-10-31","moves":[{"ticker":"VNQ","text":"into VNQ: 0.0% to 20.0%. VNQ is 1.0% above its 10-month average."}]},"secondSource":{"method":"independent rebuild: no code shared with the Model Hub engine or the scorecard (QuantStats is not installed in this environment)","agree":true,"checks":[{"name":"allocations well formed","count":234},{"name":"signal dates are month-end closes","count":234,"bad":0},{"name":"independent rebuild of the net series","days":4888,"worstRelativeGap":4.941823645854271e-07,"tolerance":2e-06,"date":"2009-03-06"},{"name":"total return","published":1.282491,"fromPublishedSeries":1.2824915316447,"independentRebuild":1.282491235219728,"gap":2.329229670250399e-07,"tolerance":2e-06},{"name":"deepest fall","published":-0.151247,"fromPublishedSeries":-0.13667940768199696,"independentRebuild":-0.15124679121400358,"gap":2.0878599640838935e-07,"tolerance":2e-06},{"name":"rules replayed on the cache","allocations":234,"differing":0},{"name":"benchmark AOR against the cache","differing":0},{"name":"prices: our total return against the vendor's adjusted close","days":35214,"mismatches":0,"tolerance":0.005}],"findings":[],"asOf":"2026-11-03"}}