{
  "version": "30-20-25-25-sleeve-leverage-v1",
  "stage": "research_only_not_production",
  "cutoff": "2026-11-03",
  "long_start": "2007-05-30",
  "capital_weights": {
    "SPY": 0.3,
    "IEF": 0.2,
    "GLD": 0.25,
    "variable": 0.25
  },
  "capital_vs_exposure": "Weights allocate own capital. Exposure=capital weight times sleeve multiplier; debt=sum exposures minus1. SPY and equity-like variable sleeves remain1x at rebalance. Account collateral remains shared; equity is not isolated from portfolio losses.",
  "variable_candidates": [
    "XLU",
    "VNQ",
    "IGF",
    "DBC"
  ],
  "fallback": "BIL",
  "fixed_controls": [
    "BIL",
    "XLU",
    "VNQ",
    "DBC",
    "IGF"
  ],
  "rotation": "At first trading close of month, choose highest trailing252-session total return above BIL, measured through previous close. A candidate needs its own full252-session history. Otherwise BIL. No historical AI narratives or future winning sectors.",
  "daily_variant": "Same lagged252-day scores, check daily. Switch if current excess return<=0, or challenger exceeds current by at least5 percentage points. Enter a positive winner from BIL. Monthly rebalance still occurs.",
  "leverage_eligible": [
    "IEF",
    "GLD",
    "DBC"
  ],
  "never_lever": [
    "SPY",
    "QQQ",
    "XLU",
    "VNQ",
    "IGF",
    "IFRA",
    "BIL"
  ],
  "adaptive_rule": "At monthly allocation or actual rotation, compare each eligible asset trailing252-return annual volatility to SPY. If trailing-window max drawdown<=10% and volatility lower than SPY, multiplier=min(2,SPYvol/ownvol), otherwise1. Historical full-sample drawdown never used to assign leverage.",
  "adaptive_gross_cap": 1.6,
  "sleeve_cap": 2.0,
  "gross_guard": 1.8,
  "guard": "If portfolio post-close gross exposure/NAV exceeds1.8, reset all sleeves to1x next close; stay unlevered until next monthly rebalance. Not a broker margin simulation; gaps can bypass thresholds.",
  "fixed_leverage_control": "IEF2x only; SPY/GLD/variable1x. Gross target1.2, debt20% of equity.",
  "funding": "DFF with observation date strictly before previous trading close plus1.5pp annual spread, ACT/360 actual calendar days, compounded cash/debt. Cash credit uses laggedDFF. Borrowing cost is assumption not a broker quote.",
  "cost_bps": 5,
  "capital_usd": 100000,
  "execution": "Signals through prior close, execution at current close, new holdings earn only subsequent returns. Fractional total-return units; no final liquidation fee.",
  "sensitivity": [
    "momentum126days",
    "drawdown_gate5%/15%",
    "sleeve_cap1.5",
    "funding_spread0.5pp/3pp",
    "transaction_cost0/20bps",
    "monthly_rule_quarterly_review"
  ],
  "robustness": [
    "original baseline unchanged",
    "standalone returns including pre-cost descriptive history",
    "same-period baseline",
    "calendar years including2008/2020/2022",
    "rolling10y",
    "retrospective chronological halves",
    "entry2010/2015/2020",
    "independent Linux replay",
    "causality prefix test"
  ],
  "limits": [
    "USD nominal; investor tax and FX omitted; expenses embedded in fund prices not double deducted",
    "Shorter maturity does not necessarily increase bond total return; leverage requires returns above funding costs",
    "XLU is broad utilities, not pure AI power; VNQ and infrastructure are equity-like, variable equity can make total equity55%",
    "Data vendor revision, survivorship and retrospectively chosen candidate-universe bias persist even with lagged signals",
    "Price rotation is a reproducible proxy, not a backtest of AI macro forecasting skill",
    "Whole-period low drawdown does not guarantee future safety; leverage magnifies losses",
    "Research comparison not a change to live policy or a broker order"
  ]
}