{
  "policy": {
    "version": "diversified-defensive-overlay-v1",
    "status": "exploratory_research_not_live_policy",
    "start": "2007-05-30",
    "cutoff": "2026-11-03",
    "assets": [
      "SPY",
      "TLT",
      "GLD",
      "BIL"
    ],
    "base_weights": [
      0.25,
      0.25,
      0.25,
      0.25
    ],
    "principle": "Keep diversified asset sleeves. No redistribution of sold sleeves into remaining risk assets; move proceeds to BIL. No shorting or 70% equity target.",
    "main_cases": [
      {
        "id": "Trend10",
        "kind": "monthly_ma",
        "months": 10,
        "floor": 0
      },
      {
        "id": "Trend10-half",
        "kind": "monthly_ma",
        "months": 10,
        "floor": 0.5
      },
      {
        "id": "Daily200-buffer",
        "kind": "daily_ma",
        "days": 200,
        "buffer": 0.02,
        "floor": 0
      },
      {
        "id": "Momentum12",
        "kind": "momentum",
        "months": 12,
        "floor": 0
      },
      {
        "id": "Drawdown8-half",
        "kind": "drawdown",
        "exit": 0.08,
        "reenter": 0.04,
        "floor": 0.5
      },
      {
        "id": "Volatility6",
        "kind": "volatility",
        "days": 60,
        "target": 0.06,
        "deadband": 0.1
      },
      {
        "id": "Trend10-leverage1.5",
        "kind": "monthly_ma",
        "months": 10,
        "floor": 0,
        "leverage": 1.5
      },
      {
        "id": "Trend10-conditional1.5",
        "kind": "monthly_ma",
        "months": 10,
        "floor": 0,
        "conditional_leverage": 1.5
      }
    ],
    "sensitivity_cases": [
      {
        "id": "Trend8",
        "kind": "monthly_ma",
        "months": 8,
        "floor": 0
      },
      {
        "id": "Trend12",
        "kind": "monthly_ma",
        "months": 12,
        "floor": 0
      },
      {
        "id": "Daily150-buffer",
        "kind": "daily_ma",
        "days": 150,
        "buffer": 0.02,
        "floor": 0
      },
      {
        "id": "Daily250-buffer",
        "kind": "daily_ma",
        "days": 250,
        "buffer": 0.02,
        "floor": 0
      },
      {
        "id": "Drawdown10-half",
        "kind": "drawdown",
        "exit": 0.1,
        "reenter": 0.05,
        "floor": 0.5
      },
      {
        "id": "Volatility8",
        "kind": "volatility",
        "days": 60,
        "target": 0.08,
        "deadband": 0.1
      }
    ],
    "monthly_ma": "At first session of month, each risk sleeve held if last completed month-end adjusted price >= mean of latest N completed month-end prices; otherwise zero or half of its 25% allocation. Initial entry uses last completed month even if midmonth.",
    "daily_ma": "Each close compare total-return price to N-session average: below 98% exits, above 102% reenters; retain state in buffer. Initial historical state uses price >= average at first valid warmup date. Trade at next session close if state changed; also monthly rebalance. Full portfolio resets on signal changes, so turnover includes trades in unaffected sleeves.",
    "momentum": "Last completed month-end total-return price vs 12 months earlier; >= means held, otherwise BIL. Monthly only.",
    "drawdown": "Use unfiltered costless monthly 25/25/25/25 reference NAV, not defensive strategy NAV. At >=8% reference drawdown halve all three risk sleeves; reenter only after reference drawdown <=4%. Signal at close, execute next close; monthly rebalance. This avoids a permanently defensive strategy waiting for its own NAV to recover.",
    "volatility": "60-session sample standard deviation of daily 0.25*(SPY return + TLT return + GLD return), annualized sqrt252. BIL treated as zero-risk in estimator only; actual BIL returns included in realized NAV. Scale risk sleeves by min(1,target/estimated volatility). Update at next close when scale differs by >=0.10 or monthly; excess to BIL. No leverage.",
    "leverage": "Isolated experiments: always 1.5x, or 1.5x only if all three risk sleeves pass monthly trend; otherwise 1x. Compare monthly permanent portfolio 1.5x. Share of gross target risky sleeve <=25%; leveraged NAV exposure can exceed 25% and drifts.",
    "cost_bps": 5,
    "cost_sensitivity_bps": [
      0,
      20
    ],
    "funding_spread": 0.015,
    "funding": "Historical DFF proxy plus spread, ACT/360 actual days, rate strictly before previous equity session. Not broker quotation. Existing ETF expenses not deducted twice.",
    "leverage_guard": "Gross exposure/NAV >2.5 at close triggers next-close reduction to at most 1x, restoring normal leverage only at a scheduled/signal rebalance. Not a broker liquidation model.",
    "execution": "Signals contain no same-day execution close. Close to next-close latency includes overnight gaps; ideal fractional total-return units. Entry and all later buy/sell notional charged; no final liquidation fee.",
    "robustness": "Full interval plus retrospective halves, alternative starts, crisis windows, rolling 10 years, parameter/cost sensitivity; fixed roster before first computation, no optimizer or winner promoted to live policy.",
    "limitations": [
      "Single-vendor revised prices; no complete second-source daily certification",
      "No investor taxes, FX, whole shares or actual margin rules",
      "No real forward out-of-sample and <20y common ETF history",
      "Signal exits are reactive, cannot predict the first fall; false signals and missed rebounds possible",
      "Literature results on broad long/short futures do not transfer to these long/cash ETF tests",
      "Finite experiments are multiple comparisons, including failed variants; no live trading authorized"
    ],
    "sources": [
      "https://mebfaber.com/2017/12/13/episode-86-quantitative-approach-tactical-asset-allocation/",
      "https://www.aqr.com/insights/research/journal-article/a-century-of-evidence-on-trend-following-investing"
    ]
  },
  "main": {
    "PP-annual": {
      "start": "2007-05-30",
      "end": "2026-11-03",
      "years": 19.430926028597437,
      "final_value": 357431.0664858263,
      "total_return": 2.5743106648582628,
      "cagr": 0.06775025204575957,
      "annualized_volatility": 0.07385135250349248,
      "max_drawdown": -0.16972494894077517,
      "max_dd_peak": "2021-12-27",
      "max_dd_trough": "2022-10-20",
      "max_dd_recovery": "2024-03-06",
      "max_dd_peak_to_recovery_days": 800,
      "longest_underwater_calendar_days": 799,
      "longest_underwater_start": "2021-12-27",
      "longest_underwater_last_below": "2024-03-05",
      "rebalances": 19,
      "cost_usd": 234.8288627353084,
      "funding_usd": 0.0,
      "rolling10_min": 0.033729127787603286,
      "rolling10_max": 0.08367291034608049,
      "mean_bil_weight": 0.24436696152487775,
      "max_equity_nav_exposure": 0.33258804137802395,
      "signal_changes": 0,
      "crises": [
        {
          "start": "2007-10-01",
          "end": "2009-03-31",
          "return": -0.00464297358130239,
          "max_drawdown": -0.14441582137292008
        },
        {
          "start": "2020-02-03",
          "end": "2020-04-30",
          "return": 0.03316003119991051,
          "max_drawdown": -0.10792183732945293
        },
        {
          "start": "2022-01-03",
          "end": "2022-12-30",
          "return": -0.11458335376643813,
          "max_drawdown": -0.16349675032753241
        }
      ]
    },
    "PP-monthly": {
      "start": "2007-05-30",
      "end": "2026-11-03",
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      "final_value": 351652.7800410638,
      "total_return": 2.5165278004106377,
      "cagr": 0.0668550209836225,
      "annualized_volatility": 0.07438954875733088,
      "max_drawdown": -0.17507808970553818,
      "max_dd_peak": "2021-12-27",
      "max_dd_trough": "2022-10-20",
      "max_dd_recovery": "2024-03-06",
      "max_dd_peak_to_recovery_days": 800,
      "longest_underwater_calendar_days": 799,
      "longest_underwater_start": "2021-12-27",
      "longest_underwater_last_below": "2024-03-05",
      "rebalances": 234,
      "cost_usd": 632.3288774129428,
      "funding_usd": 0.0,
      "rolling10_min": 0.033442771961718076,
      "rolling10_max": 0.08260440923701062,
      "mean_bil_weight": 0.24972014675319695,
      "max_equity_nav_exposure": 0.28441140436029033,
      "signal_changes": 0,
      "crises": [
        {
          "start": "2007-10-01",
          "end": "2009-03-31",
          "return": -0.013162657253621646,
          "max_drawdown": -0.15164055935115495
        },
        {
          "start": "2020-02-03",
          "end": "2020-04-30",
          "return": 0.036398080441606195,
          "max_drawdown": -0.10807498911653735
        },
        {
          "start": "2022-01-03",
          "end": "2022-12-30",
          "return": -0.1181924901571555,
          "max_drawdown": -0.16841691980206597
        }
      ]
    },
    "PP-band15-35": {
      "start": "2007-05-30",
      "end": "2026-11-03",
      "years": 19.430926028597437,
      "final_value": 376365.85215348774,
      "total_return": 2.7636585215348775,
      "cagr": 0.07059055128097702,
      "annualized_volatility": 0.0772883049545063,
      "max_drawdown": -0.18254005760351977,
      "max_dd_peak": "2021-12-27",
      "max_dd_trough": "2022-10-20",
      "max_dd_recovery": "2024-03-04",
      "max_dd_peak_to_recovery_days": 798,
      "longest_underwater_calendar_days": 795,
      "longest_underwater_start": "2021-12-27",
      "longest_underwater_last_below": "2024-03-01",
      "rebalances": 6,
      "cost_usd": 179.23079578934298,
      "funding_usd": 0.0,
      "rolling10_min": 0.03453136431085735,
      "rolling10_max": 0.08714157632665809,
      "mean_bil_weight": 0.2248866049088738,
      "max_equity_nav_exposure": 0.35136563797560866,
      "signal_changes": 0,
      "crises": [
        {
          "start": "2007-10-01",
          "end": "2009-03-31",
          "return": 0.001460286929911847,
          "max_drawdown": -0.14263482005105144
        },
        {
          "start": "2020-02-03",
          "end": "2020-04-30",
          "return": 0.0325726321371802,
          "max_drawdown": -0.11151522087459986
        },
        {
          "start": "2022-01-03",
          "end": "2022-12-30",
          "return": -0.12567993127245258,
          "max_drawdown": -0.1761756198231904
        }
      ]
    },
    "PP-monthly-1.5x": {
      "start": "2007-05-30",
      "end": "2026-11-03",
      "years": 19.430926028597437,
      "final_value": 467057.8734625558,
      "total_return": 3.6705787346255585,
      "cagr": 0.08255190506537291,
      "annualized_volatility": 0.11183713980165927,
      "max_drawdown": -0.2615817767705013,
      "max_dd_peak": "2021-12-27",
      "max_dd_trough": "2022-10-20",
      "max_dd_recovery": "2024-07-10",
      "max_dd_peak_to_recovery_days": 926,
      "longest_underwater_calendar_days": 925,
      "longest_underwater_start": "2021-12-27",
      "longest_underwater_last_below": "2024-07-09",
      "rebalances": 234,
      "cost_usd": 1201.5864950962634,
      "funding_usd": 81154.5749896091,
      "rolling10_min": 0.03726834730073825,
      "rolling10_max": 0.10311202859096258,
      "mean_bil_weight": 0.3745657721121842,
      "max_equity_nav_exposure": 0.42099160914817585,
      "signal_changes": 0,
      "crises": [
        {
          "start": "2007-10-01",
          "end": "2009-03-31",
          "return": -0.05440545121387741,
          "max_drawdown": -0.23071556908282864
        },
        {
          "start": "2020-02-03",
          "end": "2020-04-30",
          "return": 0.05061427768906723,
          "max_drawdown": -0.16054193148646512
        },
        {
          "start": "2022-01-03",
          "end": "2022-12-30",
          "return": -0.18894356159908388,
          "max_drawdown": -0.25253584471355295
        }
      ]
    },
    "Trend10": {
      "start": "2007-05-30",
      "end": "2026-11-03",
      "years": 19.430926028597437,
      "final_value": 255923.3408195711,
      "total_return": 1.5592334081957109,
      "cagr": 0.04954994693267145,
      "annualized_volatility": 0.05730172265291676,
      "max_drawdown": -0.08172274073796082,
      "max_dd_peak": "2021-12-27",
      "max_dd_trough": "2023-02-24",
      "max_dd_recovery": "2024-04-03",
      "max_dd_peak_to_recovery_days": 828,
      "longest_underwater_calendar_days": 947,
      "longest_underwater_start": "2015-02-02",
      "longest_underwater_last_below": "2017-09-06",
      "rebalances": 234,
      "cost_usd": 4604.272010643369,
      "funding_usd": 0.0,
      "rolling10_min": 0.024303411800563834,
      "rolling10_max": 0.06258790099549594,
      "mean_bil_weight": 0.4969823193354911,
      "max_equity_nav_exposure": 0.2723125804889094,
      "signal_changes": 97,
      "crises": [
        {
          "start": "2007-10-01",
          "end": "2009-03-31",
          "return": 0.09324788765103165,
          "max_drawdown": -0.05996928050581618
        },
        {
          "start": "2020-02-03",
          "end": "2020-04-30",
          "return": 0.043302874723842644,
          "max_drawdown": -0.06910290532118446
        },
        {
          "start": "2022-01-03",
          "end": "2022-12-30",
          "return": -0.0656388761290404,
          "max_drawdown": -0.06992870421520181
        }
      ],
      "defensive_episodes": [
        {
          "asset": "SPY",
          "exit_or_initial_defensive": "2008-01-02",
          "reentry": "2009-07-01",
          "sessions": 377,
          "asset_return": -0.3392184691736636,
          "bil_return": 0.017475024701310682,
          "missed_positive_excess": false,
          "quick_reversal_63": false
        },
        {
          "asset": "SPY",
          "exit_or_initial_defensive": "2010-07-01",
          "reentry": "2010-08-02",
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          "asset_return": 0.097314351532233,
          "bil_return": -0.00043730023046284483,
          "missed_positive_excess": true,
          "quick_reversal_63": true
        },
        {
          "asset": "SPY",
          "exit_or_initial_defensive": "2010-09-01",
          "reentry": "2010-10-01",
          "sessions": 21,
          "asset_return": 0.062360142016524955,
          "bil_return": 0.0,
          "missed_positive_excess": true,
          "quick_reversal_63": true
        },
        {
          "asset": "SPY",
          "exit_or_initial_defensive": "2011-09-01",
          "reentry": "2012-02-01",
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          "asset_return": 0.10798592947793484,
          "bil_return": -0.0008293912422451255,
          "missed_positive_excess": true,
          "quick_reversal_63": false
        },
        {
          "asset": "SPY",
          "exit_or_initial_defensive": "2015-09-01",
          "reentry": "2015-11-02",
          "sessions": 43,
          "asset_return": 0.1027990771793621,
          "bil_return": -0.0006566115125536953,
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          "quick_reversal_63": true
        },
        {
          "asset": "SPY",
          "exit_or_initial_defensive": "2016-02-01",
          "reentry": "2016-04-01",
          "sessions": 42,
          "asset_return": 0.07403669968896609,
          "bil_return": 0.00043763653260908697,
          "missed_positive_excess": true,
          "quick_reversal_63": true
        },
        {
          "asset": "SPY",
          "exit_or_initial_defensive": "2018-11-01",
          "reentry": "2018-12-03",
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          "asset_return": 0.021168950662963537,
          "bil_return": 0.0016073639946780904,
          "missed_positive_excess": true,
          "quick_reversal_63": true
        },
        {
          "asset": "SPY",
          "exit_or_initial_defensive": "2019-01-02",
          "reentry": "2019-03-01",
          "sessions": 40,
          "asset_return": 0.12087294552886818,
          "bil_return": 0.0038201523899970002,
          "missed_positive_excess": true,
          "quick_reversal_63": true
        },
        {
          "asset": "SPY",
          "exit_or_initial_defensive": "2019-06-03",
          "reentry": "2019-07-01",
          "sessions": 20,
          "asset_return": 0.08204849666297132,
          "bil_return": 0.0018047217153260853,
          "missed_positive_excess": true,
          "quick_reversal_63": true
        },
        {
          "asset": "SPY",
          "exit_or_initial_defensive": "2020-03-02",
          "reentry": "2020-06-01",
          "sessions": 63,
          "asset_return": -0.005639880915215834,
          "bil_return": 0.0014864637900591227,
          "missed_positive_excess": false,
          "quick_reversal_63": false
        },
        {
          "asset": "SPY",
          "exit_or_initial_defensive": "2022-03-01",
          "reentry": "2022-04-01",
          "sessions": 23,
          "asset_return": 0.05662362551544242,
          "bil_return": 0.00021841534288080666,
          "missed_positive_excess": true,
          "quick_reversal_63": true
        },
        {
          "asset": "SPY",
          "exit_or_initial_defensive": "2022-05-02",
          "reentry": "2022-12-01",
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          "asset_return": -0.00882921363058975,
          "bil_return": 0.010359811506480687,
          "missed_positive_excess": false,
          "quick_reversal_63": false
        },
        {
          "asset": "SPY",
          "exit_or_initial_defensive": "2023-01-03",
          "reentry": "2023-02-01",
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          "bil_return": 0.002798253488949465,
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        },
        {
          "asset": "SPY",
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          "reentry": "2023-12-01",
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          "asset_return": 0.08621590662364209,
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        },
        {
          "asset": "SPY",
          "exit_or_initial_defensive": "2025-04-01",
          "reentry": "2025-06-02",
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          "asset_return": 0.056580575193024174,
          "bil_return": 0.0069915079517797185,
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        },
        {
          "asset": "SPY",
          "exit_or_initial_defensive": "2026-04-01",
          "reentry": "2026-05-01",
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          "bil_return": 0.0029550275626915035,
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        },
        {
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          "bil_return": 0.007829683829496004,
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          "quick_reversal_63": true
        },
        {
          "asset": "TLT",
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          "reentry": "2008-07-01",
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          "asset_return": 0.020168237745282536,
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        },
        {
          "asset": "TLT",
          "exit_or_initial_defensive": "2009-05-01",
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          "asset_return": 0.0031811270443997675,
          "bil_return": -0.0003917635922284779,
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          "quick_reversal_63": false
        },
        {
          "asset": "TLT",
          "exit_or_initial_defensive": "2010-01-04",
          "reentry": "2010-06-01",
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          "asset_return": 0.09717916001684612,
          "bil_return": 0.00021974007739133938,
          "missed_positive_excess": true,
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        },
        {
          "asset": "TLT",
          "exit_or_initial_defensive": "2011-01-03",
          "reentry": "2011-06-01",
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          "asset_return": 0.06517283754843417,
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          "quick_reversal_63": false
        },
        {
          "asset": "TLT",
          "exit_or_initial_defensive": "2011-07-01",
          "reentry": "2011-08-01",
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          "bil_return": 0.00021974007739133938,
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        },
        {
          "asset": "TLT",
          "exit_or_initial_defensive": "2013-01-02",
          "reentry": "2013-05-01",
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          "asset_return": 0.046237102346881276,
          "bil_return": -0.00021794093988225516,
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          "quick_reversal_63": false
        },
        {
          "asset": "TLT",
          "exit_or_initial_defensive": "2013-06-03",
          "reentry": "2014-02-03",
          "sessions": 169,
          "asset_return": -0.026857274742095316,
          "bil_return": -0.0008731193730308062,
          "missed_positive_excess": false,
          "quick_reversal_63": false
        },
        {
          "asset": "TLT",
          "exit_or_initial_defensive": "2015-06-01",
          "reentry": "2016-02-01",
          "sessions": 169,
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