Thesis: An even split of shares put back to even once a year / USD v1
run 9496 as portfolio versions hold it (snapshot 83) · started 2026-09-29 09:28:41 · finished 2026-09-29 09:29:05 · peak 1110 MB · the strategy now
held in portfolio versions: Retired couple, 68 v34 (withdrawal, primary, Joint brokerage 8.74%, Rollover IRA 15.98%, Roth IRA 3.00%, Spouse IRA 7.74%, Spouse Roth IRA 2.00%) · Retired, 66 v33 (withdrawal, primary, Brokerage 6.96%, Rollover IRA 25.68%, Roth IRA 4.82%) · Retired couple, 68 v32 (withdrawal, primary, RRSP 6.43%) · Retired, 66 v31 (withdrawal, primary, RRSP 6.07%) · Mid-life couple, 55 v30 (cagr_dd, primary, RRSP 4.68%) · Mid-life saver, 45 v29 (cagr_dd, primary, RRSP 7.10%) · Mid-life couple, 55 v28 (cagr_dd, primary, Joint brokerage 8.95%, Rollover IRA 19.09%, Roth IRA 5.37%, Spouse IRA 8.35%, Spouse Roth IRA 3.58%) · Mid-life saver, 45 v27 (cagr_dd, primary, Brokerage 6.18%, Rollover IRA 30.91%, Roth IRA 8.24%) · Mid-life couple, 55 v26 (withdrawal, primary, RRSP 8.50%) · Mid-life saver, 45 v25 (withdrawal, primary, RRSP 10.52%) · Mid-life couple, 55 v24 (withdrawal, primary, RRSP 8.50%) · Mid-life saver, 45 v23 (withdrawal, primary, RRSP 10.52%)
How it invests (strategy version 1)
Its universe is every stock and fund in the USD sleeve (every US listing with prices on disk), except those trading under a cent.
At the end of every year, it ranks the names by how many shares it typically trades a day (median over 3 months), and holds the 50 ranked highest in equal amounts.
No position is larger than 10% of what the stock typically trades in a day.
Trades are placed on the day after the signal, at that day's close, with commissions charged.
Note on the rule: the list: 50 most-traded names by raw share volume (guess)
Source: https://arxiv.org/abs/1602.00782 · rules: --roster universe --select liq:63 --hold 50 --every Y
Key metrics
Quality
B evidence supports an edge: 10.6 years out of sample, alpha +13.6% (t 2.4); the rule's parameters are a guess (capped at B)
Hypothetical: a backtest of a published rule. The results include commissions and leave out the spread, market impact and taxes; that overstates them. Rated before 2026-10-02: against the index alone, with no Outlook, Risk, Protection or Fit yet.
| Evidence: is there an edge beyond what index funds and cash give, since the rule was published? | ||
|---|---|---|
| rule fidelity | C | a guessed rule (the rule's parameters are a guess) |
| published | 2016-02-29 | |
| out of sample from | 2016-02-29 | 10.6 years |
| alpha before | 2.5% | a year against the sleeve's index fund, t 0.9 |
| alpha after (out of sample) | 13.6% | t 2.4 |
| alpha after 2021-08-14 | 7.7% | the fixed 15 + 5 year check, t 1.1 |
| beta | 1.12 | against the sleeve's index fund, whole run |
| deflated Sharpe | 0.07 | chance the Sharpe (0.85) beats the luck of 620 independent tries |
| decades with positive alpha | 3 of 3 | 2003-09, 2010-19, 2020- |
| fees a year | 0.7% | share of the starting capital |
| buys in funds, preferreds, bonds | 22.3% | for a rule over the whole sleeve |
Equity
Fills — 1233
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| Day ▲ | Ticker | Quantity | Price | Fee |
|---|---|---|---|---|
| 2014-01-02 | QQQ | 47 | 78.7601 | 1 |
| 2014-01-02 | QQQ | 47 | 78.7601 | 1 |
| 2014-01-02 | S-202003 | -4,362 | 10.4 | 21.81 |
| 2014-01-02 | S-202003 | -4,362 | 10.4 | 21.81 |
| 2014-01-02 | SOXL | -54,981 | 0.9991 | 274.66 |
| 2014-01-02 | SOXL | -54,981 | 0.9991 | 274.66 |
| 2014-01-02 | SPY | 22 | 147.8315 | 1 |
| 2014-01-02 | SPY | 22 | 147.8315 | 1 |
| 2014-01-02 | SSO | -802 | 5.8808 | 4.01 |
| 2014-01-02 | SSO | -802 | 5.8808 | 4.01 |
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Log
(no log)