CLAUSE · BACKTEST REPORT · HYPOTHETICAL PERFORMANCE

Mega-cap five, risk-weighted

“make a basket of NVDA, MSFT, AVGO, AAPL and GOOGL weighted inversely to each name's 63-day volatility, rebalanced monthly, and hold it only while the basket trades above its 100-day average and SPY trades above its 200-day average, otherwise park in BIL”

Tested over May 2007 to October 2026. On data sealed Oct 15, 2026. Published 15 October 2026.

The contract

1. Universe. Trade only the megafive basket, SPY, BIL.
2. Basket. The megafive basket holds NVDA, MSFT, AVGO, AAPL, GOOGL weighted inversely to each name's 63-day realized volatility, measured on the sessions before each rebalance, rebalanced monthly; a member joins at the first rebalance after it lists and drops if it stops trading. A member with too little history to be sized is left out of that rebalance.
3. Signal. Each trading day at 09:35 ET, read the megafive basket’s close price.
4. Signal. Also read the megafive basket’s 100-day simple moving average.
5. Signal. Also read SPY’s close price.
6. Signal. Also read SPY’s 200-day simple moving average.
7. Entry. If the megafive basket’s close price exceeds the megafive basket’s 100-day average and SPY’s close price exceeds SPY’s 200-day average, set the target allocation of the megafive basket to 100% and set the target allocation of BIL to 0%.
8. Entry. Otherwise, set the target allocation of the megafive basket to 0% and set the target allocation of BIL to 100%.

Equity vs SPY, dividends reinvested

STRATEGYMEGAFIVE BASKET BUY-AND-HOLDHOLDINGSSPY, DIVIDENDS REINVESTEDlog scale

HOLDINGS5 names at a time, 6 over the run

Tear sheet

TOTAL

+3,947%

CAGR

+21.0%

VOL

17.1%

SHARPE

1.13

SPY SHARPE

0.57

BUY-AND-HOLD SHARPE

0.95

SORTINO

1.61

MAX DD

−24.8%

LONGEST DD

687 days

BETA

0.38

GROSS

99.9%

GROSS MAX

100%

NET

+99.9%

LONG

100%

SHORT

0.0%

TRADES

2240

TURNOVER

824%

COST DRAG

0.8%

CAPACITY

$82,555 (BIL)

FINAL VALUE

$4,047,088 from $100,000

Per-clause attribution

What each clause earned while its decision governed the portfolio, holds included; these add up to the total return. The second figure re-runs the backtest with that clause removed and shows how the result would change.

EARNEDWITHOUT

Clause 7

+3,925%−3,916%

Clause 8

+22.5%+5,781%

About these numbers

Window

Tested from May 30, 2007 to Oct 14, 2026. On a copy of the market sealed Oct 15, 2026.

Fills

Orders fill at the next open, 5 basis points each way.

Borrow

Every short pays 0.3% a year on the value of the position for each calendar day it is held. Where our data carries short interest, the rate steps up with short interest as a percent of shares outstanding, using the figure that was public before each session.

An assumption, not a record: we hold no historical borrow rates.

Short interest	Borrow
20% of shares outstanding or more	12% a year
10% of shares outstanding or more	4% a year
5% of shares outstanding or more	1.5% a year
under 5%, or none on file	0.3% a year

Dividends

Cash dividends are credited on the ex-date to whoever held the shares at the close before it: a long receives them, a short pays them, and the cash is reinvested at the next open. Capital gain distributions and dividends paid in stock are not modelled..

Margin

No margin interest, no maintenance calls modelled.

Delistings

A holding that stops trading exits at the last print held.

Halts

Treated like a delisting.

Attribution

Each clause's share of the result is measured by re-running the backtest without it.

Hypothetical performance on historical data. The same contract on the same data and cost model reproduces this number exactly. Backtests are not indicative of future results.