Adaptive Commodity Orthogonal Research
Quick v2 experiment focused on commodity sleeves that are orthogonal to AlphaVault AI/momentum references. Data is Yahoo adjusted daily ETF proxy data restricted to the prior AlphaVault research window.
Best candidateorthogonal_macro_ensemble_v2
Net Sharpe0.89
Max Corr0.33
Net MaxDD-11.3%
Why v1 Was Not Strong
- Commodity ETF close-only trend ignores futures carry and roll yield, especially for
USO,UNG,DBC, andGSG. - Commodity sub-sectors are not one regime: gold, grains, oil, uranium, and copper often need different gates.
- GLD was the cleanest orthogonal asset, but naive commodity baskets diluted that edge.
- Volatility targeting reduced drawdown in v2, but it also reduced gross exposure, so standalone Sharpe did not reach the AI/power candidates.
Equity Curves
orthogonal_macro_ensemble_v2adaptive_gold_macro_v2commodity_equity_divergence_v2commodity_reversal_in_uptrend_v2commodity_breadth_voltarget_v2energy_metals_rotation_v2
Strategy Ranking
| Strategy | Algorithm | Net Sharpe | 3Y Sharpe | 3M Sharpe | Net MaxDD | Max Corr | Bias | Latest Positions |
|---|---|---|---|---|---|---|---|---|
| orthogonal_macro_ensemble_v2 | Ensemble of gold macro, commodity breadth trend, and commodity-vs-equity relative strength. If QQQ strongly beats SPY, it shifts more weight to UUP/GLD defense. | 0.89 | 1.23 | 2.68 | -11.3% | 0.33 | PASS | UUP:12.00%,DBB:11.98%,CPER:9.24%,GLD:9.00%,COPX:1.21%,UGA:1.04%,USO:0.99%,BNO:0.91%,PDBC:0.80%,DBC:0.79%,GSG:0.76% |
| adaptive_gold_macro_v2 | Gold/metals macro switch. Owns GLD/SLV/industrial metals when gold trend is positive and equity/dollar regime is friendly; otherwise moves toward UUP/TLT/GLD defense. | 0.81 | 1.13 | -0.71 | -11.3% | 0.40 | PASS | DBB:23.97%,CPER:18.47%,COPX:2.42% |
| commodity_equity_divergence_v2 | Commodity relative-strength gate. Takes commodity exposure only when commodity risk-adjusted momentum beats SPY/QQQ; otherwise holds GLD/UUP/TLT. | 0.72 | 0.83 | 3.07 | -10.4% | 0.16 | FAIL | UUP:35.00%,TLT:22.13%,GLD:7.87% |
| commodity_reversal_in_uptrend_v2 | Buy pullbacks inside medium-term commodity uptrends. It looks for assets with positive 126d trend but negative 10d return, then buys the strongest pullback candidates. | 0.69 | 1.02 | 1.89 | -7.7% | 0.38 | FAIL | URA:8.28%,GLD:8.27%,SLV:4.66%,COPX:3.60% |
| commodity_breadth_voltarget_v2 | Commodity breadth trend. When enough commodity ETFs have positive 84d momentum, it buys the strongest names with inverse-vol / target-vol sizing; otherwise it de-risks. | 0.67 | 1.16 | 3.23 | -23.9% | 0.23 | PASS | UGA:5.18%,USO:4.94%,BNO:4.53%,PDBC:4.00%,DBC:3.94%,GSG:3.78% |
| energy_metals_rotation_v2 | Rotates across energy, agriculture, metals, and broad commodity groups, then selects the strongest ETFs inside the top groups. | 0.25 | 0.67 | 3.28 | -27.2% | 0.24 | PASS | PDBC:6.80%,DBC:6.70%,GSG:6.48%,UGA:3.81%,USO:3.69%,BNO:3.39% |
Algorithm High-Level Notes
| Strategy | High-level Algorithm | Signal Inputs | Research Read |
|---|---|---|---|
| orthogonal_macro_ensemble_v2 | Ensemble of gold macro, commodity breadth trend, and commodity-vs-equity relative strength. If QQQ strongly beats SPY, it shifts more weight to UUP/GLD defense. | Inputs: 63d QQQ-SPY spread, GLD 126d trend, UUP 63d trend, commodity breadth, commodity-vs-equity score. Weekly rebalance with target-vol scaling. | Best overall diversifier: low correlation, low drawdown, but exposure is conservative so net Sharpe is still below 1. |
| adaptive_gold_macro_v2 | Gold/metals macro switch. Owns GLD/SLV/industrial metals when gold trend is positive and equity/dollar regime is friendly; otherwise moves toward UUP/TLT/GLD defense. | Inputs: GLD 126d momentum, UUP 63d momentum, SPY/QQQ 63d equity risk, 84d risk-adjusted metals momentum. | Cleanest macro interpretation, but currently more industrial-metals heavy than pure gold. |
| commodity_equity_divergence_v2 | Commodity relative-strength gate. Takes commodity exposure only when commodity risk-adjusted momentum beats SPY/QQQ; otherwise holds GLD/UUP/TLT. | Inputs: 84d commodity basket risk-adjusted momentum minus 84d equity risk-adjusted momentum. | Very orthogonal and recent curve looks good, but P0 bias gate failed and full-period Sharpe is modest. |
| commodity_reversal_in_uptrend_v2 | Buy pullbacks inside medium-term commodity uptrends. It looks for assets with positive 126d trend but negative 10d return, then buys the strongest pullback candidates. | Inputs: 126d trend filter, 10d pullback score normalized by 42d volatility. If no pullbacks exist, it parks in UUP/GLD. | Curve is visually smooth because exposure is small and vol-targeted. Not enough standalone alpha yet: net Sharpe 0.686 and P0 shift test failed. |
| commodity_breadth_voltarget_v2 | Commodity breadth trend. When enough commodity ETFs have positive 84d momentum, it buys the strongest names with inverse-vol / target-vol sizing; otherwise it de-risks. | Inputs: percent of commodity universe with positive 84d return, 84d and 21d risk-adjusted momentum. | Good recent behavior, but historical drawdown and net Sharpe are not competitive enough. |
| energy_metals_rotation_v2 | Rotates across energy, agriculture, metals, and broad commodity groups, then selects the strongest ETFs inside the top groups. | Inputs: group-level 84d risk-adjusted momentum and within-group 84d momentum. | Most commodity-like, but full-period Sharpe is weakest and drawdown remains high. |
Intermediate Signals
orthogonal_macro_ensemble_v2 latest signals
| date | gross | qqq_minus_spy_63d | gold_equity_risk_63d | gold_dollar_63d | gold_gold_126d | breadth_breadth | commodity_vs_equity | positions |
|---|---|---|---|---|---|---|---|---|
| 2026-04-01 | 0.281725 | -0.017247 | -0.060573 | 0.029652 | 0.220819 | 1.0000 | 1.290269 | BNO:4.34%,USO:4.07%,GSG:3.70%,PDBC:3.49%,DBC:3.39%,COPX:2.14%,SLV:1.92%,DBB:1.91%,UGA:1.80%,GLD:1.41% |
| 2026-04-09 | 0.257866 | -0.006402 | -0.023371 | 0.013623 | 0.192519 | 1.0000 | 0.865375 | USO:3.81%,BNO:3.60%,PDBC:3.28%,DBC:3.20%,GSG:3.15%,COPX:2.20%,DBB:1.98%,UGA:1.56%,SLV:1.53%,PPLT:1.48% |
| 2026-04-16 | 0.282352 | 0.007455 | 0.015376 | -0.002194 | 0.164961 | 1.0000 | 0.658752 | USO:3.71%,PDBC:3.44%,BNO:3.42%,DBC:3.38%,DBB:3.19%,GSG:3.04%,COPX:2.80%,PPLT:1.86%,GLD:1.71%,UGA:1.69% |
| 2026-04-23 | 0.274315 | 0.023857 | 0.052419 | 0.007701 | 0.079648 | 1.0000 | 0.507175 | USO:3.44%,BNO:3.27%,PDBC:3.17%,DBC:3.14%,URA:3.04%,DBB:2.92%,GSG:2.91%,COPX:2.09%,UGA:1.79%,CPER:1.67% |
| 2026-04-30 | 0.266799 | 0.020056 | 0.036060 | 0.036801 | 0.137326 | 0.9375 | 0.606006 | URA:4.05%,DBB:4.04%,USO:3.52%,BNO:3.43%,PDBC:2.72%,DBC:2.71%,GSG:2.70%,UGA:1.79%,COPX:1.51%,CPER:0.21% |
| 2026-05-07 | 0.415145 | 0.077710 | 0.111202 | 0.012588 | 0.168610 | 1.0000 | 0.167922 | UUP:12.00%,GLD:11.31%,URA:5.71%,DBB:3.83%,COPX:2.67%,UGA:1.26%,BNO:1.02%,USO:0.99%,PDBC:0.95%,DBC:0.93%,DBA:0.84% |
| 2026-05-14 | 0.458609 | 0.091488 | 0.121438 | 0.025345 | 0.137745 | 1.0000 | 0.198039 | UUP:12.00%,GLD:10.00%,DBB:7.14%,CPER:5.48%,COPX:5.14%,UGA:1.21%,USO:1.01%,DBA:1.00%,BNO:0.98%,PDBC:0.95%,DBC:0.94% |
| 2026-05-21 | 0.487073 | 0.097343 | 0.134568 | 0.022493 | 0.123100 | 0.8125 | -0.117998 | UUP:12.00%,DBB:11.98%,CPER:9.24%,GLD:9.00%,COPX:1.21%,UGA:1.04%,USO:0.99%,BNO:0.91%,PDBC:0.80%,DBC:0.79%,GSG:0.76% |
adaptive_gold_macro_v2 latest signals
| date | gross | equity_risk_63d | dollar_63d | gold_126d | positions |
|---|---|---|---|---|---|
| 2026-04-01 | 0.211000 | -0.060573 | 0.029652 | 0.220819 | COPX:6.12%,SLV:5.49%,DBB:5.46%,GLD:4.03% |
| 2026-04-09 | 0.205304 | -0.023371 | 0.013623 | 0.192519 | COPX:6.28%,DBB:5.65%,SLV:4.36%,PPLT:4.24% |
| 2026-04-16 | 0.273315 | 0.015376 | -0.002194 | 0.164961 | DBB:9.12%,COPX:8.01%,PPLT:5.31%,GLD:4.89% |
| 2026-04-23 | 0.277576 | 0.052419 | 0.007701 | 0.079648 | URA:8.68%,DBB:8.34%,COPX:5.97%,CPER:4.77% |
| 2026-04-30 | 0.280094 | 0.036060 | 0.036801 | 0.137326 | URA:11.57%,DBB:11.53%,COPX:4.31%,CPER:0.59% |
| 2026-05-07 | 0.290512 | 0.111202 | 0.012588 | 0.168610 | URA:11.43%,DBB:7.66%,COPX:5.34%,GLD:4.62% |
| 2026-05-14 | 0.375189 | 0.121438 | 0.025345 | 0.137745 | DBB:14.28%,CPER:10.96%,COPX:10.28%,GLD:2.00% |
| 2026-05-21 | 0.448655 | 0.134568 | 0.022493 | 0.123100 | DBB:23.97%,CPER:18.47%,COPX:2.42% |
commodity_breadth_voltarget_v2 latest signals
| date | gross | breadth | positions |
|---|---|---|---|
| 2026-04-01 | 0.329624 | 1.0000 | BNO:6.35%,USO:6.00%,GSG:5.42%,UGA:5.14%,PDBC:5.10%,DBC:4.94% |
| 2026-04-09 | 0.294936 | 1.0000 | USO:5.61%,BNO:5.26%,PDBC:4.81%,DBC:4.71%,GSG:4.63%,UGA:4.47% |
| 2026-04-16 | 0.295992 | 1.0000 | USO:5.43%,PDBC:5.03%,DBC:4.95%,BNO:4.94%,UGA:4.81%,GSG:4.44% |
| 2026-04-23 | 0.281028 | 1.0000 | UGA:5.12%,USO:4.97%,BNO:4.66%,PDBC:4.60%,DBC:4.56%,GSG:4.20% |
| 2026-04-30 | 0.268660 | 0.9375 | UGA:5.12%,USO:5.06%,BNO:4.90%,DBC:3.96%,PDBC:3.94%,GSG:3.88% |
| 2026-05-07 | 0.299447 | 1.0000 | UGA:6.29%,BNO:5.10%,USO:4.95%,PDBC:4.73%,DBC:4.67%,DBA:4.21% |
| 2026-05-14 | 0.305073 | 1.0000 | UGA:6.07%,USO:5.07%,DBA:5.02%,BNO:4.89%,PDBC:4.75%,DBC:4.71% |
| 2026-05-21 | 0.263729 | 0.8125 | UGA:5.18%,USO:4.94%,BNO:4.53%,PDBC:4.00%,DBC:3.94%,GSG:3.78% |
Discussion Read
The best research lead is orthogonal_macro_ensemble_v2: it passes bias and correlation gates, has low drawdown, and is genuinely different from AI/momentum. But its net Sharpe is below 1.0, so I would not launch it yet. The next useful mutation is to add real commodity carry/curve features rather than more ETF momentum combinations.