VIG
the house takes its cut — systematic daily desk
2026-07-31 · 12:30:17
UB=F ▲ +0.00% S1.1ZB=F ▲ +0.00% S1.3ZN=F ▲ +0.00% S2.3ZF=F ▲ +0.00% S3.4ZT=F ▲ +0.00% S4.0ZS=F ▲ +0.00% L0.5GC=F ▲ +0.00% L0.4ZC=F ▲ +0.00% L0.4HG=F ▲ +0.00% L0.4CT=F ▲ +0.00% L0.3ZW=F ▲ +0.00% L0.3PL=F ▲ +0.00% L0.3PA=F ▲ +0.00% L0.2RB=F ▲ +0.00% L0.2SI=F ▲ +0.00% L0.2HO=F ▲ +0.00% L0.2CL=F ▲ +0.00% L0.2KC=F ▲ +0.00% L0.2BZ=F ▲ +0.00% L0.2CC=F ▲ +0.00% S0.1HE=F ▲ +0.00% S0.2NG=F ▲ +0.00% S0.2SB=F ▲ +0.00% S0.4LE=F ▲ +0.00% S0.6SOL-USD ▲ +1.00% S0.2ETH-USD ▼ -0.12% S0.2XRP-USD ▲ +0.65% S0.2BTC-USD ▲ +0.87% S0.3^SSMI ▲ +0.00% L0.9^FTSE ▲ +0.00% L0.9^STI ▼ -0.70% L0.9^DJI ▲ +0.00% L0.8^AXJO ▲ +0.39% L0.8^AEX ▲ +0.00% L0.8^GSPC ▲ +0.00% L0.8^FCHI ▲ +0.00% L0.7^STOXX50E ▲ +0.00% L0.7^MXX ▲ +0.00% L0.6^GDAXI ▲ +0.00% L0.6^IBEX ▲ +0.00% L0.6^BVSP ▲ +0.00% L0.6^RUT ▲ +0.00% L0.6^HSI ▼ -0.77% L0.5^IXIC ▲ +0.00% L0.5^N225 ▲ +5.27% L0.3^TWII ▲ +6.88% L0.3^KS11 ▲ +14.64% L0.1^JKSE ▲ +0.00% S0.3^NSEI ▲ +0.00% S0.8EURJPY=X ▲ +0.00% L2.5CHFJPY=X ▼ -0.78% L2.0AUDNZD=X ▼ -0.16% L1.9CADJPY=X ▼ -1.49% L1.9GBPJPY=X ▼ -0.97% L1.8AUDJPY=X ▼ -0.73% L1.5NZDJPY=X ▼ -0.51% L1.3EURAUD=X ▲ +0.00% S2.1GBPCHF=X ▲ +0.00% S2.6EURGBP=X ▼ -0.25% S2.9EURCHF=X ▼ -0.43% S3.2SGD=X ▼ -0.36% L3.2TWD=X ▲ +0.00% L3.0THB=X ▼ -0.12% L1.7USDINR=X ▼ -0.06% L1.4KRW=X ▼ -0.50% L0.9BRL=X ▲ +0.00% S0.9USDZAR=X ▲ +0.00% S0.9USDMXN=X ▲ +0.00% S1.4JPY=X ▲ +0.00% L2.8CAD=X ▼ -0.16% L2.8CHF=X ▼ -0.79% L1.6AUDUSD=X ▲ +0.96% L1.4SEK=X ▼ -0.97% L1.2NOK=X ▼ -0.48% S1.2NZDUSD=X ▲ +1.12% S1.2GBPUSD=X ▲ +0.63% S1.6EURUSD=X ▲ +0.43% S2.2GOOGL ▲ +0.00% L0.3NVDA ▲ +0.00% L0.2MSFT ▲ +0.00% S0.2META ▲ +0.00% S0.2UB=F ▲ +0.00% S1.1ZB=F ▲ +0.00% S1.3ZN=F ▲ +0.00% S2.3ZF=F ▲ +0.00% S3.4ZT=F ▲ +0.00% S4.0ZS=F ▲ +0.00% L0.5GC=F ▲ +0.00% L0.4ZC=F ▲ +0.00% L0.4HG=F ▲ +0.00% L0.4CT=F ▲ +0.00% L0.3ZW=F ▲ +0.00% L0.3PL=F ▲ +0.00% L0.3PA=F ▲ +0.00% L0.2RB=F ▲ +0.00% L0.2SI=F ▲ +0.00% L0.2HO=F ▲ +0.00% L0.2CL=F ▲ +0.00% L0.2KC=F ▲ +0.00% L0.2BZ=F ▲ +0.00% L0.2CC=F ▲ +0.00% S0.1HE=F ▲ +0.00% S0.2NG=F ▲ +0.00% S0.2SB=F ▲ +0.00% S0.4LE=F ▲ +0.00% S0.6SOL-USD ▲ +1.00% S0.2ETH-USD ▼ -0.12% S0.2XRP-USD ▲ +0.65% S0.2BTC-USD ▲ +0.87% S0.3^SSMI ▲ +0.00% L0.9^FTSE ▲ +0.00% L0.9^STI ▼ -0.70% L0.9^DJI ▲ +0.00% L0.8^AXJO ▲ +0.39% L0.8^AEX ▲ +0.00% L0.8^GSPC ▲ +0.00% L0.8^FCHI ▲ +0.00% L0.7^STOXX50E ▲ +0.00% L0.7^MXX ▲ +0.00% L0.6^GDAXI ▲ +0.00% L0.6^IBEX ▲ +0.00% L0.6^BVSP ▲ +0.00% L0.6^RUT ▲ +0.00% L0.6^HSI ▼ -0.77% L0.5^IXIC ▲ +0.00% L0.5^N225 ▲ +5.27% L0.3^TWII ▲ +6.88% L0.3^KS11 ▲ +14.64% L0.1^JKSE ▲ +0.00% S0.3^NSEI ▲ +0.00% S0.8EURJPY=X ▲ +0.00% L2.5CHFJPY=X ▼ -0.78% L2.0AUDNZD=X ▼ -0.16% L1.9CADJPY=X ▼ -1.49% L1.9GBPJPY=X ▼ -0.97% L1.8AUDJPY=X ▼ -0.73% L1.5NZDJPY=X ▼ -0.51% L1.3EURAUD=X ▲ +0.00% S2.1GBPCHF=X ▲ +0.00% S2.6EURGBP=X ▼ -0.25% S2.9EURCHF=X ▼ -0.43% S3.2SGD=X ▼ -0.36% L3.2TWD=X ▲ +0.00% L3.0THB=X ▼ -0.12% L1.7USDINR=X ▼ -0.06% L1.4KRW=X ▼ -0.50% L0.9BRL=X ▲ +0.00% S0.9USDZAR=X ▲ +0.00% S0.9USDMXN=X ▲ +0.00% S1.4JPY=X ▲ +0.00% L2.8CAD=X ▼ -0.16% L2.8CHF=X ▼ -0.79% L1.6AUDUSD=X ▲ +0.96% L1.4SEK=X ▼ -0.97% L1.2NOK=X ▼ -0.48% S1.2NZDUSD=X ▲ +1.12% S1.2GBPUSD=X ▲ +0.63% S1.6EURUSD=X ▲ +0.43% S2.2GOOGL ▲ +0.00% L0.3NVDA ▲ +0.00% L0.2MSFT ▲ +0.00% S0.2META ▲ +0.00% S0.2
data through 2026-07-30 · universe 367 names

Model health / trust gate

Live edge — trailing 26w IC
+0.006 (t=0.2, 166 wks)
edge indistinct from zero over the trailing 26w (IC +0.006, t=0.2) — normal for an edge this size, but size down
Realized decile spread
-37 bps / 5d
top vs bottom decile, realized, gross
Data freshness
1 bday(s) old
every prediction is scored once its 5-day horizon completes
Cross-source check
inactive
verifies Yahoo returns against an independent provider on each refresh — add a free Tiingo API key in MYVIG to activate (keyless stooq is bot-walled)
EDGE MATH, HONESTLY — at the backtested best case (monthly config, net Sharpe ≈ 0.26) the full-Kelly growth rate is S²/2 ≈ 3.4%/yr per unit of gross; at the half-Kelly a sane desk actually runs, ≈ 3S²/8 ≈ 2.5%/yr. Vig compounds calibration and discipline; the money, if ever, follows the process — not the other way round.

Watchlist / yours — star anything from its security page

The book / cross-asset relative value — the strategy that survived every gate (06 RESEARCH)

net sharpe 0.7106walk-fwd 0.85positions 56gross 0.77as of 2026-07-24
LongClassWeight
PA=Fcommodity+3.31%
SI=Fcommodity+3.12%
KC=Fcommodity+2.87%
CC=Fcommodity+2.83%
^STIequity_index+2.44%
CHFJPY=Xfx_cross+2.14%
^MXXequity_index+2.08%
^SSMIequity_index+1.46%
CAD=Xfx_g10+1.36%
GBPJPY=Xfx_cross+1.25%
ShortClassWeight
XRP-USDcrypto-3.58%
SGD=Xfx_em-3.41%
EURJPY=Xfx_cross-2.40%
BTC-USDcrypto-2.33%
CHF=Xfx_g10-2.17%
SEK=Xfx_g10-2.13%
THB=Xfx_em-2.07%
ETH-USDcrypto-2.05%
USDZAR=Xfx_em-2.04%
AUDUSD=Xfx_g10-1.67%
Ranked weekly across ~77 futures, FX and crypto instruments; decile long/short construction, tau=0.25 partial rebalancing. Net Sharpe 0.71 full-window, 0.85 under yearly walk-forward config selection (no selection tax — the gate that cut the equity flagship 6x), clean shuffled control, 12 of 15 years positive. Top 10 per side shown.

Equity model / research display — real signal, walk-forward net ≈ 0 after costs; kept for the graded record, not for trading

HORIZON1D1W3M6M2Y each horizon is its own retrained model; 1W is the desk default and carries the live track record
as-of 2026-07-30 · 1 trading-day horizon · walk-forward IC +0.0190 (t=+2.9, n=757 periods) — every horizon is a counted trial
CVS LONG
P(out) 0.605 · edge +10.5pp +49.8%/90d
  • 6-month momentum in the 97th percentile of the S&P 500
  • 12-month momentum in the 97th percentile of the S&P 500
  • 3-month momentum in the 95th percentile of the S&P 500
equal-weight within the decile of a dollar-neutral book (backtested convention); horizon 1 trading days
FRT LONG
P(out) 0.605 · edge +10.5pp +22.0%/90d
  • 6-month momentum in the 96th percentile of the S&P 500
  • 12-month momentum in the 94th percentile of the S&P 500
  • 3-month momentum in the 91th percentile of the S&P 500
equal-weight within the decile of a dollar-neutral book (backtested convention); horizon 1 trading days
ACN SHORT
P(out) 0.425 · edge +7.5pp -16.7%/90d
  • 1-week momentum in the 96th percentile of the S&P 500
  • 1-month momentum in the 96th percentile of the S&P 500
  • 6-month momentum in the 4th percentile of the S&P 500
equal-weight within the decile of a dollar-neutral book (backtested convention); horizon 1 trading days

The equity book / at this horizon

Long bookP(out)Short bookP(out)
CVS0.605ACN0.425
FRT0.605ECHO0.428
D0.602CTSH0.433
JNJ0.590INTU0.435
EIX0.587GDDY0.436
HWM0.585IT0.438
AMD0.584ADSK0.439
LLY0.584ADBE0.439
BNY0.583EFX0.440
ADM0.583ERIE0.440
as-of 2026-07-30 · 5 trading-day horizon · walk-forward IC +0.0172 (t=+3.4, n=756 periods) — every horizon is a counted trial
INTC LONG
P(out) 0.599 · edge +9.9pp +107.1%/90d
  • 12-month momentum in the 98th percentile of the S&P 500
  • 1-month momentum in the 2th percentile of the S&P 500
  • distance from 52-week high in the 9th percentile of the S&P 500
equal-weight within the decile of a dollar-neutral book (backtested convention); horizon 5 trading days
ALB LONG
P(out) 0.595 · edge +9.5pp -29.5%/90d
  • 3-month momentum in the 0th percentile of the S&P 500
  • 6-month momentum in the 1th percentile of the S&P 500
  • 1-month momentum in the 2th percentile of the S&P 500
equal-weight within the decile of a dollar-neutral book (backtested convention); horizon 5 trading days
CTSH SHORT
P(out) 0.410 · edge +9.0pp -12.4%/90d
  • 1-week momentum in the 100th percentile of the S&P 500
  • RSI(14) in the 98th percentile of the S&P 500
  • 1-month momentum in the 98th percentile of the S&P 500
equal-weight within the decile of a dollar-neutral book (backtested convention); horizon 5 trading days

The equity book / at this horizon

Long bookP(out)Short bookP(out)
INTC0.599CTSH0.410
ALB0.595ICE0.436
ECHO0.590ADBE0.442
CMI0.587INTU0.442
CAT0.586AMP0.443
AMAT0.579PODD0.446
LRCX0.577CMG0.446
FRT0.569ACN0.446
DELL0.569ERIE0.446
HUM0.569EA0.447
as-of 2026-07-30 · 63 trading-day horizon · walk-forward IC +0.0291 (t=+1.9, n=53 periods) — every horizon is a counted trial
DELL LONG
P(out) 0.600 · edge +10.0pp +207.0%/90d
  • 6-month momentum in the 99th percentile of the S&P 500
  • medium-term vol regime in the 98th percentile of the S&P 500
  • 3-month momentum in the 96th percentile of the S&P 500
equal-weight within the decile of a dollar-neutral book (backtested convention); horizon 63 trading days
HPE LONG
P(out) 0.586 · edge +8.6pp +130.4%/90d
  • medium-term vol regime in the 98th percentile of the S&P 500
  • 6-month momentum in the 97th percentile of the S&P 500
  • 3-month momentum in the 94th percentile of the S&P 500
equal-weight within the decile of a dollar-neutral book (backtested convention); horizon 63 trading days
IEX SHORT
P(out) 0.377 · edge +12.3pp +44.4%/90d
  • distance from 52-week high in the 100th percentile of the S&P 500
  • medium-term vol regime in the 2th percentile of the S&P 500
  • 1-week momentum in the 95th percentile of the S&P 500
equal-weight within the decile of a dollar-neutral book (backtested convention); horizon 63 trading days

The equity book / at this horizon

Long bookP(out)Short bookP(out)
DELL0.600IEX0.377
HPE0.586CSGP0.408
DOC0.574AIZ0.411
ON0.572PFG0.417
AKAM0.561FIS0.420
APTV0.558ICE0.424
MU0.555EA0.425
MGM0.555BMY0.427
HOOD0.548CPRT0.431
APP0.546CTSH0.432
as-of 2026-07-30 · 126 trading-day horizon · walk-forward IC +0.0037 (t=+0.3, n=26 periods) — every horizon is a counted trial
COHR LONG
P(out) 0.609 · edge +10.9pp +201.9%/90d
  • 1-month momentum in the 3th percentile of the S&P 500
  • 1-week momentum in the 4th percentile of the S&P 500
  • distance from 52-week high in the 5th percentile of the S&P 500
equal-weight within the decile of a dollar-neutral book (backtested convention); horizon 126 trading days
MRVL LONG
P(out) 0.600 · edge +10.0pp +77.2%/90d
  • medium-term vol regime in the 98th percentile of the S&P 500
  • 1-month momentum in the 2th percentile of the S&P 500
  • distance from 52-week high in the 4th percentile of the S&P 500
equal-weight within the decile of a dollar-neutral book (backtested convention); horizon 126 trading days
EA SHORT
P(out) 0.369 · edge +13.1pp +81.1%/90d
  • 12-month momentum in the 100th percentile of the S&P 500
  • RSI(14) in the 100th percentile of the S&P 500
  • medium-term vol regime in the 0th percentile of the S&P 500
equal-weight within the decile of a dollar-neutral book (backtested convention); horizon 126 trading days

The equity book / at this horizon

Long bookP(out)Short bookP(out)
COHR0.609EA0.369
MRVL0.600PFG0.388
GLW0.596IEX0.419
HOOD0.586BMY0.428
APP0.585AIZ0.442
COIN0.579GRMN0.443
MU0.576AME0.444
DELL0.573LYB0.445
DOC0.572BR0.445
FICO0.571D0.447
as-of 2026-07-30 · 504 trading-day horizon · walk-forward IC -0.0531 (t=-1.3, n=6 periods) — every horizon is a counted trial
HOOD LONG
P(out) 0.573 · edge +7.3pp +579.7%/90d
  • RSI(14) in the 2th percentile of the S&P 500
  • 1-week momentum in the 3th percentile of the S&P 500
  • distance from 52-week high in the 4th percentile of the S&P 500
equal-weight within the decile of a dollar-neutral book (backtested convention); horizon 504 trading days
AKAM LONG
P(out) 0.564 · edge +6.4pp +20.8%/90d
  • medium-term vol regime in the 94th percentile of the S&P 500
  • RSI(14) in the 9th percentile of the S&P 500
  • short-term vol regime in the 10th percentile of the S&P 500
equal-weight within the decile of a dollar-neutral book (backtested convention); horizon 504 trading days
EIX SHORT
P(out) 0.385 · edge +11.5pp +26.8%/90d
  • 12-month momentum in the 95th percentile of the S&P 500
  • 6-month momentum in the 95th percentile of the S&P 500
  • distance from 52-week high in the 90th percentile of the S&P 500
equal-weight within the decile of a dollar-neutral book (backtested convention); horizon 504 trading days

The equity book / at this horizon

Long bookP(out)Short bookP(out)
HOOD0.573EIX0.385
AKAM0.564EA0.386
DELL0.561HST0.390
INTU0.558AEP0.392
ECHO0.558ETR0.399
DOC0.555VLO0.406
ON0.554MRK0.406
MGM0.550NI0.409
FSLR0.550DTE0.415
HPE0.550PFG0.417

Positioning intelligence / what the books are actually made of

SectorLongsShortsNet
Information Technology
15
8		+7
Health Care
7
4		+3
Industrials
4
1		+3
Energy
2
0		+2
Utilities
2
0		+2
Materials
1
0		+1
Communication Services
1
1		+0
Real Estate
1
1		+0
Consumer Staples
0
3		-3
Consumer Discretionary
1
8		-7
Financials
2
10		-8
Factor (avg xsec percentile)Long bookShort bookSpread
12m momentum90th17th+72pp
1m momentum29th66th-38pp
short-term vol27th57th-30pp
52w-high proximity46th28th+18pp
REGIME — 63d stock-bond correlation +0.51: stocks and bonds moving TOGETHER — diversification weak, risk-parity style books run hotter than their vol suggests.

The trend book / multi-asset, 12m trend, vol-targeted

bond_futcommoditycryptoequity_indexfx_crossfx_emfx_g10stockstockLONGSHORTP(out) ≥ 0.00 reset
Instrument21dVolTrend position
ZT=F bond_fut-0.2%1%SHORT 4.00x
ZF=F bond_fut-0.5%3%SHORT 3.40x
EURCHF=X fx_cross+0.9%3%SHORT 3.22x
SGD=X fx_em-0.9%3%LONG 3.16x
TWD=X fx_em+1.6%3%LONG 2.99x
EURGBP=X fx_cross-0.1%3%SHORT 2.92x
JPY=X fx_g10+0.6%4%LONG 2.84x
CAD=X fx_g10-1.4%4%LONG 2.84x
GBPCHF=X fx_cross+1.3%4%SHORT 2.59x
EURJPY=X fx_cross+1.3%4%LONG 2.46x
ZN=F bond_fut-0.9%4%SHORT 2.26x
EURUSD=X fx_g10+1.2%5%SHORT 2.16x
EURAUD=X fx_cross-0.3%5%SHORT 2.10x
CHFJPY=X fx_cross-0.8%5%LONG 1.99x
AUDNZD=X fx_cross-1.4%5%LONG 1.90x
CADJPY=X fx_cross+0.3%5%LONG 1.89x
GBPJPY=X fx_cross+0.2%6%LONG 1.75x
THB=X fx_em+0.3%6%LONG 1.70x