ETF MODEL / HOW IT WORKS
How the model sets direction and target weights
Current model v4.0.1. The 20 published instruments and calculation settings below are generated from the implementation and configuration.
1. Regular session closes
Collection starts 30 minutes after the calendar-defined close. U.S. and Japanese markets update independently.
2. Validate daily data
Check the target session, OHLC, splits, missing observations and reference prices. A valid 220-trading-day history is required.
3. Determine direction
Apply the selected instrument-specific timing rule below.
4. Calculate instrument weights
Use the actual ETF's volatility and its instrument-level cap.
5. Apply account constraints
Scale down sequentially for target-group totals, invested capital, leverage-weighted exposure and covariance-based risk.
6. Publish / next opening
Publish validated results. Assumed execution is at the next market trading day's opening.
Instrument-specific models
Changed November 5, 2026. Selection prioritizes net completed-trade win rate in the first 60% of observed history, with at least 10 trades. Ties use CAGR. The later period is retrospective, not untouched validation. Higher win rate does not imply higher returns. Insufficient evidence retains the previous rule. SPXL uses the 200-day trend-following rule by explicit operator selection.
| SPXL | SPY: Reference close relative to SMA200: above => LONG; otherwise CASH. Decision: LONG. |
|---|---|
| SPXS | SPY: Reference close relative to SMA200: below and 20-session return is negative => LONG; otherwise CASH. Decision: CASH. |
| TQQQ | QQQ: Contrarian: Reference close relative to SMA200: below => LONG; otherwise CASH. Decision: CASH. |
| SQQQ | QQQ: Reference close relative to SMA200: below and 20-session return is negative => LONG; otherwise CASH. Decision: CASH. |
| TECL | XLK: Contrarian: Reference close relative to SMA200: below => LONG; otherwise CASH. Decision: CASH. |
| SOXL | SOXX: Contrarian: Reference close relative to SMA200: below => LONG; otherwise CASH. Decision: LONG. |
| FAS | XLF: Reference close relative to SMA200: above and 20-session return is positive => LONG; otherwise CASH. Decision: LONG. |
| TECS | XLK: Reference close relative to SMA200: below and 20-session return is negative => LONG; otherwise CASH. Decision: CASH. |
| SOXS | SOXX: Reference close relative to SMA200: below and 20-session return is negative => LONG; otherwise CASH. Decision: LONG. |
| FAZ | XLF: Reference close relative to SMA200: below => LONG; otherwise CASH. Decision: CASH. |
| NVDL | NVDA: Reference close relative to SMA200: above and 20-session return is positive => LONG; otherwise CASH. Decision: CASH. |
| MUU | MU: Reference close relative to SMA200: above => LONG; otherwise CASH. Decision: LONG. |
| TSLL | TSLA: Reference close relative to SMA100: above => LONG; otherwise CASH. Decision: LONG. |
| SPCH | SPCX: Reference close relative to SMA200: above => LONG; otherwise CASH. Decision: UNAVAILABLE. |
| NVDD | NVDA: Reference close relative to SMA200: below => LONG; otherwise CASH. Decision: LONG. |
| MUD | MU: Reference close relative to SMA200: below and 20-session return is negative => LONG; otherwise CASH. Decision: CASH. |
| TSLS | TSLA: Reference close relative to SMA100: below => LONG; otherwise CASH. Decision: CASH. |
| SSPC | SPCX: Reference close relative to SMA200: below => LONG; otherwise CASH. Decision: UNAVAILABLE. |
| 1570 | 1321.T: Contrarian: Reference close relative to SMA200: below => LONG; otherwise CASH. Decision: LONG. |
| 1357 | 1321.T: Contrarian: Reference close relative to SMA200: above => LONG; otherwise CASH. Decision: CASH. |
Published instruments and reference prices
| Symbol | Target / daily leverage | Reference price | Instrument cap |
|---|---|---|---|
| SPXL | S&P500 · Bull 3× | SPY | 30% |
| SPXS | S&P500 · Bear 3× | SPY | 30% |
| TQQQ | Nasdaq-100 · Bull 3× | QQQ | 30% |
| SQQQ | Nasdaq-100 · Bear 3× | QQQ | 30% |
| TECL | Information technology · Bull 3× | XLK | 30% |
| SOXL | Semiconductors · Bull 3× | SOXX | 30% |
| FAS | Financials · Bull 3× | XLF | 30% |
| TECS | Information technology · Bear 3× | XLK | 30% |
| SOXS | Semiconductors · Bear 3× | SOXX | 30% |
| FAZ | Financials · Bear 3× | XLF | 30% |
| NVDL | NVIDIA · Bull 2× | NVDA | 5% |
| MUU | Micron · Bull 2× | MU | 5% |
| TSLL | Tesla · Bull 2× | TSLA | 5% |
| SPCH | SpaceX · Bull 2× | SPCX | 5% |
| NVDD | NVIDIA · Bear 1× | NVDA | 5% |
| MUD | Micron · Bear 1× | MU | 5% |
| TSLS | Tesla · Bear 1× | TSLA | 5% |
| SSPC | SpaceX · Bear 2× | SPCX | 5% |
| 1570 | Nikkei 225 · Bull 2× | 1321.T | 30% |
| 1357 | Nikkei 225 · Bear 2× | 1321.T | 30% |
Fixed selections: S&P 500 uses SPXL; Nasdaq-100 uses TQQQ. Product direction and the model's LONG/CASH state are separate.
Target-weight calculation
When CASH: 0%
Actual ETF daily returns include splits and distributions over the latest 60 trading days, with at least 40 observations. Annualized volatility is sample standard deviation × √252. Product leverage is not multiplied into ETF volatility again.
| Account | Investment cap | Leverage-weighted exposure cap | Annual volatility target |
|---|---|---|---|
| US (USD) | 80% | 150% | 25% |
| JP (JPY) | 80% | 100% | 25% |
Weights use each market account's total assets as the denominator. USD and JPY have independent budgets; their weights are not added together. Risk targets do not guarantee a maximum loss.
Earnings-event guard: Disabled, reflecting the current configuration.
Update and execution timeline
Exchange calendars determine holidays, shortened sessions and daylight saving time. On retrieval failure, retain the last valid result with its actual reference date. Never relabel old daily prices as today's data.
Relationship to validation
Published models use instrument-specific conditions shared by daily signals and backtests. Historical performance does not establish future profitability.
Backtest results and assumptions → / Latest signals and prices →
Configuration / implementation fingerprint: 85e3ae8ea53b3032. This explanation is regenerated from the actual settings on every production build.