Jan 2018 – Jun 2026 (8.4 years) · $1,000,000 starting capital · 18% annualized vol target · Long-only, vol-parity sized
| Entry | Exit | Entry px | Exit px | P&L ($) | Days | Exit |
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The vol-targeted sizing engine only ever deploys a fraction of the $1M into margin — average , peaking at during the most active periods (2020 COVID trend). The remaining cash sits idle in a standard account. This overlay assumes that idle balance — capital − margin posted — earns the historical daily Fed Funds effective rate minus 50bps (a typical sweep-account spread), accrued Actual/360.
The Fed Funds rate used is the actual historical target-range midpoint for each day: 0% during 2020–2021 (ZIRP), rising to ~5.4% in 2023–24, and the current 3.5–3.75% range (≈3.13% net of the 50bp spread) as of mid-2026. Average net cash rate over the period was .
Long entry when: weekly trend up ≥3 bars AND daily trend up ≥3 bars AND close > weekly trend value AND monthly trend not down.
Exit when weekly trend reverses down (≥3 bars), or a 2×ATR(20) stop is hit. Stop moves to breakeven once price has moved 2×ATR in favor. Long-only — no short positions taken.
Daily $ vol target = Capital × 18% ÷ √252 = $11,339/day at $1M.
For each instrument in a trade: block_value = price × 0.01 × point_value (value of a 1% move), contract_currency_vol = block_value × (21-day realized vol % × 100), vol_scalar = daily_vol_target ÷ contract_currency_vol. This gives the "full size" position for that instrument alone.
Position is split equally among instruments currently in a trade (weight = 1/N_active). A diversification scalar — min(1.2, 1/√(w′Σw)) using the rolling 21-day correlation matrix (negative correlations floored at 0) of active instruments — scales up the combined book when positions are less correlated, capped at 1.2×. Final contracts = round(weighted_position × diversification_scalar).
YM (Micro Dow, $0.50/pt) · ZN (10-Yr T-Note, $1,000/pt) · 6E (Micro Euro FX, $12,500/pt) · BT (Micro Bitcoin, $0.10/pt) · HG (Micro Copper, $2,500/pt) · ZC (Corn, $50/cent) · LB (Lumber, $27.5/pt) · CL (Micro Crude, $100/pt). ZC quoted in dollars/bushel; converted ×100 to cents for sizing to match the $50 contract specification.
Maintenance margins (current CME/AMP schedules): YM $1,653, ZN $2,062, 6E $264, HG $1,320, ZC $1,210, LB $1,100, CL $1,235 per contract; BT margin scales with notional at ~35% (CME minimum for Micro Bitcoin). Initial margin assumed at 1.10× maintenance. Idle cash (capital minus margin posted) earns the actual historical daily Fed Funds rate minus 50bps — 0% during 2020–21 ZIRP, ~5.4% in 2023–24, ~3.1% currently — accrued Actual/360. See the Cash Yield Overlay tab.