ML Robo-Advisory
Walk-forward validated ensemble
·
Feb 2023 –
Dec 2024
·
Look-ahead free
+67.7%
Feb 2023 –
Dec 202423 out-of-sample
periodsSPY+46.3%
Overview
+0.0%Total
Return
+0.0%Alpha vs S&
P
0.00Sharpe
0Positions
0Periods
S&
P 500
$14,
630
ML Strat
$16,
770
Performance
// equity curve — portfolio vs spy · click any
month to view holdings
click a point to view that month's holdings ↓
// drawdown from peak
BULLNEUTRALBEAR
// monthly returns
heatmap
| Month | Portfolio | SPY | Diff | Regime |
|---|---|---|---|---|
| Total | +67.7% | +46.3% | +21.4% |
Methodology
Look-ahead bias
Walk-forward validation. Model trained
exclusively on past periods — current period's returns never seen
during training. Zero data leakage.
Arbitrary sizing
Kelly Criterion f*=(p·b−q)/b. Win
probability from ML ensemble. b estimated dynamically per period
from training-window win/loss. Fractional 25%,
hard cap 20%.
Regime blindness
2-state GMM on SPY rolling vol+momentum.
Bear regime auto-scales all positions to 50%. Two BEAR periods
detected: Aug–Sep 2024.
Stock universe
50 large-cap US stocks hand-picked for full
multi-year price history. See full
list →Liquidity screen (min
avg volume) applied each period. 0.1% transaction cost+0.2% annual
FX drag deducted.
Holdings
15 positions · regime-scaled Kelly weights
Dec 2024 —
BULL