Objective
Hard reverse-engineer Momentum Turning Points (Portfolio/BBT) vs AS.
Notes: MTP Portfolio RE+replicated 2015+: corr 0.931 CAGRΔ +1.16%. Duke BBT PDF; optimistic a_Co=0/a_Re=1. Spec/port backtest/mtp.py. Findings: as-mtp-portfolio-re.md
Approach
Reuses existing report research/findings/as-mtp-portfolio-re.md — tables/metrics preserved verbatim via source_report pointer. Body below summarizes grounded evidence from that report and adjacent artifacts.
Files / code / data changed
Associated commits (inferred from log grep t101):
523cffderesearch: t101 MTP Portfolio reverse-engineered (corr 0.931) (#86)523cffderesearch: t101 MTP Portfolio reverse-engineered (corr 0.931) (#86)- Source report:
research/findings/as-mtp-portfolio-re.md - Task-history entry:
research/findings/task-history.json#t101
Results
Key table from source report (preserved):
| AS date | AS longs | our states → longs | match |
|---|---|---|---|
| 2026-06-30 | GLD/IEFA/SPY | Bu/Bu + Co/Co(GLD,PDBC) → +PDBC | PDBC extra |
| 2026-05-29 | all six | Bu/Bu/Co/Re/Bu/Co | exact |
| 2026-04-30 | GLD/IEFA/PDBC/SPY | Bu/Co/Be/Be/Bu/Co | exact (IEFA full vs AS 15.1%) |
| 2026-03-31 | GLD/IEF/IEFA/PDBC/SPY | Co×4 + Bu | exact (frac gaps) |
| 2026-01-30 | all six | Bu×5 + Co | exact |
Conclusions and metrics are in research/findings/as-mtp-portfolio-re.md; see detail page for preserved tables/metrics.
Conclusions
MTP Portfolio RE+replicated 2015+: corr 0.931 CAGRΔ +1.16%. Duke BBT PDF; optimistic a_Co=0/a_Re=1. Spec/port backtest/mtp.py. Findings: as-mtp-portfolio-re.md
Problems / follow-ups
- See source report or PR discussion for follow-ups. No unsupported follow-ups fabricated.
Links
- Task-history:
research/findings/task-history.jsonidt101 - Findings:
research/findings/as-mtp-portfolio-re.md - Commits:
523cffde,523cffde