Rothko

Rothko

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Rothko

Rothko

Risk overlay dashboard

Performance Metrics
Monthly Returns
Cross-Year Summary

Concept

Vol-targeted base leverage with 3 drawdown zones. Aggressive when healthy, cautious in mild DD, then waits for momentum confirmation before re-leveraging from deep DD. No daily loss cap.

Step 1: Vol-Targeted Base

base = min(1.5 / realized_vol_14d, 3.5) → Low vol = higher base leverage (up to 3.5x) → High vol = lower base leverage (auto-scales down)

Step 2: Drawdown Zones

ZoneConditionMultiplierEffect
NORMALDD > -5%1.0xFull base leverage
CAUTIOUS-5% ≥ DD > -20%0.4xCut to 40% of base
DEEPDD ≤ -20%0.2x – 3.5xMomentum-gated bounce

Final Leverage

leverage = clamp(base × zone_mult × vol_spike_mult, 0.2, 6.5)

Parameters (10)

ParamValue
dd_mid-0.05
dd_mild_mult0.4
dd_deep-0.20
bounce_floor0.2
dm3.5
hard_cap6.5
daily_loss_capNone
vol_spike_severe/mild0.15 / 0.5

Concept

Same 3-zone structure as V3 but with tighter parameters and a daily loss floor of -12%.

Key Differences vs V3

ParamV5V3
dd_mild_mult0.250.4
dd_deep-0.15-0.20
hard_cap5.56.5
daily_loss_cap-12%None

Daily Loss Floor

if return < 0 AND leverage × return < -12%: leverage = -12% / return (cap loss at -12%)

Concept

8 independent signals multiplicatively combined. Leverage stays high only when ALL signals agree. 24 parameters.

The 8 Signals

1. DD ZoneNormal/Cautious/Deep zones with cautious decay
2. Momentum ConsensusLong EMA + Short EMA direction
3. Equity HeatReduces after parabolic 5d gains >20%
4. DD VelocityReduces if DD worsening >3%/3d
5. Loss StreakExponential reduction after 3+ losing days
6. Time DecaySlowly reduces after 15+ days in DD
7. Vol Spike3d/7d vol ratio filter
8. Soft FloorAsymptotic reduction near -8% daily loss

Concept

Only 7 parameters. Three zones (Offense/Caution/Defense) with vol-targeting and a hard -6% daily loss floor.

The 3 Zones

ZoneConditionLeverage
OFFENSEDD > -9%Vol-targeted up to 7x
CAUTION-9% ≥ DD > -12%Fixed 2.0x
DEFENSEDD ≤ -12%Fixed 0.5x

Daily Loss Floor

if return < 0 AND leverage × return < -6%: leverage = -6% / return → Hard -6% daily loss cap in ALL conditions

Parameters (7)

ParamValue
tv3.0
cap7.0
mild-0.09
deep-0.12
mid2.0
ddl0.5
flr-0.06

Objective

Turn $10K into $1M+ in one year. Three non-negotiable criteria:

  • Make a lot of money if the base strategy has a good year
  • Limit losses if the base strategy fails
  • Average drawdowns should not be very large
Revised Verdict

V6 core + V8 circuit breaker hybrid

V6 is statistically superior on every robustness metric (0% fragile params, 100% MC hit rate, higher OOS Sharpe). V8 has a hard -6% daily floor guarantee. Recommendation: Run V6 primary, add V8's -6% daily loss cap as emergency circuit breaker.

V6 Strengths
  • 0% fragile parameters (extraordinary)
  • 100% Monte Carlo hit rate for $1M
  • Worst MC path = $2.8M (vs V8's $436K)
  • Higher OOS Sharpe (4.65 vs 4.42)
V8 Strengths
  • Hard -6% worst day (mechanically guaranteed)
  • Only 7 parameters (Occam's Razor)
  • Better when baseline breaks (+176% vs +98%)
  • Perfectly predictable tail risk
Select overlay and block size, then run
$10,000
1.0×
Data Entry

Add / Update Daily Return (saved to DB)

Bulk Import

Paste rows with a date (YYYY-MM-DD) and a percent value per line. Accepts CSV, whitespace, or a Markdown table — the first YYYY-MM-DD and first percent number on each line are used (e.g. the Binance "PnL %" table). Existing dates are overwritten.

Sync Settings

Auto-sync fetches data from the external API automatically: hourly at :57 minutes and once daily at 23:58 UTC (before the Telegram notification). Turn off to disable all automatic syncs — the manual "Sync Now" button still works.

Telegram Notifications

Get next-day leverage sent to Telegram at 11:59 PM UTC daily.

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